A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model

@article{Renaud2021ASC,
  title={A Stochastic Control Problem with Linearly Bounded Control Rates in a Brownian Model},
  author={Jean-François Renaud and Clarence Simard},
  journal={SIAM J. Control. Optim.},
  year={2021},
  volume={59},
  pages={3103-3117}
}
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a Brownian model, we prove the optimality of a member of a new family of control strategies called delayed linear control strategies, for which the controlled process is a refracted diffusion process. For some parameters specifications, we retrieve the strategy… 

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