THE DIVIDEND PROBLEM WITH A FINITE HORIZON

Mer, 11/23/2016 - 18:10 / 19:10

106b, 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