{
  "id": "1609.01655",
  "version": "v1",
  "published": "2016-09-06T17:12:05.000Z",
  "updated": "2016-09-06T17:12:05.000Z",
  "title": "The dividend problem with a finite horizon",
  "authors": [
    "Tiziano De Angelis",
    "Erik Ekström"
  ],
  "comment": "21 pages",
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.PM"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-09-06T17:12:05.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "93E20",
      "91G10",
      "60J65"
    ],
    "keywords": [
      "finite horizon",
      "finite time horizon",
      "singular control problems",
      "time-dependent optimal boundary",
      "optimal dividend strategy"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 21,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}