Optimization of the flow of dividends

From MaRDI portal
Publication:4884260


DOI10.1070/RM1995v050n02ABEH002054zbMath0878.90014MaRDI QIDQ4884260

Albert N. Shiryaev, Monique Jeanblanc-Picqué

Publication date: 5 January 1998

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm1995v050n02abeh002054


91B60: Trade models

91B82: Statistical methods; economic indices and measures


Related Items

Optimal control with restrictions for a diffusion risk model under constant interest force, Equilibrium dividend strategy with non-exponential discounting in a dual model, On the optimal dividend problem for insurance risk models with surplus-dependent premiums, Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences, Dividend maximization in a hidden Markov switching model, Liquidity management with decreasing returns to scale and secured credit line, On a dual risk model perturbed by diffusion with dividend threshold, Optimization of a dividend strategy of an insurance company continuing its work after the ruin, Optimal harvesting when the exchange rate is a semimartingale, Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, Market frictions and corporate finance: an overview paper, Optimal dividend payout for classical risk model with risk constraint, Liquidity risk and optimal dividend/investment strategies, Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs, Optimality of the threshold dividend strategy for the compound Poisson model, Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process, An optimal dividends problem with transaction costs for spectrally negative Lévy processes, On barrier strategy dividends with Parisian implementation delay for classical surplus processes, Corporate portfolio management, Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs, Optimal investment for insurer with jump-diffusion risk process, Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion, A mixed singular/switching control problem for a dividend policy with reversible technology investment, Optimal dividend and issuance of equity policies in the presence of proportional costs, On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes, A unified treatment of dividend payment problems under fixed cost and implementation delays, Refracted Lévy processes, Optimal risk and dividend control for a company with a debt liability, Dividends: from refracting to ratcheting, On the optimal dividend problem in the dual model with surplus-dependent premiums, On weighted occupation times for refracted spectrally negative Lévy processes, The shadow costs of repos and bank liability structure, Solution to HJB equations with an elliptic integro-differential operator and gradient constraint, Optimal multi-dimensional stochastic harvesting with density-dependent prices, Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model, The dividend problem with a finite horizon, Optimal dividend and investment problems under Sparre Andersen model, An approximation scheme for impulse control with random reaction periods, Optimization of risk policy and dividends with fixed transaction costs under interest rate, Optimal dividend distribution under Markov regime switching, Interplay between dividend rate and business constraints for a financial corporation, Optimal control of risk exposure, reinsurance and investments for insurance portfolios, Optimal risk control and dividend distribution policies for a diffusion model with terminal value, Optimal dividend policies with transaction costs for a class of jump-diffusion processes, The optimal dividend payout model with terminal values and its application, Optimal dividend strategies with time-inconsistent preferences, Optimal dividend and capital structure with debt covenants, Optimal reinsurance-investment and dividends problem with fixed transaction costs, Optimal dividend policy when cash surplus follows the telegraph process, Learning about profitability and dynamic cash management, Fiscal stimulus as an optimal control problem, On the dual risk model with diffusion under a mixed dividend strategy, Zero-sum stochastic differential game in finite horizon involving impulse controls, Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs, Optimal dividends and capital injection under dividend restrictions, Optimal dividend and risk control policies in the presence of a fixed transaction cost, Dividend problem with Parisian delay for a spectrally negative Lévy risk process, Classical and singular stochastic control for the optimal dividend policy when there is regime switching, Optimal dividends with partial information and stopping of a degenerate reflecting diffusion, Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest, Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates, Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model, Optimal dividend payments for a two-dimensional insurance risk process, Classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy, Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching, Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes, Optimal dividend problem with a nonlinear regular-singular stochastic control, Optimal dividend policy with random interest rates, Optimal dividend and equity issuance problem with proportional and fixed transaction costs, Optimal dividend policy in discrete time, Optimal dividend policy and growth option, A model of optimal portfolio selection under liquidity risk and price impact, On the optimal dividend problem for a spectrally negative Lévy process, Optimizing venture capital investments in a jump diffusion model, Optimal risk and liquidity management with costly refinancing opportunities, An impulse control of a geometric Brownian motion with quadratic costs, On optimal dividends: from reflection to refraction, A constrained non-linear regular-singular stochastic control problem, with applications., Semismooth Newton methods with a shooting-like technique for solving a constrained free-boundary HJB equation, Optimal fee structure of variable annuities, De Finetti's control problem with competition, Irreversible reinsurance: a singular control approach, Optimal dividends under a drawdown constraint and a curious square-root rule, Dynamic programming principle for classical and singular stochastic control with discretionary stopping, Some Solvable Stochastic Control Problems With Delay, Optimal dividend control for a generalized risk model with investment incomes and debit interest, Impulse Stochastic Control for the Optimization of the Dividend Payments of the Compound Poisson Risk Model Perturbed by Diffusion, Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities, EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY, Excess capital, operational disaster risk, and capital requirements for banks, MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS, De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process, Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes, Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes, OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL, The Optimal Dividend Problem in the Dual Model, OPTIMAL DIVIDEND POLICY AND STOCK PRICES, A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model, Optimal strategies in a risky debt context, OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS, A two-dimensional dividend problem for collaborating companies and an optimal stopping problem, ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS, Optimal dividend policies for piecewise-deterministic compound Poisson risk models, A note on optimal expected utility of dividend payments with proportional reinsurance, Expected Supremum Representation of the Value of a Singular Stochastic Control Problem, SHAREHOLDER RISK MEASURES, Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty, On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control, On a Class of Path-Dependent Singular Stochastic Control Problems, NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS, Unnamed Item, Discrete Dividend Payments in Continuous Time, Bayesian Dividend Optimization and Finite Time Ruin Probabilities, Short Communication: American Student Loans: Repayment and Valuation, Optimal reinsurance and dividends with transaction costs and taxes under thinning structure, Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs, On Optimal Dividend Strategies In The Compound Poisson Model, On The Merger Of Two Companies, Ruin Minimization for Insurers with Borrowing Constraints, Strategies for Dividend Distribution: A Review, Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls, Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk, A perturbation approach to optimal investment, liability ratio, and dividend strategies, Moment-constrained optimal dividends: precommitment and consistent planning, Optimal Ratcheting of Dividends in a Brownian Risk Model, Optimal dividends and reinsurance with capital injection under thinning dependence, Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS, Optimal dividend problems for Sparre Andersen risk model with bounded dividend rates, An Optimal Dividend Problem with Capital Injections over a Finite Horizon, Stochastic optimal control on dividend policies with bankruptcy, Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case, Optimal dividend strategy with transaction costs for an upward jump model, Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs, Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs, CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM, Optimal risk control and dividend policies under excess of loss reinsurance, Optimal Dividends, Corporate security prices in structural credit risk models with incomplete information, On the optimality of the refraction-reflection strategies for Lévy processes, Optimal dividend payout under stochastic discounting, The de Finetti Problem with Uncertain Competition, The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem, On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy, On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy, Pricing Asset Scheduling Flexibility using Optimal Switching, Optimal Dividend Payouts Under Jump-Diffusion Risk Processes