Optimal dividend payout with path-dependent drawdown constraint

DOI10.1007/S00245-026-10383-6MaRDI QIDQ7226960zbMATH OpenFDO

Authors Chonghu Guan, Jiacheng Fan, Zuo Quan Xu

Publication date 8 April 2026

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00245-026-10383-6

zbMATH Keywords

drawdown constraintfree boundary problemgradient constraintoptimal dividend payoutpath-dependent constraint

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

Cites work

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