Communication à un séminaire :
(Université d'Evry Val d'Essonne), « An Optimal Dividend and Investment Control Problem under Debt Constraints »
, On arbitrages arising with honest times
, TSE, Toulouse, 11 mai 2012, 13:45-15:00, salle MF 323.
This paper concerns with the problem of determining an optimal
control on the dividend and investment policy of a firm. We allow
the company to make an investment by increasing its outstanding
indebtedness, which would impact its capital structure and risk
profile, thus resulting in higher interest rate debts. We
formulate this problem as a mixed singular and switching control
problem and use a viscosity solution approach combined with the
smooth-fit property to get qualitative descriptions of the
solution. We further enrich our studies with a complete resolution
of the problem in the two-regime case.
Mathématiques de la décision