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A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays

Erhan Bayraktar·Masahiko Egami
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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.

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Erhan Bayraktar, Masahiko Egami. 2009-01-21. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays. https://arxiv.org/abs/math/0703825

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