On the bail-out optimal dividend problem

Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/89348

Title:	On the bail-out optimal dividend problem
Authors:	Pérez, JL Yamazaki, K Yu, X
Issue Date:	Nov-2018
Source:	Journal of optimization theory and applications, Nov. 2018, v. 179, no. 2, p. 553-568
Abstract:	This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted–reflected Lévy process. The optimal strategy as well as the value function is concisely written in terms of the scale function. Numerical results are also provided to confirm the analytical conclusions.
Keywords:	Bail-out dividend problem Refracted–reflected Lévy processes Scale functions Stochastic control
Publisher:	Springer
Journal:	Journal of optimization theory and applications
ISSN:	0022-3239
EISSN:	1573-2878
DOI:	10.1007/s10957-018-1340-3
Rights:	© Springer Science+Business Media, LLC, part of Springer Nature 2018 This is a post-peer-review, pre-copyedit version of an article published in Journal of Optimization Theory and Applications. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10957-018-1340-3
Appears in Collections:	Journal/Magazine Article

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File Version	Final Accepted Manuscript

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