Optimal dividend policies with transaction costs for a class of jump-diffusion processes

DOI10.1007/s00780-012-0186-zzbMath1256.91066MaRDI QIDQ1936828

Martin Hunting, Jostein Paulsen

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1956/6214

zbMATH Keywords

numerical solution; impulse control; singular control; barrier strategy; jump-diffusion models; optimal dividends

Mathematics Subject Classification ID

45J05: Integro-ordinary differential equations

93E20: Optimal stochastic control

91G80: Financial applications of other theories

49N25: Impulsive optimal control problems

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