Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
Author
Abstract
Suggested Citation
DOI: 10.1007/s00780-011-0169-5
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Kristoffer Lindensjo & Filip Lindskog, 2019. "Optimal dividends and capital injection under dividend restrictions," Papers 1902.06294, arXiv.org.
- 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.
- 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.
- 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.
- 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.
- Soren Christensen & Kristoffer Lindensjo, 2019. "Moment constrained optimal dividends: precommitment \& consistent planning," Papers 1909.10749, arXiv.org.
- 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.
- 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.
- Katia Colaneri & Julia Eisenberg & Benedetta Salterini, 2022. "Some Optimisation Problems in Insurance with a Terminal Distribution Constraint," Papers 2206.04680, arXiv.org.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ricardo J. Caballero & Eduardo M.R.A. Engel, 2004. "A Comment on the Economics of Labor Adjustment: Mind the Gap: Reply," American Economic Review, American Economic Association, vol. 94(4), pages 1238-1244, September.
- Fernando Alvarez & Francesco Lippi & Roberto Robatto, 2019.
"Cost of Inflation in Inventory Theoretical Models,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 206-226, April.
- Roberto Robatto & Francesco Lippi & Fernando Alvarez, 2017. "Cost of Inflation in Inventory Theoretical Models," 2017 Meeting Papers 490, Society for Economic Dynamics.
- Ohnishi, Masamitsu & Tsujimura, Motoh, 2006. "An impulse control of a geometric Brownian motion with quadratic costs," European Journal of Operational Research, Elsevier, vol. 168(2), pages 311-321, January.
- Alain Bensoussan & Benoît Chevalier-Roignant, 2019. "Sequential Capacity Expansion Options," Operations Research, INFORMS, vol. 67(1), pages 33-57, January.
- Abel Cadenillas & Peter Lakner & Michael Pinedo, 2010. "Optimal Control of a Mean-Reverting Inventory," Operations Research, INFORMS, vol. 58(6), pages 1697-1710, December.
- Milind M. Shrikhande, 1997. "The cost of doing business abroad and international capital market equilibrium," FRB Atlanta Working Paper 97-3, Federal Reserve Bank of Atlanta.
- Haolin Feng & Kumar Muthuraman, 2010. "A Computational Method for Stochastic Impulse Control Problems," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 830-850, November.
- Alvarez, Fernando & Lippi, Francesco, 2013.
"The demand of liquid assets with uncertain lumpy expenditures,"
Journal of Monetary Economics, Elsevier, vol. 60(7), pages 753-770.
- Fernando Alvarez & Francesco Lippi, 2012. "The Demand of Liquid Assets with Uncertain Lumpy Expenditures," NBER Working Papers 18152, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Francesco Lippi, 2013. "The demand of liquid assets with uncertain lumpy expenditures," EIEF Working Papers Series 1307, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2013.
- Özkan, Erhun & Tan, Barış, 2025. "Asymptotically optimal energy consumption and inventory control in a make-to-stock manufacturing system," European Journal of Operational Research, Elsevier, vol. 320(2), pages 375-388.
- Jingchen Wu & Xiuli Chao, 2014. "Optimal Control of a Brownian Production/Inventory System with Average Cost Criterion," Mathematics of Operations Research, INFORMS, vol. 39(1), pages 163-189, February.
- Gregory Gagnon, 2019. "Vanishing central bank intervention in stochastic impulse control," Annals of Finance, Springer, vol. 15(1), pages 125-153, March.
- Flood, Robert & Marion, Nancy, 1997. "The size and timing of devaluations in capital-controlled economies," Journal of Development Economics, Elsevier, vol. 54(1), pages 123-147, October.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "A real options model for electricity capacity expansion," LIDAM Discussion Papers CORE 2011044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrew Clausen & Carlo Strub, 2012.
"Envelope theorems for non-smooth and non-concave optimization,"
ECON - Working Papers
062, Department of Economics - University of Zurich.
- Carlo Strub & Andrew Clausen, 2014. "A General and Intuitive Envelope Theorem," 2014 Meeting Papers 235, Society for Economic Dynamics.
- Andrew Clausen & Carlo Strub, 2016. "A General and Intuitive Envelope Theorem," Edinburgh School of Economics Discussion Paper Series 274, Edinburgh School of Economics, University of Edinburgh.
- Clausen, Andrew & Strub, Carlo, 2013. "A General and Intuitive Envelope Theorem," SIRE Discussion Papers 2015-43, Scottish Institute for Research in Economics (SIRE).
- Andrew Clausen & Carlo Strub, 2014. "A General and Intuitive Envelope Theorem," Edinburgh School of Economics Discussion Paper Series 248, Edinburgh School of Economics, University of Edinburgh.
- Owen Q. Wu & Hong Chen, 2010. "Optimal Control and Equilibrium Behavior of Production-Inventory Systems," Management Science, INFORMS, vol. 56(8), pages 1362-1379, August.
- Jose M. Plehn-Dujowich, 2005. "The Optimality of a Control Band Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(4), pages 877-901, October.
- Sandun C. Perera & Suresh P. Sethi, 2023. "A survey of stochastic inventory models with fixed costs: Optimality of (s, S) and (s, S)‐type policies—Continuous‐time case," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 154-169, January.
- Dixit, Avinash, 1995.
"Irreversible investment with uncertainty and scale economies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 327-350.
- Dixit, Avinash, 1992. "Irreversible investment with uncertainty and scale economies," LSE Research Online Documents on Economics 19372, London School of Economics and Political Science, LSE Library.
- Avinash Dixit, 1992. "Irreversible Investment with Uncertainty and Scale Economies," STICERD - Theoretical Economics Paper Series 240, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Perry, David & Berg, M. & Posner, M. J. M., 2001. "Stochastic models for broker inventory in dealership markets with a cash management interpretation," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 23-34, August.
- Enrico Spolaore, 2004. "Adjustments in Different Government Systems," Economics and Politics, Wiley Blackwell, vol. 16(2), pages 117-146, July.
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
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:16:y:2012:i:3:p:477-511. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.