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Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

  • Published:2019-01 Issue:2 Volume:10 Page:547-577
  • ISSN:1945-497X
  • Container-title:SIAM Journal on Financial Mathematics
  • language:en
  • Short-container-title:SIAM J. Finan. Math.

Author:

Angoshtari Bahman,Bayraktar ErhanORCID,Young Virginia R.

Funder

Cecil J. and Ethel M. Nesbitt Professorship

Susan M. Smith Professorship

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Cited by 19 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Ratcheting of Dividend Payout Under Brownian Motion Surplus;SIAM Journal on Control and Optimization;2024-09-10

2. Optimal Ratcheting of Dividends with Capital Injection;Mathematics of Operations Research;2024-08-13

3. Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum;SIAM Journal on Financial Mathematics;2024-03-15

4. De Finetti’s control problem with a concave bound on the control rate;Journal of Applied Probability;2024-01-25

5. Optimal Loss Reporting in Continuous Time with Full Insurance;SSRN Electronic Journal;2024
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