Optimal Dividend Policy When Cash Surplus Follows Telegraph Process with Bounded Phase Variable

Student: Yakovlev Alexander

Educational Programme: Mathematics (Bachelor)

Final Grade: 7

Year of Graduation: 2017

In this paper, we investigate the problem of optimal dividend distribution for a company whose management wishes to maximize the present discounted value of the total dividends until bankruptcy on the basis of the data of current company reserves and economic regime. We assume that we are given some maximal dividend rate L and we model the company cash surplus as a telegraph process admitting the regime switching. The optimal dividend policy for the company under these assumptions is described in much detail.

Full text (added June 13, 2017)

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