On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs

DOI10.1016/j.spa.2012.08.009zbMath1252.49057arXiv1203.5206OpenAlexW2018111626MaRDI QIDQ713215

Lihua Bai, Jostein Paulsen

Publication date: 26 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5206

zbMATH Keywords

diffusion processquasi-variational inequalitiesoptimal dividendslump sum dividend barrier strategytwo-level lump sum dividend barrier strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Impulsive optimal control problems (49N25)

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