On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative L\'{e}vy processes

• Published in: arXiv.org
• Main Author: Loeffen, R L
• Format: Paper Journal Article
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 12.11.2008
• Subjects: Mathematics - Probability; Optimization; Strategy

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...