On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
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Publication:713215
DOI10.1016/j.spa.2012.08.009zbMath1252.49057arXiv1203.5206OpenAlexW2018111626MaRDI QIDQ713215
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
diffusion processquasi-variational inequalitiesoptimal dividendslump sum dividend barrier strategytwo-level lump sum dividend barrier strategy
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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