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math.PR2019
Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
Irmina Czarna, Adam Kaszubowski
In this paper we investigate an optimal dividend problem with transaction costs, where the surplus process is modelled by a refracted Lévy process and the ruin time is considered w…
math.PR2018
Fluctuation identities for omega-killed Markov additive processes and dividend problem
Irmina Czarna, Adam Kaszubowski, Shu Li +1
In this paper we solve the exit problems for an one-sided Markov additive process (MAP) which is exponentially killed with a bivariate killing intensity dependent…