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math.OC2022
On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model
Lijun Bo, Wenyuan Wang, Kaixin Yan
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and cap…
math.OC2022
Optimal dividend and capital injection under spectrally positive Markov additive models
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first s…