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Regular version of the site

Article

Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint

Risks. 2019. Т. 7. № 1. С. 1-24.
Junca M., Морено Ф. Г., Pérez J. L.

We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital. To solve this problem, we first consider the optimal bail-out dividend problem with transaction cost and capital injection and show the optimality of reflected (c_1,c_2) -policies. We then find the optimal Lagrange multiplier, by showing that in the dual Lagrangian problem the complementary slackness conditions are met. Finally, we present some numerical examples to support our results.