Optimal dividend strategies in a dual model with capital injections

Hongshuai Dai (), Zaiming Liu and Nana Luan

Mathematical Methods of Operations Research, 2010, vol. 72, issue 1, 129-143

Abstract: We study three types of practical optimization problems faced by a firm that can control its liquid reserves by paying dividends and by issuing new equity. In the first problem, we consider the classical dividend problem without equity issuance. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of issuing new equity over strategies associated with positive reserves at all times. The third problem has the same objective as the second one, but with no constraints on the reserves. Under the assumption of proportional transaction costs, we identify the value functions and the optimal strategies. We also present the relationship between three problems. Copyright Springer-Verlag 2010

Keywords: Optimal dividend; Singular stochastic control; Jump diffusion processes; Hamilton-Jacob-Bellman equation; Capital injections; Primary: 91B28; 91B16; Secondary: 60H05; 60H10 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00186-010-0312-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:72:y:2010:i:1:p:129-143

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s00186-010-0312-7

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().