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Optimal Dividend Policy when Cash Surplus Follows the Telegraph Process.
- Source :
-
Mathematical Notes . Jan2021, Vol. 109 Issue 1/2, p125-135. 11p. - Publication Year :
- 2021
-
Abstract
- This article contributes to research dealing with the optimal dividend policy problem of a firm whose goal is to maximize the expected total discounted dividend payments before bankruptcy. We consider a model of a firm whose cash surplus exhibits regime switching, but unlike the existing literature, we exclude diffusion from our model. We assume that firm's cash surplus follows the telegraph process, which leads to a problem of singular stochastic control. Surprisingly, this problem turns out to be more complicated than the ones arising in the models involving diffusion. We solve this problem by using the method of variational inequalities and show that the optimal dividend policy can be of three significantly different types depending on the parameters of the model. [ABSTRACT FROM AUTHOR]
- Subjects :
- *TELEGRAPH & telegraphy
*PROBLEM solving
*STOCHASTIC control theory
DIVIDEND policy
Subjects
Details
- Language :
- English
- ISSN :
- 00014346
- Volume :
- 109
- Issue :
- 1/2
- Database :
- Academic Search Index
- Journal :
- Mathematical Notes
- Publication Type :
- Academic Journal
- Accession number :
- 151271720
- Full Text :
- https://doi.org/10.1134/S0001434621010156