Optimization of risk and dividends under taxes and costs for a firm with debt liability and constraints on risk reduction.

摘要

This thesis addresses the problem of maximizing the expected total discounted dividend payouts, up to the bankruptcy time, for a company with debt liability and/or constraints on risk control and under the consideration of taxes and costs. The obtained stochastic control problem is transformed into a quasi-variational inequality (QVI) equation, which is solved explicitly, leading to a complete description of the optimal return function and optimal policy.