A mixed singular/switching control problem for a dividend policy with reversible technology investment
From MaRDI portal
(Redirected from Publication:930682)
Abstract: We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular control. We prove that our mixed problem can be decoupled in two pure optimal stopping and singular control problems. Furthermore, we describe the form of the optimal strategy by means of viscosity solution techniques and smooth-fit properties on the corresponding system of variational inequalities. Our results are of a quasi-explicit nature. From a financial viewpoint, we characterize situations where a firm manager decides optimally to postpone dividend distribution in order to invest in a reversible growth opportunity corresponding to a modern technology. In this paper a reversible opportunity means that the firm may disinvest from the modern technology and return back to its old technology by receiving some gain compensation. The results of our analysis take qualitatively different forms depending on the parameters values.
Recommendations
- Optimal dividend policy and growth option
- Optimal dividend payment and regime switching in a compound Poisson risk model
- Optimizing venture capital investments in a jump diffusion model
- An optimal dividend and investment control problem under debt constraints
- Liquidity risk and optimal dividend/investment strategies
Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
- A model for investment decisions with switching costs.
- A problem of singular stochastic control with discretionary stopping
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- Finite-Fuel Singular Control With Discretionary Stopping
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Optimal Switching in an Economic Activity under Uncertainty
- Optimal dividend policy and growth option
- Optimal partially reversible investment with entry decision and general production function
- Optimization of the flow of dividends
- Risk vs. profit potential:
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(18)- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
- A singular stochastic control problem with direction switching cost
- On a mixed singular/switching control problem with multiple regimes
- Optimal dividend and capital structure with debt covenants
- Optimal dividend payment and regime switching in a compound Poisson risk model
- A full balance sheet two-mode optimal switching problem
- Optimal switching in finite horizon under state constraints
- Optimal strategies in a risky debt context
- Optimal exit strategies for investment projects
- Finite-horizon optimal multiple switching with signed switching costs
- Optimal dividend policy and growth option
- The impact of negative interest rates on optimal capital injections
- Liquidity management with decreasing returns to scale and secured credit line
- Liquidity risk and optimal dividend/investment strategies
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Optimizing venture capital investments in a jump diffusion model
- Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
This page was built for publication: A mixed singular/switching control problem for a dividend policy with reversible technology investment
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930682)
