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Title: Stochastic control for spectrally negative Lévy processes
Author: Loeffen, Ronnie Lambertus
ISNI:       0000 0004 2678 8932
Awarding Body: University of Bath
Current Institution: University of Bath
Date of Award: 2008
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Three optimal dividend models are considered for which the underlying risk process is a spectrally negative Levy process. The first one concerns the classical dividends problem of de Finetti for which we give sufficient conditions under which the optimal strategy is of barrier type. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available