Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912558651277312 |
|---|---|
| author | Mata, Dante |
| author_facet | Mata, Dante |
| contents | We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is penalised by a state-dependent intensity of bankruptcy. We show that under the spectrally negative model an optimal strategy is such that the surplus is reduced to a level $c_1$ whenever they are above another level $c_2$, and that such levels are unique under the additional assumption that the Lévy measure has a log-convex tail. We describe a numerical method to compute the optimal values $c_1$ and $c_2$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_21133 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy Mata, Dante Optimization and Control Probability We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is penalised by a state-dependent intensity of bankruptcy. We show that under the spectrally negative model an optimal strategy is such that the surplus is reduced to a level $c_1$ whenever they are above another level $c_2$, and that such levels are unique under the additional assumption that the Lévy measure has a log-convex tail. We describe a numerical method to compute the optimal values $c_1$ and $c_2$. |
| title | Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2508.21133 |