An optimal dividend and investment control problem under debt constraints

DOI10.1137/120866816MaRDI QIDQ2873129zbMATHOpenAlexFDO

Authors Etienne Chevalier, Vathana Ly Vath, Simone Scotti

Publication date 23 January 2014

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/eda61574439978ed5ab00a0f994780723125785b

zbMATH Keywords

optimal controlstochastic controlswitching controlviscosity solutions

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Viscosity solutions to PDEs (35D40) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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(19)

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• Numerical approximation of a cash-constrained firm value with investment opportunities
• Optimal harvesting under marine reserves and uncertain environment
• Risky debt and optimal coupon policy and other optimal strategies
• Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
• Optimal exit strategies for investment projects
• Portfolio optimization for assets with stochastic yields and stochastic volatility
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Debt-equity swap with finite time horizon -- variational inequality approach
• Liquidity management with decreasing returns to scale and secured credit line
• Liquidity risk and optimal dividend/investment strategies
• Optimal control of a big financial company with debt liability under bankrupt probability constraints
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Optimal dividend strategy for an insurance group with contagious default risk
• A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables

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