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

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dc.creatorBayraktar, Erhan
dc.creatorEgami, Masahiko
dc.date2007-03-28
dc.date2009-01-21
dc.date.accessioned2026-07-07T12:32:14Z
dc.date.available2026-07-07T12:32:14Z
dc.descriptionIn 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.
dc.descriptionKey Words: Impulse Control, Implementation Delay, Dividend Payments, Brownian motion, Ornstein-Uhlenbeck Process, Square-root Process, Itô Diffusions
dc.identifierhttps://arxiv.org/abs/math/0703825
dc.identifierhttp://arxiv.org/abs/math/0703825
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/216715
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectGeneral Finance
dc.subject93E20, 60J60
dc.titleA Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
dc.typetext

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