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math.OC2023
An optimization dichotomy for capital injections and absolutely continuous dividend strategies
Jean-François Renaud, Alexandre Roch, Clarence Simard
We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize the…
math.PR2023
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
Félix Locas, Jean-François Renaud
We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative Lévy model with Parisian ruin as the termination time. The problem…