An optimal dividends problem with transaction costs for spectrally negative Lévy processes

We consider an optimal dividends problem with transaction costs where the reserves are modeled by a spectrally negative Lévy process. We make the connection with the classical de Finetti problem and show in particular that when the Lévy measure has a log-convex density, then an optimal strategy is given by paying out a dividend in such a way that the reserves are reduced to a certain level c 1 whenever they are above another level c 2 . Further we describe a method to numerically find the optimal values of c 1 and c 2 .