On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs

DOI10.1016/j.spa.2012.08.009zbMath1252.49057arXiv1203.5206OpenAlexW2018111626MaRDI QIDQ713215

Lihua Bai, Jostein Paulsen

Publication date: 26 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5206

zbMATH Keywords

diffusion processquasi-variational inequalitiesoptimal dividendslump sum dividend barrier strategytwo-level lump sum dividend barrier strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Impulsive optimal control problems (49N25)

Related Items (4)

Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty

Cites Work

• Optimal harvesting under stochastic fluctuations and critical depensation
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• Unnamed Item

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