In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of...

In this paper we consider the stochastic sequence {Pt}E N defined recursively by the linear relation Pt+1 = At Pt + Bt in a random environment which is described by the non-stationary process V = {(At, Bt) t E N.. We formulate sufficient conditions on v which ensure that the finite-dimensional...

We consider the stochastic sequence {Yi}t E N defined recursively by the linear relation Yt+l = AtYt + Bt in a random environment. The environment is described by the stochastic process {(At, Bt ) }t E N and is under the simultaneous control of several agents playing a discounted stochastic...

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...