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Demonstratio Mathematica

Editor-in-Chief: Vetro, Calogero


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CiteScore 2017: 0.28
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2391-4661
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Volume 47, Issue 1

Issues

Optimal Dividend Policy In Discrete Time

Ewa Marciniak
  • Corresponding author
  • AGH UNIVERSITY OF SCIENCE AND TECHNOLOGY FACULTY OF APPLIED MATHEMATICS al. Mickiewicza 30 30-059 KRAKÓW, POLAND
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/ Jakub Trybuła
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  • JAGIELLONIAN UNIVERSITY FACULTY OF MATHEMATICS AND COMPUTER SCIENCE ul. Łojasiewicza 6 30-348 KRAKÓW, POLAND
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Published Online: 2014-03-07 | DOI: https://doi.org/10.2478/dema-2014-0020

Abstract

A problem of optimal dividend policy for a firm with a bank loan is considered. A regularity of a value function is established. A numerical example of calculating value function is given

Keywords : optimal dividend policy; stochastic control in discrete time

References

  • [DV] J. P. Décamps, S. Villeneuve, Optimal dividend policy and growth option, Finance Stoch. 11 (2007), 3-27. Web of ScienceGoogle Scholar

  • [HL] O. Hernández-Lerma, J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes, Springer, New York, 1999. Google Scholar

  • [JS] M. Jeanblanc-Picqué, A. N. Shiryaev, Optimalization of the flow of dividends, Russian Math. Surveys 50 (1995), 257-277.CrossrefGoogle Scholar

  • [S1] M. Schäl, A selection theorem for optimization problems, Arch. Math. 25 (1974), 219-224.CrossrefGoogle Scholar

  • [S2] M. Schäl, Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal, Z. Wahrs. Verw. Geb. 32 (1975), 179-196. Google Scholar

  • [Z] J. Zabczyk, Chance and Decision. Stochastic Control in Discrete Time, Quaderni, Scuola Normale Superiore, Pisa, 1996.Google Scholar

About the article

Published Online: 2014-03-07

Published in Print: 2014-03-01


Citation Information: Demonstratio Mathematica, Volume 47, Issue 1, Pages 258–270, ISSN (Online) 2391-4661, ISSN (Print) 0420-1213, DOI: https://doi.org/10.2478/dema-2014-0020.

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© 2015 by Walter de Gruyter Berlin/Boston. This content is open access.

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