The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem

DOI10.1137/22m152791xarXiv2206.11534OpenAlexW4390830590WikidataQ130132518 ScholiaQ130132518MaRDI QIDQ6180251

Tiziano De Angelis, Erik Ekström, Marcus Olofsson

Publication date: 19 January 2024

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.11534

zbMATH Keywords

optimal stoppingfree boundary problemsmaximality principledividend problemsingular control with absorption

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Optimization of the flow of dividends
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