Luiss, Roma, Dipartimento di Economia e Finanza
Viale Romania 32, Roma
Mercoledi' 23 Novembre ore 18.10 aula 106 b
Seminario di Tiziano De Angelis (University of Leeds)
TITLE: The dividend problem with a finite horizon
ABSTRACT: We characterize 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 realized 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.
Link al paper http://arxiv.org/abs/1609.01655http://arxiv.org/abs/1609.01655
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Fausto Gozzi
Fausto Gozzi Dipartimento di Economia e Finanza LUISS - Guido Carli Viale Romania, 32 00197 Roma Italy tel 06.85225723 (office) FAX 06.86506513 e-mail: fgozzi@luiss.it webpage: http://docenti.luiss.it/gozzi/
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Fausto Gozzi Dipartimento di Matematica per le Decisioni Economiche Finanziarie e Assicurative Facolta' di Economia Universita' di Roma La Sapienza via del Castro Laurenziano 9 00161 Roma Italy tel 06/49766275 (office) FAX 06/49766765
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Fausto Gozzi Dipartimento di Matematica Universita' di Pisa via Filippo Buonarroti n. 2 56127 Pisa Italy tel 050/2213270 FAX 050/2213224 e-mail: GOZZI@DM.UNIPI.IT