Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy
In this paper, we consider the optimization problem of dividends for the terminal bankruptcy model, in which some money would be returned to shareholders at the state of terminal bankruptcy, while accounting for the tax rate and transaction cost for dividend payout. Maximization of both expected tot...
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/2693568 |
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| _version_ | 1832565532260302848 |
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| author | Peimin Chen Bo Li |
| author_facet | Peimin Chen Bo Li |
| author_sort | Peimin Chen |
| collection | DOAJ |
| description | In this paper, we consider the optimization problem of dividends for the terminal bankruptcy model, in which some money would be returned to shareholders at the state of terminal bankruptcy, while accounting for the tax rate and transaction cost for dividend payout. Maximization of both expected total discounted dividends before bankruptcy and expected discounted returned money at the state of terminal bankruptcy becomes a mixed classical-impulse stochastic control problem. In order to solve this problem, we reduce it to quasi-variational inequalities with a nonzero boundary condition. We explicitly construct and verify solutions of these inequalities and present the value function together with the optimal policy. |
| format | Article |
| id | doaj-art-c6bd4e937a9046e7831006dc8b949160 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-c6bd4e937a9046e7831006dc8b9491602025-02-03T01:07:24ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2017-01-01201710.1155/2017/26935682693568Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at BankruptcyPeimin Chen0Bo Li1School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, ChinaSchool of Finance, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, ChinaIn this paper, we consider the optimization problem of dividends for the terminal bankruptcy model, in which some money would be returned to shareholders at the state of terminal bankruptcy, while accounting for the tax rate and transaction cost for dividend payout. Maximization of both expected total discounted dividends before bankruptcy and expected discounted returned money at the state of terminal bankruptcy becomes a mixed classical-impulse stochastic control problem. In order to solve this problem, we reduce it to quasi-variational inequalities with a nonzero boundary condition. We explicitly construct and verify solutions of these inequalities and present the value function together with the optimal policy.http://dx.doi.org/10.1155/2017/2693568 |
| spellingShingle | Peimin Chen Bo Li Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy Discrete Dynamics in Nature and Society |
| title | Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy |
| title_full | Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy |
| title_fullStr | Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy |
| title_full_unstemmed | Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy |
| title_short | Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy |
| title_sort | classical and impulse stochastic control on the optimization of dividends with residual capital at bankruptcy |
| url | http://dx.doi.org/10.1155/2017/2693568 |
| work_keys_str_mv | AT peiminchen classicalandimpulsestochasticcontrolontheoptimizationofdividendswithresidualcapitalatbankruptcy AT boli classicalandimpulsestochasticcontrolontheoptimizationofdividendswithresidualcapitalatbankruptcy |