Optimal dividend payout under stochastic discounting

Bandini E, De Angelis T, Ferrari G, Gozzi F (2022)
Mathematical Finance .

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Autor*in
Bandini, Elena; De Angelis, Tiziano; Ferrari, GiorgioUniBi; Gozzi, Fausto
Abstract / Bemerkung
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends can be paid to shareholders at unrestricted rates so that the problem is cast as one of singular stochastic control. The stochastic interest rate is modeled by a Cox-Ingersoll-Ross (CIR) process and the firm's objective is to maximize the total expected flow of discounted dividends until a possible insolvency time. We find an optimal dividend payout policy which is such that the surplus process is kept below an endogenously determined stochastic threshold expressed as a decreasing continuous function r(sic) b(r) of the current interest rate value. We also prove that the value function of the singular control problem solves a variational inequality associated to a second-order, non-degenerate elliptic operator, with a gradient constraint.
Stichworte
CIR model; free boundary problems; optimal stopping; optimal dividend; stochastic interest rates; singular control
Erscheinungsjahr
2022
Zeitschriftentitel
Mathematical Finance
ISSN
0960-1627
eISSN
1467-9965
Page URI
https://pub.uni-bielefeld.de/record/2961096

Zitieren

Bandini E, De Angelis T, Ferrari G, Gozzi F. Optimal dividend payout under stochastic discounting. Mathematical Finance . 2022.
Bandini, E., De Angelis, T., Ferrari, G., & Gozzi, F. (2022). Optimal dividend payout under stochastic discounting. Mathematical Finance . https://doi.org/10.1111/mafi.12339
Bandini, E., De Angelis, T., Ferrari, G., and Gozzi, F. (2022). Optimal dividend payout under stochastic discounting. Mathematical Finance .
Bandini, E., et al., 2022. Optimal dividend payout under stochastic discounting. Mathematical Finance .
E. Bandini, et al., “Optimal dividend payout under stochastic discounting”, Mathematical Finance , 2022.
Bandini, E., De Angelis, T., Ferrari, G., Gozzi, F.: Optimal dividend payout under stochastic discounting. Mathematical Finance . (2022).
Bandini, Elena, De Angelis, Tiziano, Ferrari, Giorgio, and Gozzi, Fausto. “Optimal dividend payout under stochastic discounting”. Mathematical Finance (2022).

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