Projects per year
Abstract
We continue the recent work of Avram et al. (Ann. Appl. Probab. 17:156-180, 2007) and Loeffen (Ann. Appl. Probab., 2007) by showing that whenever the L,vy measure of a spectrally negative L,vy process has a density which is log-convex then the solution of the associated actuarial control problem of de Finetti is solved by a barrier strategy. Moreover, the level of the barrier can be identified in terms of the scale function of the underlying L,vy process. Our method appeals directly to very recent developments in the theory of potential analysis of subordinators and their application to convexity and smoothness properties of the relevant scale functions.
Original language | English |
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Pages (from-to) | 547-564 |
Number of pages | 18 |
Journal | Journal of Theoretical Probability |
Volume | 23 |
Issue number | 2 |
DOIs | |
Publication status | Published - Jun 2010 |
Keywords
- control theory
- scale functions for spectrally negative Levy processes
- potential analysis
- special Bernstein function
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Dive into the research topics of 'Convexity and smoothness of scale functions and de Finetti's control problem'. Together they form a unique fingerprint.Projects
- 3 Finished
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Fluctuaction Theory of Positive Self-Similar Markov and Levy
Kyprianou, A. (PI)
1/04/08 → 30/06/08
Project: Research council
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ANALYTICAL PROPERTIES OF SCALE FUNCTIONS
Kyprianou, A. (PI)
Engineering and Physical Sciences Research Council
10/12/07 → 9/12/08
Project: Research council
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STOCHASTIC PROCESSES IN RANDOM MEDIA: AN APPROACH USING INT ERSECTION LOCAL TIMES
Morters, P. (PI)
Engineering and Physical Sciences Research Council
1/04/05 → 30/04/08
Project: Research council