Stable dividends under linear-quadratic optimisation

DOI10.1080/14697688.2023.2227661zbMath1522.91303arXiv2210.03494OpenAlexW4381729906MaRDI QIDQ6053106

Mogens Steffensen, Benjamin Avanzi, Debbie Kusch Falden

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.03494

zbMATH Keywords

stabilitystochastic controllinearitydividendsrisk theory

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

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