Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint

Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint

We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital. To solve this problem, we first consider the optimal bail-out dividend problem with transaction cost and capital injection...

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Bibliographic Details
Main Authors: Mauricio Junca, Harold A. Moreno-Franco, José Luis Pérez
Format: Article
Language:English
Published: MDPI AG 2019-01-01
Series:Risks
Subjects:
dividend payment
optimal control
capital injection constraint
spectrally negative Lévy processes
reflected Lévy processes
scale functions
Online Access:https://www.mdpi.com/2227-9091/7/1/13

Internet

https://www.mdpi.com/2227-9091/7/1/13

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