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Optimal dividend and risk control strategies in a nonlinear model. (Chinese. English summary) Zbl 1399.91136
Summary: This paper assumes that company’s asset process follows a nonlinear model, which reflects the relationship between the operation costs and the size business. Suppose that the company can control the asset process by changing the size of business, paying dividends and raising money dynamically. Meanwhile, it bears both fixed and proportional transaction costs during the control processes. Under the objective of maximizing the company’s value, we obtain the explicit solutions of optimal strategies and value function by using the optimal control method. The results illustrate that the optimal strategies depend on the parameters of the model. The company should expand the business scale with the increasing of asset. Dividends should be paid according to the impulse control strategy. Financing is profitable to avoid bankruptcy if and only if the transaction costs are relatively low.
MSC:
91G50 Corporate finance (dividends, real options, etc.)
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