86 citations · 86 across the 2 of their papers we have counts for
2 papers
math.OC2012
On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
Lihua Bai, Jostein Paulsen
In Bai and Paulsen (SIAM J. Control optim. 48, 2010) the optimal dividend problem under transaction costs was analyzed for a rather general class of diffusion processes. It was div…
q-fin.RM2008★ 86 cited
Ruin models with investment income
Jostein Paulsen
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation o…