On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
In Bai and Paulsen [L. Bai, J. Paulsen, Optimal dividend policies with transaction costs for a class of diffusion processes, SIAM J. Control Optim. 48 (2010) 4987–5008] the optimal dividend problem under transaction costs was analyzed for a rather general class of diffusion processes. It was divided into several subclasses, and for the majority of subclasses the optimal policy is a simple barrier policy; whenever the process hits an upper barrier ū∗, reduce it to ū∗−ξ through a dividend payment. After transaction costs, the shareholder receives kξ−K.
Volume (Year): 122 (2012)
Issue (Month): 12 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lihua Bai & Martin Hunting & Jostein Paulsen, 2012. "Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints," Finance and Stochastics, Springer, vol. 16(3), pages 477-511, July.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:12:p:4005-4027. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.