Event
Dante Mata Lopez (UQAM)
Thursday, February 15, 2024 11:30to12:30
Burnside Hall
Room 920, 805 rue Sherbrooke Ouest, Montreal, QC, H3A 0B9, CA
Title: On an optimal control problem with a concave bound
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Abstract: We study a version of De Finetti鈥檚 optimal dividend problem driven by a diffusion, where the control strategies are assumed to be absolutely continuous strategies which are bounded above by an increasing, concave function.
We provide sufficient conditions to show that an optimal strategy exists and lies within the set of generalized refraction strategies. In addition, we are able to characterize the optimal refraction threshold in our setting.
This is ongoing joint work with H茅l猫ne Gu茅rin, Jean-Fran莽ois Renaud and Alexandre Roch.
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