Optimal financing and dividend control of a corporation with transaction costs
Abstract：In the financial markets corporations have to pay for the fixed and proportional transaction costs when distributing dividends and issuing external equity.But no discussions have been found on the optimal financing and dividends policy influenced by both the fixed and proportional transaction costs.To address this inadequacy,an optimal control problem is discussed using stochastic impulse control theory to determine the optimal policy.First the associated Hamilton-Jacobi-Bellman(HJB) equation is given, then its continuously differentiable solution is constructed.From the solution and generalized It Lemma,the optimal financing and dividends policy is derived.Finally the economic interpretations are presented to illustrate the applications of the results, and comparisons are made with existing literatures.
Keywords：transaction coststochastic impulse controlHJB equationquasi-variational inequalitiesvalue function
Publication Date：2004-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：6( 895-900 )