The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.
Taksar,Optimal risk and dividend distribution control models for an insurance company, Mathematical Methods of Operations Research, 51 (2000), pp
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Dividend ratcheting and capital injection under the Cram\'er-Lundberg model: Strong solution and optimal strategy
The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.