Liquidity risk and optimal dividend/investment strategies
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Publication:506385
DOI10.1007/s11579-016-0173-9zbMath1404.91243OpenAlexW2399635492MaRDI QIDQ506385
Etienne Chevalier, Vathana Ly Vath, M'hamed Gaigi
Publication date: 31 January 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-016-0173-9
viscosity solutionstochastic controlliquidity constraintsdividend problemoptimal singular/switching problem
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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