%0 Journal Article %1 ISI:000371796600006 %A Barth, Andrea %A Moreno-Bromberg, Santiago %A Reichmann, Oleg %C VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS %D 2016 %I SPRINGER %J COMPUTATIONAL ECONOMICS %K Finite Numerical Singular control; differential distribution; element equations; for methods method} partial stochastic {Dividend %N 3 %P 447-472 %R 10.1007/s10614-015-9502-y %T A Non-stationary Model of Dividend Distribution in a Stochastic Interest-Rate Setting %V 47 %X In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional, diffusion setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of dividends (so as to please the shareholders). A dynamic-programming approach is used, where the state variables are the current levels of cash reserves and of the stochastic short-rate, as well as time. This results in a family of Hamilton-Jacobi-Bellman variational inequalities whose solutions must be approximated numerically. To do so, a finite element approximation and a time-marching scheme are employed.

@article{ISI:000371796600006, abstract = {{In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional, diffusion setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of dividends (so as to please the shareholders). A dynamic-programming approach is used, where the state variables are the current levels of cash reserves and of the stochastic short-rate, as well as time. This results in a family of Hamilton-Jacobi-Bellman variational inequalities whose solutions must be approximated numerically. To do so, a finite element approximation and a time-marching scheme are employed.}}, added-at = {2017-05-18T11:32:12.000+0200}, address = {{VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS}}, affiliation = {{Moreno-Bromberg, S (Reprint Author), Univ Zurich, Dept Banking \& Finance, Plattenstr 32, CH-8032 Zurich, Switzerland. Barth, Andrea, ETH, Dept Math, Seminar Appl Math, Ramistr 101, CH-8092 Zurich, Switzerland. Barth, Andrea, Univ Stuttgart, SimTech, Pfaffenwaldring 5a, D-70569 Stuttgart, Germany. Moreno-Bromberg, Santiago, Univ Zurich, Dept Banking \& Finance, Plattenstr 32, CH-8032 Zurich, Switzerland. Reichmann, Oleg, ETH, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland.}}, author = {Barth, Andrea and Moreno-Bromberg, Santiago and Reichmann, Oleg}, author-email = {{andrea.barth@mathematik.uni-stuttgart.de santiago.moreno@bf.uzh.ch oleg.reichmann@math.ethz.ch}}, biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2504fc9cccbcc450523cb5d98dd60a126/hermann}, doi = {{10.1007/s10614-015-9502-y}}, eissn = {{1572-9974}}, funding-acknowledgement = {{ERC {[}AdG 247277, 249415-RMAC]; NCCR FinRisk (Project ``Banking and Regulation{''}); Swiss Finance Institute (Project ``Systemic Risk and Dynamic Contract Theory{''}); SNF {[}144130]; German Research Foundation (DFG) as part of the Cluster of Excellence in Simulation Technology at the University of Stuttgart {[}EXC 310/2]}}, funding-text = {{We would like to thank the editor and an anonymous referee for their comments and suggestions, which allowed us to improve our original manuscript. It goes without saying that we assume full responsibility for any remaining mistakes. The research leading to these results has received funding form the ERC (Grant agreements AdG 247277 and 249415-RMAC), from NCCR FinRisk (Project ``Banking and Regulation{''}), from the Swiss Finance Institute (Project ``Systemic Risk and Dynamic Contract Theory{''}), from the SNF (Grant 144130) and from the German Research Foundation (DFG) as part of the Cluster of Excellence in Simulation Technology (EXC 310/2) at the University of Stuttgart, and it is gratefully acknowledged.}}, interhash = {ff9e17455504f09babc5aa7b043ed09e}, intrahash = {504fc9cccbcc450523cb5d98dd60a126}, issn = {{0927-7099}}, journal = {{COMPUTATIONAL ECONOMICS}}, keywords = {Finite Numerical Singular control; differential distribution; element equations; for methods method} partial stochastic {Dividend}, keywords-plus = {{SEMIMARTINGALE; VOLATILITY; AMERICAN; POLICIES; OPTION; RISK}}, language = {{English}}, month = {{MAR}}, number = {{3}}, number-of-cited-references = {{34}}, pages = {{447-472}}, publisher = {{SPRINGER}}, research-areas = {{Business \& Economics; Mathematics}}, times-cited = {{0}}, timestamp = {2017-05-18T09:32:12.000+0200}, title = {{A Non-stationary Model of Dividend Distribution in a Stochastic Interest-Rate Setting}}, type = {{Article}}, volume = {{47}}, web-of-science-categories = {{Economics; Management; Mathematics, Interdisciplinary Applications}}, year = {{2016}} }