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THE DIVIDEND PROBLEM WITH A FINITE HORIZON

23 novembre 2016 ore 18:10 - 19:10

Aula 106b, Sede di Viale Romania, 32

Speaker: Tiziano De Angelis, University of Leeds

We characterize the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realized by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. 
Our results are obtained by establishing for the first time a new connection between singular control problems with an absorbing boundary and optimal stopping problems on a diffusion reflected at an elastic boundary.

Link al paper http://arxiv.org/abs/1609.01655