Dividend optimization for a jump diffusion model

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Ulus, Firdevs (2010) Dividend optimization for a jump diffusion model. [Thesis]

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Abstract

We consider a dividend optimization problem where the objective is to maximize the expected value of total dividends paid during the lifetime of a company. The capital process is assumed to be a jump-diffusion, and dividends are paid out continuously until the capital process hits a default barrier. At any time, the company may distribute dividends at full rate; however, this would bring the capital process closer to the ruin barrier. Hence, we need to find a strategy (from a given admissible set) that will resolve this trade-off optimally. Here, we show that the structure of the optimal policy depends on the parameters of the problem. We identify an optimal policy for different cases, and we show how to compute the value function of the problem.
Item Type: Thesis
Uncontrolled Keywords: Dividend pay-out. -- Stochastic optimal control. -- Jump-diffusions. -- Kâr payı ödemesi. -- Olasılıksal optimal kontrol. -- Sıçrama difüzyonlar.
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Engineering and Natural Sciences > Basic Sciences > Mathematics
Faculty of Engineering and Natural Sciences
Depositing User: IC-Cataloging
Date Deposited: 06 Mar 2013 16:43
Last Modified: 26 Apr 2022 09:57
URI: https://research.sabanciuniv.edu/id/eprint/21483

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