On the Bail-Out Optimal Dividend Problem

José-Luis Pérez (), Kazutoshi Yamazaki () and Xiang Yu ()
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José-Luis Pérez: Centro de Investigación en Matemáticas
Kazutoshi Yamazaki: Kansai University
Xiang Yu: The Hong Kong Polytechnic University

Journal of Optimization Theory and Applications, 2018, vol. 179, issue 2, No 8, 553-568

Abstract: 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.

Keywords: Stochastic control; Scale functions; Refracted–reflected Lévy processes; Bail-out dividend problem; 60G51; 93E20; 49J40 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10957-018-1340-3

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