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/1609.01655

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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/

old addresses:

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

and also

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