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)
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