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dc.rights.licensehttps://creativecommons.org/licenses/by-sa/2.5/ar/es_AR
dc.contributor.authorMuler, Noraes_AR
dc.contributor.authorAzcue, Pabloes_AR
dc.contributor.authorAlbrecher, Hansjorges_AR
dc.date.accessioned2022-11-24T16:05:18Z
dc.date.available2022-11-24T16:05:18Z
dc.date.issued2020
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/11453
dc.identifier.urihttps://doi.org/10.1137/20M1387171
dc.description.abstractWe study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional optimal control problem, identifying the value function to be the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. For finitely many admissible dividend rates we prove that threshold strategies are optimal, and for any finite continuum of admissible dividend rates we establish the ε-optimality of curve strategies. This work is a counterpart of [2], where the ratcheting problem was studied for a compound Poisson surplus process with drift. In the present Brownian setup, calculus of variation techniques allow to obtain a much more explicit analysis and description of the optimal dividend strategies. We also give some numerical illustrations of the optimality results.es_AR
dc.format.extent34 p.es_AR
dc.format.mediumapplication/pdfes_AR
dc.languageenges_AR
dc.relation.isversionofOptimal Ratcheting of Dividends in a Brownian Risk Model. SIAM Journal on Financial Mathematics, 13, 657-701.
dc.rightsinfo:eu-repo/semantics/openAccesses_AR
dc.subjectoptimal dividendses_AR
dc.subjectviscosity solutiones_AR
dc.subjectHJB equationes_AR
dc.subjectratchetinges_AR
dc.titleOptimal Ratcheting of Dividends in a Brownian Risk Modeles_AR
dc.typeinfo:eu-repo/semantics/articlees_AR
dcterms.bibliographicCitationMuler N., (2022) Optimal Ratcheting of Dividends in a Brownian Risk Model. SIAM Journal on Financial Mathematics, 13, 657-701. https://doi.org/10.1137/20M1387171en
dc.type.versioninfo:eu-repo/semantics/submittedVersiones_AR


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