کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077000 | 1374112 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Classical and singular stochastic control for the optimal dividend policy when there is regime switching
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Classical and singular stochastic control for the optimal dividend policy when there is regime switching Classical and singular stochastic control for the optimal dividend policy when there is regime switching](/preview/png/5077000.png)
چکیده انگلیسی
Motivated by economic and empirical arguments, we consider a company whose cash surplus is affected by macroeconomic conditions. Specifically, we model the cash surplus as a Brownian motion with drift and volatility modulated by an observable continuous-time Markov chain that represents the regime of the economy. The objective of the management is to select the dividend policy that maximizes the expected total discounted dividend payments to be received by the shareholders. We study two different cases: bounded dividend rates and unbounded dividend rates. These cases generate, respectively, problems of classical stochastic control with regime switching and singular stochastic control with regime switching. We solve these problems, and obtain the first analytical solutions for the optimal dividend policy in the presence of business cycles. We prove that the optimal dividend policy depends strongly on macroeconomic conditions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 344-354
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 344-354
نویسندگان
Luz R. Sotomayor, Abel Cadenillas,