The paper gives sufficient conditions for optimality of (c1,c2) impulse policies in refracted Lévy models with Parisian ruin and transaction costs, derives new analytical formulas for the corresponding q-scale functions in Brownian motion and exponential-claims cases, and proves uniqueness of theopt
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Optimality of impulse control problem in refracted L\'evy model with Parisian ruin and transaction costs
The paper gives sufficient conditions for optimality of (c1,c2) impulse policies in refracted Lévy models with Parisian ruin and transaction costs, derives new analytical formulas for the corresponding q-scale functions in Brownian motion and exponential-claims cases, and proves uniqueness of theopt