An Optimal Dividend and Investment Control Problem under Debt Constraints
| Autor: | Vathana Ly Vath, Etienne Chevalier, Simone Scotti |
|---|---|
| Přispěvatelé: | Laboratoire Analyse et Probabilités, Université d'Évry-Val-d'Essonne (UEVE)-PRES Universud Paris-Fédération de Mathématiques d'Evry Val d'Essonne, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Analyse et Probabilités (LAE), Université d'Évry-Val-d'Essonne (UEVE) |
| Jazyk: | angličtina |
| Rok vydání: | 2011 |
| Předmět: |
0209 industrial biotechnology
Capital structure Financial economics media_common.quotation_subject 02 engineering and technology Monetary economics 01 natural sciences 010104 statistics & probability 020901 industrial engineering & automation debt constraints Debt Economics stochastic control 0101 mathematics media_common viscosity solution Numerical Analysis Applied Mathematics Enterprise value Investment control smooth-fit property Investment (macroeconomics) Investment policy optimal singular [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] MSC2000 subject classification: 60G40 91B70 93E20 switching problem Bankruptcy system of variational inequalities Dividend Finance |
| Popis: | This paper concerns the problem of determining an optimal control on the dividend and investment policy of a firm under debt constraints. We allow the company to make investment by increasing its outstanding indebtedness, which would impact its capital structure and risk profile, thus resulting in higher interest rate debts. Moreover, a high level of debt is also a challenging constraint to any firm, as it is the threshold below which the firm value should never go to avoid bankruptcy. It is equally possible for the firm to divest parts of its business in order to decrease its financial debt owed to creditors. In addition, the firm may favor investment by postponing or reducing any dividend distribution to shareholders. We formulate this problem as a combined singular and multiswitching control problem and use a viscosity solution approach to get qualitative descriptions of the solution. We further enrich our studies with a complete resolution of the problem in the two-regime case and provide some numeric... |
| Databáze: | OpenAIRE |
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