Seminario di Tiziano De Angelis (School of Mathematics - The University of Leeds)

Giovedi' 19 gennaio 2017 - ore 11:00 - aula 200

Università Cattolica del Sacro cuore, Milano, Dipartimento di di Discipline matematiche, Finanza matematica ed Econometria

Viale Necchi, 9 - Milano

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.

Joint work with Erik Ekstrom (Uppsala Universitet)

Paper available at http://arxiv.org/abs/1609.01655

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