Optimal payout policy in presence of downside risk

DOI10.1007/S00186-008-0228-7zbMath1189.90104OpenAlexW2006706034MaRDI QIDQ1014300

Teppo A. Rakkolainen, Luis H. R. Alvarez

Publication date: 27 April 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0228-7

zbMATH Keywords

optimal stoppingimpulse controlsingular stochastic controldownside riskjump diffusiondividend optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (6)

The Optimal Dividend Problem in the Dual Model ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ A note on the optimal dividends problem with transaction costs in a spectrally negative Lévy model with Parisian ruin ⋮ An optimal dividends problem with transaction costs for spectrally negative Lévy processes ⋮ De Finetti's optimal dividends problem with an affine penalty function at ruin ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching

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