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http://cimat.repositorioinstitucional.mx/jspui/handle/1008/617| Convexity and Smoothness of Scale Functions and de Finetti´s Control Problem | |
| VICTOR MANUEL RIVERO MERCADO | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Procesos de Levy | |
| Motivated by a classical control problem from actuarial mathematics, we study smoothness and convexity properties of q -scale functions for spectrally negative Levy processes. Continuing from the very recent work of [2] and [24] we strengthen their collective conclusions by showing, amongst other results, that whenever the Levy mea- sure has a non-increasing density which is log convex then for q > 0 the scale function W ( q ) is convex on some half line ( a ; 1 ) where a is the largest value at which W ( q ) 0 attains its global minimum. As a consequence we deduce that de Finetti's classical actuarial control problem is solved by a barrier strategy where the barrier is positioned at height. | |
| Centro de Investigación en Matemáticas AC | |
| 24-01-2008 | |
| Reporte | |
| Inglés | |
| Investigadores | |
| PROCESOS DE MARKOV | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
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| Fichero | Tamaño | Formato | |
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| I-08-06.pdf | 469.56 kB | Adobe PDF | Visualizar/Abrir |