The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.
Protter,Stochastic Integration and Differential Equations, Springer-Verlag, 1990
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Dividend ratcheting and capital injection under the Cram\'er-Lundberg model: Strong solution and optimal strategy
The authors prove existence and uniqueness of a strong solution to the HJB variational inequality for dividend ratcheting with capital injection and construct an explicit optimal feedback control strategy.