On the Bail-Out Optimal Dividend Problem |
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Authors: | José-Luis Pérez Kazutoshi Yamazaki Xiang Yu |
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Institution: | 1.Centro de Investigación en Matemáticas,Guanajuato,Mexico;2.Kansai University,Osaka,Japan;3.The Hong Kong Polytechnic University,Kowloon,Hong Kong |
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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 Lévy process. The optimal strategy as well as the value function is concisely written in terms of the scale function. Numerical results are also provided to confirm the analytical conclusions. |
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