Optimal dividend policies with transaction costs for a class of jump-diffusion processes

DOI10.1007/s00780-012-0186-zzbMath1256.91066OpenAlexW2033629870MaRDI QIDQ1936828

Martin Hunting, Jostein Paulsen

Publication date: 7 February 2013

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

Full work available at URL: http://hdl.handle.net/1956/6214

zbMATH Keywords

numerical solutionimpulse controlsingular controlbarrier strategyjump-diffusion modelsoptimal dividends

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Impulsive optimal control problems (49N25)

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