most citedOn the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

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math.PR2024

Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound

Hélène Guérin, Dante Mata, Jean-François Renaud +1

We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the exp…

math.PR2022★ 1 cited

On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

Dante Mata, Harold A. Moreno-Franco, Kei Noba +1

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Po…