Optimal Dividend Distribution under Markov-regime Switching

Speaker:Dr. Jiang Zhengjun, UIC

Time: 2:00 pm - 3:00 pm, Dec 8 (Wednesday), 2010

Venue: F203,Four Points Innovation Lab

Abstract:

We consider optimal dividend distribution for a company whose cumulative net revenues evolve as a Markov-regime switching Brownian motion with drift and discounting rate. The goal of the company is to maximize the expected cumulative discounted dividends until the first time that cash reserve (cumulative net revenues minus cumulative dividends) is zero. For positive drift in each regime, a regime-dependent barrier strategy is optimal and value function is the fixed point of a contraction. For negative drift in some regimes, optimal dividend policy is different.