THE DIVIDEND PROBLEM WITH A FINITE HORIZON

被引：19

作者：

De Angelis, Tiziano ^{[1
]}

Ekstrom, Erik ^{[2
]}

机构：

[1] Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England

[2] Uppsala Univ, Dept Math, BOX 480, S-75106 Uppsala, Sweden

来源：

ANNALS OF APPLIED PROBABILITY | 2017年 / 27卷 / 06期

基金：

瑞典研究理事会;

关键词：

The dividend problem; singular control; optimal stopping; SINGULAR STOCHASTIC-CONTROL; OPTIMAL CONSUMPTION PROBLEM; TIME-HORIZON; PROBABILISTIC ASPECTS; FOLLOWER PROBLEMS; RUSSIAN OPTIONS; BROWNIAN MODEL; CONNECTIONS; ABSORPTION; FUEL;

D O I：

10.1214/17-AAP1286

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 0 and created at a rate proportional to its local time.

引用

页码：3525 / 3546

页数：22

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