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

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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.
Key Words: Impulse Control, Implementation Delay, Dividend Payments, Brownian motion, Ornstein-Uhlenbeck Process, Square-root Process, Itô Diffusions

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Optimization and Control, Probability, General Finance, 93E20, 60J60

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http://salesiana.dossiersoluciones.com/handle/123456789/216715

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0703825
 http://arxiv.org/abs/math/0703825

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arXiv