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Dividend optimization for jump-diffusion model with solvency constraints. (English) Zbl 1525.91176

Summary: M. Belhaj [Math. Finance 20, No. 2, 313–325 (2010; Zbl 1222.91063)] established that a barrier strategy is optimal for the dividend problem under jump-diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump-diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem.

MSC:

91G50 Corporate finance (dividends, real options, etc.)
60J74 Jump processes on discrete state spaces
93E20 Optimal stochastic control

Citations:

Zbl 1222.91063
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References:

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