Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-02-23
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
In this paper, we consider the optimization problem of dividends for the terminal bankruptcy model, in which some money would be returned to shareholders at the state of terminal bankruptcy, while accounting for the tax rate and transaction cost for dividend payout.
Maximization of both expected total discounted dividends before bankruptcy and expected discounted returned money at the state of terminal bankruptcy becomes a mixed classical-impulse stochastic control problem.
In order to solve this problem, we reduce it to quasi-variational inequalities with a nonzero boundary condition.
We explicitly construct and verify solutions of these inequalities and present the value function together with the optimal policy.
American Psychological Association (APA)
Chen, Peimin& Li, Bo. 2017. Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-14.
https://search.emarefa.net/detail/BIM-1151236
Modern Language Association (MLA)
Chen, Peimin& Li, Bo. Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-14.
https://search.emarefa.net/detail/BIM-1151236
American Medical Association (AMA)
Chen, Peimin& Li, Bo. Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-14.
https://search.emarefa.net/detail/BIM-1151236
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151236