Optimal Dividend and Capital Injection Strategies with Transaction Costs and Exponentially Distributed Observation Time |
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Authors: | Yao Dingjun Guo Wenjing Xu Lin |
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Institution: | School of Finance, Nanjing University of Finance and Economics; School of Mathematics and Computer Science, Anhui Normal University |
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Abstract: | In this paper, we consider the optimal
joint dividend and capital injection strategy with proportional and
fixed costs. It supposes that capitals can be injected whenever they
are profitable, but dividends can only be paid at the arrival times
of a Poisson process with intensity . Our objective is to
determine an optimal strategy of maximizing the expected cumulative
discounted dividends minus the expected discounted costs of capital
injections before bankruptcy. By solving some impulse problems, we
get the closed-form solutions depending on the parameters of model.
Some known results in Lokka and Zervos (2008) can be viewed as
limiting cases when . |
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Keywords: | |
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