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

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  • Lihua Bai
  • Martin Hunting
  • Jostein Paulsen

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  • 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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    References listed on IDEAS

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    1. J. Michael Harrison & Thomas M. Sellke & Allison J. Taylor, 1983. "Impulse Control of Brownian Motion," Mathematics of Operations Research, INFORMS, vol. 8(3), pages 454-466, August.
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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. Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.
    4. Yongwu Li & Zhongfei Li & Yan Zeng, 2016. "Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 699-722, February.
    5. Kristoffer Lindensjo & Filip Lindskog, 2019. "Optimal dividends and capital injection under dividend restrictions," Papers 1902.06294, arXiv.org.
    6. Soren Christensen & Kristoffer Lindensjo, 2019. "Moment constrained optimal dividends: precommitment \& consistent planning," Papers 1909.10749, arXiv.org.
    7. Katia Colaneri & Julia Eisenberg & Benedetta Salterini, 2022. "Some Optimisation Problems in Insurance with a Terminal Distribution Constraint," Papers 2206.04680, arXiv.org.
    8. 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.
    9. Chen, Shumin & Zeng, Yan & Hao, Zhifeng, 2017. "Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér–Lundberg model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 31-45.
    10. Chen, Shumin & Liu, Yanchu & Weng, Chengguo, 2019. "Dynamic risk-sharing game and reinsurance contract design," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 216-231.

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    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;
    All these keywords.

    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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