De Finetti's Control for Refracted Skew Brownian Motion
Probability
2026-01-29 v4 Optimization and Control
Abstract
In this paper we propose a refracted skew Brownian motion as a risk model with endogenous regime switching, which generalizes the refracted diffusion risk process introduced by Gerber and Shiu. We consider an optimal dividend problem for the refracted skew Brownian risk model and identify sufficient conditions, respectively, for barrier strategy, band strategy and their variants to be optimal.
Keywords
Cite
@article{arxiv.2402.11471,
title = {De Finetti's Control for Refracted Skew Brownian Motion},
author = {Zhongqin Gao and Yan Lv and Xiaowen Zhou},
journal= {arXiv preprint arXiv:2402.11471},
year = {2026}
}