De Angelis, T and Ferrari, G (2014) A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. Stochastic Processes and their Applications, 124. pp. 4080-4119. ISSN 0304-4149
Abstract
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod reection of the fund's value at a time-dependent optimal boundary. Our results are obtained by establishing for the first time a new connection between singular control problems with an absorbing boundary and optimal stopping problems on a diffusion reected at 0 and created at a rate proportional to its local time.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2014 Elsevier B.V. This is an author produced version of a paper published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy |
Keywords: | The dividend problem; singular control; optimal stopping |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 05 Jun 2017 10:27 |
Last Modified: | 25 Jan 2018 21:02 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.spa.2014.07.008 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:112931 |