Liquidity risk and optimal dividend/investment strategies

DOI10.1007/s11579-016-0173-9zbMath1404.91243OpenAlexW2399635492MaRDI QIDQ506385

Etienne Chevalier, Vathana Ly Vath, M'hamed Gaigi

Publication date: 31 January 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-016-0173-9

zbMATH Keywords

viscosity solutionstochastic controlliquidity constraintsdividend problemoptimal singular/switching problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (4)

Optimal harvesting under marine reserves and uncertain environment ⋮ On a mixed singular/switching control problem with multiple regimes ⋮ Optimal dividend and risk control policies in the presence of a fixed transaction cost ⋮ Optimal dividend and capital structure with debt covenants

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