{"id":"https://openalex.org/W4230128420","doi":"https://doi.org/10.1017/s0021900200012298","title":"Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching","display_name":"Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching","publication_year":2015,"publication_date":"2015-03-01","ids":{"openalex":"https://openalex.org/W4230128420","doi":"https://doi.org/10.1017/s0021900200012298"},"language":"en","primary_location":{"id":"doi:10.1017/s0021900200012298","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200012298","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5110856473","display_name":"Zhengjun Jiang","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Zhengjun Jiang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5110856473"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.4343462,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"52","issue":"01","first_page":"209","last_page":"223"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dividend","display_name":"Dividend","score":0.7547339200973511},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.636894702911377},{"id":"https://openalex.org/keywords/bankruptcy","display_name":"Bankruptcy","score":0.5740730166435242},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.570726215839386},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5596573948860168},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.5059003233909607},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.47426044940948486},{"id":"https://openalex.org/keywords/cash","display_name":"Cash","score":0.4630001187324524},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4594247341156006},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.4477005898952484},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.43822798132896423},{"id":"https://openalex.org/keywords/payment","display_name":"Payment","score":0.4336715638637543},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3260614275932312},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.2858543395996094},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1768210530281067},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.147850900888443},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.06901681423187256}],"concepts":[{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.7547339200973511},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.636894702911377},{"id":"https://openalex.org/C504631918","wikidata":"https://www.wikidata.org/wiki/Q152074","display_name":"Bankruptcy","level":2,"score":0.5740730166435242},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.570726215839386},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5596573948860168},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5059003233909607},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.47426044940948486},{"id":"https://openalex.org/C2778083465","wikidata":"https://www.wikidata.org/wiki/Q693464","display_name":"Cash","level":2,"score":0.4630001187324524},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4594247341156006},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.4477005898952484},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43822798132896423},{"id":"https://openalex.org/C145097563","wikidata":"https://www.wikidata.org/wiki/Q1148747","display_name":"Payment","level":2,"score":0.4336715638637543},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3260614275932312},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.2858543395996094},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1768210530281067},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.147850900888443},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.06901681423187256},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1017/s0021900200012298","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200012298","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1973018627","https://openalex.org/W1983819214","https://openalex.org/W1994218338","https://openalex.org/W2004562283","https://openalex.org/W2043814330","https://openalex.org/W2048453294","https://openalex.org/W2050452448","https://openalex.org/W2052441401","https://openalex.org/W2053235992","https://openalex.org/W2063275189","https://openalex.org/W2070004332","https://openalex.org/W2074812030","https://openalex.org/W2078270141","https://openalex.org/W2079068657","https://openalex.org/W2094808571","https://openalex.org/W2097724527","https://openalex.org/W2136538802","https://openalex.org/W3101707874","https://openalex.org/W3121243437","https://openalex.org/W3123016408","https://openalex.org/W3124749899","https://openalex.org/W3125159644"],"related_works":["https://openalex.org/W2179014274","https://openalex.org/W2734525518","https://openalex.org/W3122549952","https://openalex.org/W4247025800","https://openalex.org/W577805051","https://openalex.org/W326514058","https://openalex.org/W2381785583","https://openalex.org/W2023166712","https://openalex.org/W2470762198","https://openalex.org/W8906448"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3],"study":[4],"the":[5,19,54,69,74,103,111],"optimal":[6,89],"dividend":[7,58],"payments":[8,59],"for":[9,68],"a":[10,24,43,92,115],"company":[11],"of":[12,21,76,114],"limited":[13],"liability":[14],"whose":[15],"cash":[16,64],"reserves":[17,65],"in":[18],"absence":[20],"dividends":[22],"follow":[23],"Markov-modulated":[25],"jump-diffusion":[26],"process":[27],"with":[28],"positive":[29,98],"drifts":[30],"and":[31,37,78,101],"negative":[32],"exponential":[33],"jumps,":[34],"where":[35],"parameters":[36],"discount":[38],"rates":[39],"are":[40,66],"modulated":[41,93],"by":[42,84],"finite-state":[44],"irreducible":[45],"Markov":[46],"chain.":[47],"The":[48],"main":[49],"aim":[50],"is":[51,88],"to":[52,81,90],"maximize":[53],"expected":[55],"cumulative":[56],"discounted":[57],"until":[60],"bankruptcy":[61],"time":[62],"when":[63],"nonpositive":[67],"first":[70],"time.":[71],"We":[72],"extend":[73],"results":[75],"Jiang":[77],"Pistorius":[79],"[15]":[80],"our":[82],"setup":[83],"proving":[85],"that":[86,102],"it":[87],"adopt":[91],"barrier":[94],"strategy":[95],"at":[96],"certain":[97],"regime-dependent":[99],"levels":[100],"value":[104],"function":[105],"can":[106],"be":[107],"explicitly":[108],"characterized":[109],"as":[110],"fixed":[112],"point":[113],"contraction.":[116]},"counts_by_year":[],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}