On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes
نویسندگان
چکیده
منابع مشابه
On Optimality of the Barrier Strategy in De Finetti’s Dividend Problem for Spectrally Negative Lévy Processes
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433–443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156–180] studied the case when the risk process is modeled by a general spectrally negative Lévy process. We draw upon their results and give sufficient conditions under whic...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2008
ISSN: 1050-5164
DOI: 10.1214/07-aap504