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Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints

Author

Listed:
  • Lihua Bai

    ()

  • Martin Hunting

    ()

  • Jostein Paulsen

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:3:p:477-511
    DOI: 10.1007/s00780-011-0169-5
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    File URL: http://hdl.handle.net/10.1007/s00780-011-0169-5
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    Citations

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    Cited by:

    1. Jiyang Tan & Chun Li & Ziqiang Li & Xiangqun Yang & Bicheng Zhang, 2015. "Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 82(1), pages 61-83, August.
    2. Bai, Lihua & Paulsen, Jostein, 2012. "On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 4005-4027.
    3. Zhu, Jinxia & Chen, Feng, 2015. "Dividend optimization under reserve constraints for the Cramér–Lundberg model compounded by force of interest," Economic Modelling, Elsevier, vol. 46(C), pages 142-156.
    4. repec:eee:insuma:v:74:y:2017:i:c:p:31-45 is not listed on IDEAS

    More about this item

    Keywords

    Optimal dividends; General diffusion; Solvency constraint; Quasi-variational inequalities; Lump sum dividend barrier strategy; 49N25; 93E20; 91B28; 60J70; 65M06; C61;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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