arXiv:2402.11471 Abstract | arXiv Analytics

arXiv:2402.11471 [math.PR]Abstract References Reviews Resources

An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift

Published 2024-02-18Version 1

In this paper we propose a skew Brownian motion with a two-valued drift as a risk model with endogenous regime switching. We solve its two-sided exit problem and consider an optimal control problem for the skew Brownian risk model. In particular, we identify sufficient conditions for either a barrier dividend strategy or a band dividend strategy to be optimal.

Categories: math.PR, math.OC

Subjects: 60G40, 60J80, 93E20

Keywords: skew brownian motion, optimal dividend problem, two-valued drift, skew brownian risk model, barrier dividend strategy

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