|
|||||
|
|
A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes,until a generalized draw-down time |
|
| Authors: | Florin Avram |
| Institution: | Laboratoire de Mathématiques Appliquées, (UMR 5142), CNRS, Université de Pau, Pau, France |
| Abstract: | |
| Keywords: | First passage draw-down process spectrally negative process scale functions dividends dividends barrier optimization de finetti optimal harvesting variational problem |