Liquidity management with decreasing returns to scale and secured credit line

DOI10.1007/s00780-016-0312-4zbMath1349.91304arXiv1411.7670OpenAlexW2215903555MaRDI QIDQ331354

Stéphane Villeneuve, Erwan Pierre, Xavier Warin

Publication date: 27 October 2016

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

Full work available at URL: https://arxiv.org/abs/1411.7670

zbMATH Keywords

dynamic programmingviscosity solutionstochastic differential equationssingular controldividend policyliquidity management

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

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