Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints

DOI10.1007/s00780-011-0169-5zbMath1252.91083OpenAlexW2061484680MaRDI QIDQ1761455

Jostein Paulsen, Martin Hunting, Lihua Bai

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1956/6226

zbMATH Keywords

quasi-variational inequalitiessolvency constraintoptimal dividendslump sum dividend barrier strategygeneral diffusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Impulsive optimal control problems (49N25)

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Cites Work

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• Optimal dividend payouts for diffusions with solvency constraints
• Impulse Control of Brownian Motion
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• Ruin theory with stochastic return on investments
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

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