A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays

Erhan Bayraktar and Masahiko Egami

Papers from arXiv.org

Abstract: In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root processes. We provide our solution via a new characterization of the value function for one-dimensional diffusions and provide easily implementable algorithms to find the optimal control and the value function.

Date: 2007-03, Revised 2009-01
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Citations: View citations in EconPapers (1)

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Journal Article: A unified treatment of dividend payment problems under fixed cost and implementation delays (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0703825

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