Optimal financing and dividend strategies in a dual model with proportional costs

DOI10.3934/jimo.2010.6.761zbMath1218.93112OpenAlexW2014011139MaRDI QIDQ620016

Hailiang Yang, Rong-Ming Wang, Ding Jun Yao

Publication date: 19 January 2011

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2010.6.761

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal strategyproportional transaction costsdividend paymentdual risk modelequity issuance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) System identification (93B30) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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