On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180] studied the case when the risk process is modeled by a general spe...
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Published in | arXiv.org |
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Main Author | |
Format | Paper Journal Article |
Language | English |
Published |
Ithaca
Cornell University Library, arXiv.org
12.11.2008
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Subjects | |
Online Access | Get full text |
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