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Optimal dividend payments and reinvestments of diffusion processes with both fixed and proportional costs. (English) Zbl 1171.49027


MSC:

49N25 Impulsive optimal control problems
93E20 Optimal stochastic control
91B28 Finance etc. (MSC2000)
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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