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Статья

Firm dynamics in the Radner-Shepp model

Applied Mathematical Sciences. 2015. Vol. 9. No. 90. P. 4449-4468.
Pospelov I., Radionov S.

In a model of corporate finance introduced by Radner and Shepp and its numerous variations, the optimal dividend strategy was the main interest of research. Firm's dynamic properties like the probability of survival by the given time and the average ow of dividends recieved much less attention. We address these questions in a slightly modified Radner-Shepp model. Using the regularization of a Brownian motion with drift, which is, to our knowledge, new in the literature, we find the capital dynamics, the probability of survival by a given time, the average flow of dividends. We analyze the dependence of these indicators on firm's discount factor. © 2015 Igor G. Pospelov and Stanislav A. Radionov.