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On a mean reverting dividend strategy with Brownian motion · Study

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ArticleOn a mean reverting dividend strategy with Brownian motion

Benjamin Avanzi2012

OA

Articlegreen2012

On a mean reverting dividend strategy with Brownian motion

Benjamin Avanzi · Bernard Wong

24 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1999Continuous Martingales and Brownian Motion 1998Methods of Mathematical Finance 2005Payout policy in the 21st century 2012Introduction to Stochastic Calculus with Applications 1970Mathematical Methods in Risk Theory 2005Introduction to Stochastic Calculus with Applications 1971Mathematical Methods in Risk Theory.1997Controlled diffusion models for optimal dividend pay-out

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Year2012

Typearticle

Published2012-04-19

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations24

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2012.04.002

openalex_workW3123985753

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