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      Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs

      Advances in Applied Probability
      Cambridge University Press (CUP)

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          Abstract

          The problem of optimal dividends paid until absorbtion at zero is considered for a rather general diffusion model. With each dividend payment there is a proportional cost and a fixed cost. It is shown that there can be essentially three different solutions depending on the model parameters and the costs. (i) Whenever assets reach a barrier y *, they are reduced to y * - δ * through a dividend payment, and the process continues. (ii) Whenever assets reach a barrier y *, everything is paid out as dividends and the process terminates. (iii) There is no optimal policy, but the value function is approximated by policies of one of the two above forms for increasing barriers. A method to numerically find the optimal policy (if it exists) is presented and numerical examples are given.

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          Controlled diffusion models for optimal dividend pay-out

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            Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

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              Optimization of the flow of dividends

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                Author and article information

                Journal
                applab
                Advances in Applied Probability
                Adv. Appl. Probab.
                Cambridge University Press (CUP)
                0001-8678
                1475-6064
                September 2007
                July 1 2016
                September 2007
                : 39
                : 03
                : 669-689
                Article
                10.1017/S0001867800001993
                3f977f6e-f336-45bc-b30f-2e41da0c7ac7
                © 2007
                History

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