2 papers
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…
math.OC2022
De Finetti's control problem with a concave bound on the control rate
Félix Locas, Jean-François Renaud
We consider De Finetti's control problem for absolutely continuous strategies with control rates bounded by a concave function and prove that a generalized mean-reverting strategy…