Tiziano De Angelis, Erik Ekström
Published 2016-09-06Version 1
We characterise 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 realised 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.
Existence of optimal controls for singular control problems with state constraints
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
On utility maximization in discrete-time financial market models
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