{"ID":2877333,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2508.21133","arxiv_id":"2508.21133","title":"Impulse control in a spectrally negative Lévy model with a level-dependent intensity of bankruptcy","abstract":"We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is penalised by a state-dependent intensity of bankruptcy. We show that under the spectrally negative model an optimal strategy is such that the surplus is reduced to a level $c_1$ whenever they are above another level $c_2$, and that such levels are unique under the additional assumption that the Lévy measure has a log-convex tail. We describe a numerical method to compute the optimal values $c_1$ and $c_2$.","short_abstract":"We consider an optimal dividend problem with transaction costs where the surplus is modelled by a spectrally negative Lévy process in an Omega model. n this model, the surplus is allowed to spend time below the critical ruin level, but is penalised by a state-dependent intensity of bankruptcy. We show that under the sp...","url_abs":"https://arxiv.org/abs/2508.21133","url_pdf":"https://arxiv.org/pdf/2508.21133v1","authors":"[\"Dante Mata\"]","published":"2025-08-28T18:08:47Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"math.PR\"]","methods":"[]","has_code":false}