English, Article edition: An optimal dividends problem with transaction costs for spectrally negative Lévy processes Loeffen, R.L.

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Physical Description
  • article
Language
  • English

Edition details

Title
  • An optimal dividends problem with transaction costs for spectrally negative Lévy processes
Author
  • Loeffen, R.L.
Physical Description
  • article
Notes
  • 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.
  • Lévy process Stochastic control Impulse control Dividend problem Scale function
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:41-48
Language
  • English
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