A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time-Reference-Cited by-同舟云学术

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time

Published:2019-06-03 Issue:9 Volume:2019 Page:799-823
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Avram Florin¹,Goreac Dan²³^ORCID

Affiliation:

1. Laboratoire de Mathématiques Appliquées, (UMR 5142), CNRS, Université de Pau, Pau, France

2. School of Mathematics, Shandong University, Weihai, People's Republic of China

3. Université Paris-Est, LAMA (UMR 8050), UPEMLV, UPEC, CNRS, Marne-la-Vallée, France

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2019.1622592

Reference26 articles.

1. The arctangent law for a certain random time related to one-dimensional diffusions

2. Linking dividends and capital injections – a probabilistic approach

3. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

4. On the optimal dividend problem for a spectrally negative Lévy process

5. Optimal harvesting of stochastically fluctuating populations

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1. Do generalized draw-down times lead to better dividends? A Pontryagin principle-based answer;IMA Journal of Mathematical Control and Information;2020-12-14

2. The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems;ESAIM: Probability and Statistics;2020