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math.PR2017★ 2 cited
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki +1
De Finetti's optimal dividend problem has recently been extended to the case dividend payments can only be made at Poisson arrival times. This paper considers the version with bail…
math.PR2017
Generalized scale functions of standard processes with no positive jumps
Kei Noba
As a generalization of scale functions of spectrally negative Lévy processes, we define scale functions of general standard processes with no positive jumps. For this purpose, we u…