3 papers
q-fin.MF2026
Optimization of capital injections and absolutely continuous dividend payments in a diffusion model
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We investigate a joint optimization problem of dividend payments and capital injections for a surplus process driven by a general diffusion. Dividend payments are assumed to be abs…
math.PR2024
Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the exp…
math.OC2023
An optimization dichotomy for capital injections and absolutely continuous dividend strategies
Jean-François Renaud, Alexandre Roch, Clarence Simard
We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize the…