An optimal dividends problem with transaction costs for spectrally negative Lévy processes |
| |
Authors: | RL Loeffen |
| |
Institution: | aRadon Institute for Computational and Applied Mathematics, Austrian Academy of Sciences, Altenbergerstrasse 69, A-4040 Linz, Austria |
| |
Abstract: | We consider an optimal dividends problem with transaction costs where the reserves are modeled by a spectrally negative Lévy process. We make the connection with the classical de Finetti problem and show in particular that when the Lévy measure has a log-convex density, then an optimal strategy is given by paying out a dividend in such a way that the reserves are reduced to a certain level c1 whenever they are above another level c2. Further we describe a method to numerically find the optimal values of c1 and c2. |
| |
Keywords: | Lé vy process Stochastic control Impulse control Dividend problem Scale function |
本文献已被 ScienceDirect 等数据库收录! |