An Optimal Dividend and Investment Control Problem under Debt Constraints

DOI10.1137/120866816zbMath1290.91175OpenAlexW2137698130MaRDI QIDQ2873129

Vathana Ly Vath, Etienne Chevalier, Simone Scotti

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/eda61574439978ed5ab00a0f994780723125785b

zbMATH Keywords

optimal controlstochastic controlviscosity solutionsswitching control

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50) Viscosity solutions to PDEs (35D40)

Related Items (12)

Optimal harvesting under marine reserves and uncertain environment ⋮ On a mixed singular/switching control problem with multiple regimes ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty ⋮ Liquidity risk and optimal dividend/investment strategies ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Optimal dividend and capital structure with debt covenants ⋮ Optimal exit strategies for investment projects ⋮ Portfolio optimization for assets with stochastic yields and stochastic volatility ⋮ Optimal dividend strategy for an insurance group with contagious default risk ⋮ RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

This page was built for publication: An Optimal Dividend and Investment Control Problem under Debt Constraints