Optimal dividend payments in the stochastic Ramsey model
type: Item
instance of: scholarly article
title: Optimal dividend payments in the stochastic Ramsey model
zbMATH Open document ID: 1193.91074
author: Hiroaki Morimoto
published in: Stochastic Processes and their Applications
publication date: 2010-04-08T00:00:00Z
review text: This paper deals with the dividend payments of a self-financing firm in the stochastic Ramsey model. The firm's policy is the dividend payment per capital stock for shareholders. The author derived the stochastic integral equation for the dynamics of capital stock and treated the problem to maximize the expected total discounted dividends, subject to a positive constraint on the capital stock. Using the penalization method, he obtained a solution for the variational inequality associated with the problem and gave a synthesis of the optimal dividend policy.
reviewed by: Makiko Nisio
Mathematics Subject Classification ID: 91B38
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5690761
zbMATH Keywords: dividend
zbMATH Keywords: variational inequality
zbMATH Keywords: viscosity solutions
zbMATH Keywords: singular control
MaRDI profile type: Publication
full work available at URL: j.spa.2010.01.001
OpenAlex ID: W2038177333
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DOI: 10.1016/J.SPA.2010.01.001
description: scientific article; zbMATH DE number 5690761