MathDB2 problems
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Barrier optimality conjecture for the Chapter 11 dividend control problem
Barrier optimality conjecture. The optimal dividend control in this problem fits a barrier type, and the expected present values under a barrier dividend strategy can be expressed…
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Regime-modulated double-barrier conjecture for spectrally positive Markov additive processes
Let the uncontrolled surplus process be a spectrally positive Markov additive process, and consider De Finetti's dividend and capital injection problem with dividends observed at P…