General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation
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Publication:3694943
DOI10.1137/0515086zbMath0575.90008OpenAlexW3125599801MaRDI QIDQ3694943
John P. Lehoczky, N. A. Derzko, Suresh P. Sethi
Publication date: 1984
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0515086
integral equationstochastic processmartingale methodsstochastic environmentvaluation of a firmModigliani-Miller-theory
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A Stochastic Extension of the Miller‐Modigliani Framework1 ⋮ “Martingale Valuation of Cash Flows for Insurance and Interest Models”, J. F. Carriére, July 2004 ⋮ Optimal investment policy and dividend payment strategy in an insurance company ⋮ A note on a simplified approach to the valuation of risky streams ⋮ Stochastic optimal control on impulse dividend model with stochastic returns
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