Events at The University of Manchester
  • University home
  • Events
  • Home
  • Exhibitions
  • Conferences
  • Lectures and seminars
  • Performances
  • Events for prospective students
  • Family events
  • All Events

Tiziano De Angelis (Leeds) - Optimal dividends with partial information and stopping of a degenerate reflecting diffusion

Dates:9 October 2019
Times:14:00 - 15:00
What is it:Seminar
Organiser:Department of Mathematics
Speaker:Tiziano De Angelis
See travel and contact information
Add to your calendar

Other events

  • In category "Seminar"
  • In group "(Maths) Probability and statistics"
  • By Department of Mathematics

Abstract: We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying process and with absorption. In the Markovian formulation, we have a 2-dimensional degenerate diffusion, whose first component is singularly controlled and it is absorbed as it hits zero. The free boundary problem (FBP) associated to the value function of the control problem is challenging from the analytical point of view due to the interplay of degeneracy and absorption. We find a probabilistic way to show that the value function of the dividend problem is a smooth solution of the FBP and to construct an optimal dividend strategy. Our approach establishes a new link between multidimensional singular stochastic control problems with absorption and problems of optimal stopping with `creation'. One key feature of the stopping problem is that creation occurs at a state-dependent rate of the `local-time' of an auxiliary 2-dimensional reflecting diffusion.

Speaker

Tiziano De Angelis

Organisation: University of Leeds

  • https://sites.google.com/site/tizianodeangelis/home

Travel and Contact Information

Find event

Frank Adams 2
Alan Turing Building
Manchester

Contact event

Denis Denisov

denis.denisov@manchester.ac.uk

Share / follow event

Contact us

  • +44 (0) 161 306 6000

Find us

The University of Manchester
Oxford Rd
Manchester
M13 9PL
UK

Connect with the University

  • Facebook page for The University of Manchester
  • Twitter page for The University of Manchester
  • YouTube page for The University of Manchester
  • Google+ page for The University of Manchester
  • Pinterest page for The University of Manchester

  • Privacy /
  • Copyright notice /
  • Accessibility /
  • Freedom of information /
  • Charitable status /
  • Royal Charter Number: RC000797
  • Close menu
  • Home
    • Featured events
    • Today's events
    • The Whitworth events
    • Manchester Museum events
    • Jodrell Bank Discovery Centre events
    • Martin Harris Centre events
    • The John Rylands Library events
    • Exhibitions
    • Conferences
    • Lectures and seminars
    • Performances
    • Events for prospective students
    • Family events
    • All events