Optimal dividends under a drawdown constraint and a curious square-root rule

DOI10.1007/s00780-023-00500-6zbMath1511.91161arXiv2206.12220MaRDI QIDQ6403053

Nora Muler, Pablo Azcue, Hansjoerg Albrecher

Publication date: 24 June 2022

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

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