Optimal dividend payout under stochastic discounting

DOI10.1111/mafi.12339zbMath1522.91305arXiv2005.11538OpenAlexW4205419239MaRDI QIDQ6054423

Elena Bandini, Giorgio Ferrari, Fausto Gozzi, Tiziano De Angelis

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.11538

zbMATH Keywords

optimal stoppingfree boundary problemssingular controloptimal dividendCIR modelstochastic interest rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (2)

Optimal dividends under Markov-modulated bankruptcy level ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems

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