On the Bail-Out Optimal Dividend Problem
Mathematical Finance
2018-06-12 v2 Optimization and Control
Risk Management
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 L\'evy process. The optimal strategy as well as the value function are concisely written in terms of the scale function. Numerical results are also provided to confirm the analytical conclusions.
Keywords
Cite
@article{arxiv.1709.06348,
title = {On the Bail-Out Optimal Dividend Problem},
author = {José-Luis Pérez and Kazutoshi Yamazaki and Xiang Yu},
journal= {arXiv preprint arXiv:1709.06348},
year = {2018}
}
Comments
To appear in Journal of Optimization Theory and Applications. Keywords: stochastic control, scale functions, refracted-reflected L\'evy processes, bail-out dividend problem