Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
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Publication:2282963
DOI10.1007/s00780-019-00407-1zbMath1430.91127arXiv1805.12035OpenAlexW2980592374WikidataQ126998331 ScholiaQ126998331MaRDI QIDQ2282963
Publication date: 27 December 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.12035
optimal stoppingfree boundary problemspartial informationsingular controlreflected diffusionsStroock-Williams equationdividend problem
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (12)
Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ Dynkin Games with Incomplete and Asymmetric Information ⋮ Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Optimal dividend payout under stochastic discounting ⋮ Two-Sided Singular Control of an Inventory with Unknown Demand Trend ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Learning about profitability and dynamic cash management ⋮ Optimal Retirement Under Partial Information
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