De Angelis, T and Ekström, E (2017) The dividend problem with a finite horizon. Annals of Applied Probability, 27 (6). pp. 3525-3546. ISSN 1050-5164
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 reflection 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 reflected at 00 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: | © Institute of Mathematical Statistics, 2017. Reproduced 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: | 22 Mar 2017 11:57 |
Last Modified: | 11 Sep 2020 14:52 |
Status: | Published |
Publisher: | Institute of Mathematical Statistics (IMS) |
Identification Number: | 10.1214/17-AAP1286 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:113980 |