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Erschienen in:
2012 | OriginalPaper | Buchkapitel
Optimal dividend and risk control in diffusion models with linear costs
verfasst von : Hiroaki Morimoto
Erschienen in: Operations Research Proceedings 2011
Verlag: Springer Berlin Heidelberg
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We consider the optimization problem of dividends and risk exposures of a firm in the diffusion model with linear costs. The variational inequality associated with this problem is given by the nonlinear form of elliptic type. Using the viscosity solutions technique, we solve the corresponding penalty equation and show the existence of a classical solution to the variational inequality. The optimal policy of dividend payment and risk exposure is shown to exist.