Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy

Jinxia Zhu and Hailiang Yang

Insurance: Mathematics and Economics, 2016, vol. 70, issue C, 259-271

Abstract: We consider the optimal capital injection and dividend control problem for a class of growth restricted diffusions with the possibility of bankruptcy. The surplus process of a company is modeled by a diffusion process with return and volatility being functions of the surplus process. The company can control the dividend payments and capital injections with the goal of maximizing the expectation of the total discounted dividends minus the total cost of capital injections up to the time of bankruptcy. We distinguish three cases and provide optimality results for each case.

Keywords: Capital injection; Control; Diffusion; Dividend; Optimal financing (search for similar items in EconPapers)
JEL-codes: C02 C61 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:70:y:2016:i:c:p:259-271

DOI: 10.1016/j.insmatheco.2016.05.011

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