The dividend problem with a finite horizon

Tiziano De Angelis and Erik Ekstr\"om

Papers from arXiv.org

Abstract: 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.

Date: 2016-09, Revised 2017-11
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1609.01655

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