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Optimal dividend payout under stochastic discounting / Elena Bandini, Tiziano De Angelis, Giorgio Ferrari and Fausto Gozzi
VerfasserBandini, Elena ; De Angelis, Tiziano ; Ferrari, Giorgio ; Gozzi, Fausto
ErschienenBielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, May 2020
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Elektronische Ressource
Umfang1 Online-Ressource (34 Seiten) : Illustrationen
SerieCenter for Mathematical Economics Working papers ; 636
SchlagwörterStochastik / Dividendenpolitik / Brownsche Bewegung
URNurn:nbn:de:hbz:6:2-1426885 
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Optimal dividend payout under stochastic discounting [0.61 mb]
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Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash flows are discounted at a stochastic dynamic rate. Dividends can be paid to shareholders at unrestricted rates so that the problem is cast as one of singular stochastic control. The stochastic interest rate is modelled by a Cox-Ingersoll-Ross (CIR) process and the firm's objective is to maximize the total expected ow of discounted dividends until a possible insolvency time. We find an optimal dividend payout policy which is such that the surplus process is kept below an endogenously determined stochastic threshold expressed as a decreasing function rb(r) of the current interest rate value. We also prove that the value function of the singular control problem solves a variational inequality associated to a second-order, non-degenerate elliptic operator, with a gradient constraint.

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