3 problems

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…

We consider a spectrally negative Lévy process $X$, a stopping time $\theta$, and the expected penalty … Assume that $g$ is negative and increasing on $(-\infty,0]$ and zero on…

Let $V$ be a spectrally negative Lévy environment with bounded variation, let $X$ be the associated diffusion, and write $\mathcal{L}^*_X(t)$ for its maximal local time up to time…