Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
暂无分享,去创建一个
[1] Andreas E. Kyprianou,et al. A note on scale functions and the time value of ruin for Levy insurance risk processes , 2010 .
[2] Benjamin Avanzi. Strategies for Dividend Distribution: A Review , 2009 .
[3] Z. Palmowski,et al. Tail Asymptotics of the Supremum of a Regenerative Process , 2007, Journal of Applied Probability.
[4] Hans U. Gerber,et al. On Optimal Dividend Strategies In The Compound Poisson Model , 2006 .
[5] E. V. Boguslavskaya,et al. Optimization problems in financial mathematics : explicit solutions for diffusion models , 2006 .
[6] Miljenko Huzak,et al. Ruin probabilities for competing claim processes , 2004, Journal of Applied Probability.
[7] Larry A. Shepp,et al. Risk vs. profit potential: A model for corporate strategy , 1996 .
[8] William Feller,et al. An Introduction to Probability Theory and Its Applications , 1951 .
[9] Miljenko Huzak,et al. Ruin probabilities and decompositions for general perturbed risk processes , 2004, math/0407125.
[10] Mladen Savov,et al. Smoothness of scale functions for spectrally negative Lévy processes , 2009, 0903.1467.
[11] Hansjörg Albrecher,et al. Optimality results for dividend problems in insurance , 2009 .
[12] A. E. Kyprianou,et al. Overshoots and undershoots of Lèvy processes , 2006 .
[13] P. Azcue,et al. OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL , 2005 .
[14] Florin Avram,et al. On the optimal dividend problem for a spectrally negative Lévy process , 2007, math/0702893.
[15] Ronnie Loeffen,et al. An optimal dividends problem with transaction costs for spectrally negative Lévy processes , 2009 .
[16] Michael Taksar,et al. Stochastic Control in Insurance , 2010 .
[17] P. Protter. Stochastic integration and differential equations , 1990 .
[18] R. Loeffen,et al. On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes , 2008, 0811.1862.
[19] Z. Palmowski,et al. Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process , 2007, Journal of Applied Probability.
[20] A. Shiryaev,et al. Optimization of the flow of dividends , 1995 .
[21] Refracted Lévy processes , 2008 .
[22] A. Kyprianou. Introductory Lectures on Fluctuations of Lévy Processes with Applications , 2006 .
[23] Søren Asmussen,et al. Controlled diffusion models for optimal dividend pay-out , 1997 .
[24] T. H. Hildebrandt. Introduction to the theory of integration , 1963 .
[25] R. Song,et al. Convexity and Smoothness of Scale Functions and de Finetti’s Control Problem , 2008, 0801.1951.
[26] Erhan Bayraktar,et al. Optimizing venture capital investments in a jump diffusion model , 2008, Math. Methods Oper. Res..
[27] Ronnie Loeffen,et al. De Finetti's optimal dividends problem with an affine penalty function at ruin , 2010 .
[28] H. Gerber. The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas , 1974 .
[29] Hans-Ulrich Gerber,et al. Entscheidungskriterien für den zusammengesetzten Poisson-Prozess , 1969 .
[30] Mohamed Belhaj,et al. OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP‐DIFFUSION PROCESS , 2010 .
[31] William Feller,et al. An Introduction to Probability Theory and Its Applications , 1967 .
[32] Claudia Kluppelberg,et al. Ruin probabilities and overshoots for general Lévy insurance risk processes , 2004 .
[33] R. Loeffen,et al. An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density , 2009, Journal of Applied Probability.
[34] David Williams,et al. Probability with Martingales , 1991, Cambridge mathematical textbooks.