5 papers
Optimization of capital injections and absolutely continuous dividend payments in a diffusion model
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We investigate a joint optimization problem of dividend payments and capital injections for a surplus process driven by a general diffusion. Dividend payments are assumed to be abs…
Resource Extraction from a Stochastic Population with Harvesting Quotas
Erik Ekström, Dante Mata, Harto Saarinen
We study a resource extraction problem of ergodic type, where harvesting quotas are imposed that restrict the harvesting rate by a function of the current biomass. In a setting wit…
Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
Dante Mata
We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is a…
Optimality of a barrier strategy in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
Dante Mata, Jean-François Renaud
We consider de Finetti's stochastic control problem for a spectrally negative Lévy process in an Omega model. In such a model, the (controlled) process is allowed to spend time und…
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…