Event Type:

Graduate Student Summer Seminar

Date/Time:

Wednesday, July 11, 2018 - 14:30 to 15:15

Location:

Kidder 364

Local Speaker:

Guest Speaker:

Optimal bail-out dividend strategy with restricted rate and its numerical solution by the semi-smooth Newton method

Institution:

OSU

Abstract:

This talk will firstly discuss the recent result of paper

(Perez et al, 2018). They calculate the objective return function in

terms of scale functions from the existing fluctuation identities of

reflected-refracted Levy process. Then they derive the related variational

inequality and provide the sufficient condition for optimality of bail-out

strategy with restricted dividend rate. After that, an example which is

implied by the result will be illustrated with analytical solution.

Lastly, we propose a modified semi-smooth projected Newton method to

find the approximation of the solution and make the comparison.

Future work and remaining questions will be given at the end.

(This is the joint work with Professor Nathan Gibson).

Host: