A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
arXiv:math/0703825
Abstract
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root processes. We provide our solution via a new characterization of the value function for one-dimensional diffusions and provide easily implementable algorithms to find the optimal control and the value function.
Key Words: Impulse Control, Implementation Delay, Dividend Payments, Brownian motion, Ornstein-Uhlenbeck Process, Square-root Process, Itô Diffusions