Optimal dividend and risk control in diffusion models with linear costs

Hiroaki Morimoto ()
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Hiroaki Morimoto: Ehime University

A chapter in Operations Research Proceedings 2011, 2012, pp 9-14 from Springer

Abstract: Abstract We consider the optimization problem of dividends and risk exposures of a firm in the diffusion model with linear costs. The variational inequality associated with this problem is given by the nonlinear form of elliptic type. Using the viscosity solutions technique, we solve the corresponding penalty equation and show the existence of a classical solution to the variational inequality. The optimal policy of dividend payment and risk exposure is shown to exist.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_2

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DOI: 10.1007/978-3-642-29210-1_2

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