{
  "id": "2402.11471",
  "version": "v1",
  "published": "2024-02-18T06:18:00.000Z",
  "updated": "2024-02-18T06:18:00.000Z",
  "title": "An Optimal Dividend Problem for Skew Brownian Motion with Two-Valued Drift",
  "authors": [
    "Zhongqin Gao",
    "Xiaowen Zhou",
    "Yan Lv"
  ],
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2024-02-18T06:18:00.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "60J80",
      "93E20"
    ],
    "keywords": [
      "skew brownian motion",
      "optimal dividend problem",
      "two-valued drift",
      "skew brownian risk model",
      "barrier dividend strategy"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}