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Article: Optimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs

TitleOptimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs
Authors
Issue Date2015
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htm
Citation
Journal of Industrial and Management Optimization, 2015, v. 11 n. 4, p. 1247-1262 How to Cite?
AbstractIn this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first problem, we consider the classical dividend problem without capital injections. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of capital injections over strategies with positive surplus at all times. The third problem has the same objective as the second one, but without the constraints on capital injections. Under the assumption of proportional transaction costs, we identify the value function and the optimal strategies for any distribution of gains.
Persistent Identifierhttp://hdl.handle.net/10722/203434
ISSN
2015 Impact Factor: 0.776
2015 SCImago Journal Rankings: 0.639

 

DC FieldValueLanguage
dc.contributor.authorYin, C-
dc.contributor.authorYuen, KC-
dc.date.accessioned2014-09-19T15:10:30Z-
dc.date.available2014-09-19T15:10:30Z-
dc.date.issued2015-
dc.identifier.citationJournal of Industrial and Management Optimization, 2015, v. 11 n. 4, p. 1247-1262-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/203434-
dc.description.abstractIn this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first problem, we consider the classical dividend problem without capital injections. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of capital injections over strategies with positive surplus at all times. The third problem has the same objective as the second one, but without the constraints on capital injections. Under the assumption of proportional transaction costs, we identify the value function and the optimal strategies for any distribution of gains.-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htm-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.titleOptimal dividend problems for a jump-diffusion model with captial injections and proportional transaction costs-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.identifier.doi10.3934/jimo.2015.11.1247-
dc.identifier.hkuros240102-
dc.identifier.volume11-
dc.identifier.issue4-
dc.identifier.spage1247-
dc.identifier.epage1262-
dc.publisher.placeUnited States-

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