Equilibrium dividend strategy with non-exponential discounting in a dual model

DOI10.1007/S10957-015-0742-8zbMath1335.91065OpenAlexW762187204MaRDI QIDQ274116

Yongwu Li, Yan Zeng, Zhong-Fei Li

Publication date: 22 April 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-015-0742-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdividend paymentdual modelequilibrium strategynon-exponential discount function

Mathematics Subject Classification ID

Noncooperative games (91A10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (9)

On the bail-out optimal dividend problem ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ Equilibrium dividend strategies in the dual model with a random time horizon ⋮ Equilibria for time-inconsistent singular control problems ⋮ Optimal dividends with an affine penalty

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