Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes

DOI10.1137/090773210zbMath1208.49043OpenAlexW2071712003MaRDI QIDQ3083252

Lihua Bai, Jostein Paulsen

Publication date: 21 March 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090773210

zbMATH Keywords

diffusion processquasi-variational inequalitiesoptimal dividendslump sum dividend barrier strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Impulsive optimal control problems (49N25)

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