Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/89348
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorPérez, JLen_US
dc.creatorYamazaki, Ken_US
dc.creatorYu, Xen_US
dc.date.accessioned2021-03-18T03:04:35Z-
dc.date.available2021-03-18T03:04:35Z-
dc.identifier.issn0022-3239en_US
dc.identifier.urihttp://hdl.handle.net/10397/89348-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rights© Springer Science+Business Media, LLC, part of Springer Nature 2018en_US
dc.rightsThis 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/s10957-018-1340-3en_US
dc.subjectBail-out dividend problemen_US
dc.subjectRefracted–reflected Lévy processesen_US
dc.subjectScale functionsen_US
dc.subjectStochastic controlen_US
dc.titleOn the bail-out optimal dividend problemen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage553en_US
dc.identifier.epage568en_US
dc.identifier.volume179en_US
dc.identifier.issue2en_US
dc.identifier.doi10.1007/s10957-018-1340-3en_US
dcterms.abstractThis 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of optimization theory and applications, Nov. 2018, v. 179, no. 2, p. 553-568en_US
dcterms.isPartOfJournal of optimization theory and applicationsen_US
dcterms.issued2018-11-
dc.identifier.scopus2-s2.0-85049027994-
dc.identifier.eissn1573-2878en_US
dc.description.validate202103 bcvcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera0601-n04-
dc.identifier.SubFormID539-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextHong Kong Early Career Scheme No. 25302116en_US
dc.description.pubStatusPublisheden_US
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