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math.OC2015
Refraction-reflection strategies in the dual model
José-Luis Pérez, Kazutoshi Yamazaki
We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that…
math.OC2015
Optimality of Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…