Convexity and smoothness of scale functions and de Finetti's control problem

DOI10.1007/s10959-009-0220-zzbMath1188.93115arXiv0801.1951OpenAlexW2152243710MaRDI QIDQ975331

Renming Song, Víctor Manuel Rivero, Andreas E. Kyprianou

Publication date: 9 June 2010

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.1951

zbMATH Keywords

control theorypotential analysisscale functions for spectrally negative Lévy processesspecial Bernstein function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Markov processes (60J99)

Related Items (27)

Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ A note on the convexity of ruin probabilities ⋮ On q-scale functions of spectrally negative Lévy processes ⋮ Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin ⋮ On optimality of the barrier strategy for a general Lévy risk process ⋮ Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes ⋮ Optimality of the threshold dividend strategy for the compound Poisson model ⋮ Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin ⋮ An optimal dividends problem with transaction costs for spectrally negative Lévy processes ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process ⋮ Refracted Lévy processes ⋮ Optimal dividend problem with a terminal value for spectrally positive Lévy processes ⋮ Smoothness of scale functions for spectrally negative Lévy processes ⋮ Optimality of refraction strategies for a constrained dividend problem ⋮ Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

Cites Work

• Unnamed Item
• Unnamed Item
• On suprema of Lévy processes and application in risk theory
• On positive, nonincreasing resolvents of Volterra equations
• Potential theory of special subordinators and subordinate killed stable processes
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Special, conjugate and complete scale functions for spectrally negative Lévy processes
• On Volterra equations of the first kind
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Ruin probabilities and decompositions for general perturbed risk processes.
• On the optimal dividend problem for a spectrally negative Lévy process
• Overshoots and undershoots of Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On extreme ruinous behaviour of Lévy insurance risk processes
• Ruin probabilities for competing claim processes
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

This page was built for publication: Convexity and smoothness of scale functions and de Finetti's control problem