Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs

DOI10.1007/S10255-015-0474-4MaRDI QIDQ2355355zbMATH OpenOpenAlexFDO

Authors Shumin Chen, Zhongfei Li

Publication date 22 July 2015

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-015-0474-4

zbMATH Keywords

fixed transaction costdual risk modeloptimal dividend strategymixed impulse-singular controloptimal equity issuance strategy

Mathematics Subject Classification ID

Dynamic programming (90C39)

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Cites work

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• Controlled Markov processes and viscosity solutions
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• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On a dual model with a dividend threshold
• On the dual risk model with tax payments
• Optimal Dividends in the Dual Model with Diffusion
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Optimal dividend strategies in a dual model with capital injections
• Optimal dividends in the dual model
• Optimal dividends with incomplete information in the dual model
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal financing and dividend strategies in a dual model with proportional costs
• Optimizing venture capital investments in a jump diffusion model
• Ruin probabilities of a dual Markov-modulated risk model
• Stochastic differential equations. An introduction with applications.

Cited in

(7)

• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal dividend and issuance of equity policies in the presence of proportional costs
• Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
• Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
• Optimal impulse dividend and capital injection model with proportional and fixed transaction costs
• Optimal dividend and equity issuance problem with proportional and fixed transaction costs
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin

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