Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao: Optimal Dividends under Markov-Modulated Bankruptcy Level. In: . Jg.657. 2021, S. 35 ff.
Inhalt
- 1. Introduction
- 2. Model formulation
- 3. The verification theorem
- 4. Optimal dividend policies
- 5. A numerical study
- 5.1. 2<0 and |2| is sufficiently large
- 5.2. |2| is sufficiently small
- 5.3. 2> 0 is sufficiently large
- 5.4. Continuing to increase 2
- 5.5. Comparison to the case 1=2
- 6. Conclusions
- Appendix A. Proofs
- A.1. Proof of Lemma 3.1
- A.2. Proof of Theorem 4.1
- A.3. Proof of Lemma 4.1 and of Theorem 4.2
- A.4. Proof of Theorem 4.3
- A.5. Proof of Theorem 4.4
- Appendix B. Some auxiliary results
- Acknowledgments
- References