Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93895
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Li, Y | en_US |
dc.creator | Li, Z | en_US |
dc.creator | Wang, S | en_US |
dc.creator | Xu, ZQ | en_US |
dc.date.accessioned | 2022-08-03T01:24:07Z | - |
dc.date.available | 2022-08-03T01:24:07Z | - |
dc.identifier.issn | 0167-6377 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93895 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2020 Elsevier B.V. All rights reserved. | en_US |
dc.rights | © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ | en_US |
dc.rights | The following publication Li, Y., Li, Z., Wang, S., & Xu, Z. Q. (2020). Dividend optimization for jump–diffusion model with solvency constraints. Operations Research Letters, 48(2), 170-175 is available at https://doi.org/10.1016/j.orl.2020.01.006 | en_US |
dc.subject | Barrier strategy | en_US |
dc.subject | Dividend payment | en_US |
dc.subject | Jump–diffusion | en_US |
dc.subject | Partial integro-differential equation | en_US |
dc.subject | Solvency constraints | en_US |
dc.title | Dividend optimization for jump–diffusion model with solvency constraints | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 170 | en_US |
dc.identifier.epage | 175 | en_US |
dc.identifier.volume | 48 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.doi | 10.1016/j.orl.2020.01.006 | en_US |
dcterms.abstract | Belhaj (2010) established that a barrier strategy is optimal for the dividend problem under jump–diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump–diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Operations research letters, Mar. 2020, v. 48, no. 2, p. 170-175 | en_US |
dcterms.isPartOf | Operations research letters | en_US |
dcterms.issued | 2020-03 | - |
dc.identifier.scopus | 2-s2.0-85079593974 | - |
dc.identifier.eissn | 1872-7468 | en_US |
dc.description.validate | 202208 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0195 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | NSFC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 22972589 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Xu_Dividend_Optimization_Jump–Diffusion.pdf | Pre-Published version | 940.75 kB | Adobe PDF | View/Open |
Page views
54
Last Week
1
1
Last month
Citations as of May 12, 2024
Downloads
44
Citations as of May 12, 2024
SCOPUSTM
Citations
2
Citations as of May 16, 2024
WEB OF SCIENCETM
Citations
3
Citations as of May 16, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.