Browsing Department of Mathematics by Subject "quasi-variational inequalities"

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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 ...