5 problems

Optimal asset barrier conjecture. The optimal barrier for the assets is $\beta_1^*$ as defined above. This is stated as a conjecture in the paper, and no resolution is supplied in…

Consider a company that may be rescued by capital injection at a capital-injection barrier, and let the value function at that barrier represent the net value of continuing through…

Consider the capital-injection formulation with value function $F_{CI}$, where dividends are paid at marginal value $1$ and capital injections cost $\kappa>1$. Let…

Consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, and formulate a dividend strategy using the funding ratio of a…

In model (2.1), let $\{p_n,n\geq 1\}$ be DFR and let $P$ be DFR. Let $b^*$ denote the barrier level and (2.5) the stochastic control problem. Conjecture 2. The barrier strategy at…