M ar 2 00 7 Optimal Dividend Payments under Fixed Cost and Implementation Delays for Various Models ∗ † ‡
نویسندگان
چکیده
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, OrnsteinUhlenbeck 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.
منابع مشابه
J ul 2 00 7 A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays ∗ † ‡
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, OrnsteinUhlenbeck and square-root processes. Since the cashflow structure of different companies have different qual...
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