Optimal dividend distribution under Markov-regime switching
Optimal dividend distribution under Markov-regime switching
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. I...
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Optimal dividend distribution under Markov-regime switching
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TN_cdi_proquest_journals_2087138138
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2087138138
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2331-8422
