Browsing Bergen Open Research Archive by Author "Paulsen, Jostein"

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

Bai, Lihua; Hunting, Martin; Paulsen, Jostein (Peer reviewed; Journal article, 2012)

In this paper, we consider a company where surplus follows a rather general di usion process and whose objective is to maximize expected discounted dividend payments. With each dividend payment there are transaction costs ...
Optimal dividend policies with transaction costs for a class of jump-diffusion processes

Hunting, Martin; Paulsen, Jostein (Peer reviewed; Journal article, 2012)

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components ...