# Optimal Dividend Policies with Random Profitability

@article{Reppen2019OptimalDP, title={Optimal Dividend Policies with Random Profitability}, author={A. Max Reppen and Jean-Charles Rochet and Halil Mete Soner}, journal={Wiley-Blackwell: Mathematical Finance}, year={2019} }

We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein–Uhlenbeck and CIR processes, are considered. We provide rigorous proofs of continuity of the value function, whence dynamic programming, as well as uniqueness of the solution to the Hamilton–Jacobi–Bellman equation, and study its qualitative properties both analytically and… Expand

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We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow… Expand

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