Optimal dividend payments in the stochastic Ramsey model

DOI10.1016/j.spa.2010.01.001zbMath1193.91074OpenAlexW2038177333MaRDI QIDQ963030

Hiroaki Morimoto

Publication date: 8 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.01.001

zbMATH Keywords

variational inequalityviscosity solutionssingular controldividend

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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A Markov decision problem in a risk model with interest rate and Markovian environment ⋮ Singular stochastic control model for algae growth management in dam downstream ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Optimal dividend and risk control in diffusion models with linear costs

Cites Work

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• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal Consumption in a Growth Model with the Cobb–Douglas Production Function
• Optimization and nonsmooth analysis
• Stochastic differential equations with reflecting boundary conditions
• User’s guide to viscosity solutions of second order partial differential equations
• An Asymptotic Theory of Growth Under Uncertainty
• Optimal Financing of a Corporation Subject To Random Returns
• A class of singular stochastic control problems

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