Optimal dividend policy in discrete time

• Autorzy: Marciniak E. , Trybuła J.
• Języki publikacji: EN

Abstrakty

EN

A problem of optimal dividend policy for a firm with a bank loan is considered. A regularity of a value function is established. A numerical example of calculating value function is given.

Słowa kluczowe

EN

optimal dividend policy; stochastic control; discrete time

PL

optymalna polityka dywidendy; sterowanie stochastyczne; czas dyskretny

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2014
• Tom: Vol. 47, nr 1
• Strony: 258--270
• Opis fizyczny: Bibliogr. 6 poz., tab.

Twórcy

autor

Marciniak E.

• AGH, University of Science and Technology, Faculty of Applied Mathematics, al. Mickiewicza 30, 30-059 Kraków, Poland

autor

Trybuła J.

• Jagiellonian University, Faculty of Mathematics and Computer Science, ul. Łojasiewicza 6, 30-348 Kraków, Poland

Bibliografia

• [1] J. P. Décamps, S. Villeneuve, Optimal dividend policy and growth option, Finance Stoch. 11 (2007), 3–27.
• [2] O. Hernández-Lerma, J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes, Springer, New York, 1999.
• [3] M. Jeanblanc-Picqué, A. N. Shiryaev, Optimalization of the flow of dividends, Russian Math. Surveys 50 (1995), 257–277.
• [4] M. Schäl, A selection theorem for optimization problems, Arch. Math. 25 (1974), 219–224.
• [5] M. Schäl, Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal, Z. Wahrs. Verw. Geb. 32 (1975), 179–196.
• [6] J. Zabczyk, Chance and Decision. Stochastic Control in Discrete Time, Quaderni, Scuola Normale Superiore, Pisa, 1996.