2 papers
q-fin.MF2026
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
math.OC2024
Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution
Mingxin Guo, Zuo Quan Xu
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratchet…