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Refraction-reflection strategies in the dual model
José-Luis Pérez, Kazutoshi Yamazaki · 2015-11-25 · via math.PR updates on arXiv.org

We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that pays dividends at the maximal rate whenever the surplus is above a certain threshold, while capital is injected so that it stays positive. The resulting controlled surplus process becomes the spectrally positive version of the refracted-reflected process recently studied by Pérez and Yamazaki (2015). We study various fluctuation identities of this process and prove the optimality of the refraction-reflection strategy. Numerical results on the optimal dividend problem are also given.

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