A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy.

Heli Gao Chuancun Yin

Published in: Appl. Math. Comput. (2008)

Keyphrases

brownian motion
diffusion process
differential equations
stochastic processes
heavy traffic
poisson process
optimal stopping
objective function
optimal control
multiscale
optical flow
special case