Equilibria for time-inconsistent singular control problems
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Cites work
- A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon
- An optimal extraction problem with price impact
- Dynamic Choices of Hyperbolic Consumers
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- Estimates on the boundary of a domain for the first derivatives of functions satisfying an elliptic or parabolic inequality
- scientific article; zbMATH DE number 1619470 (Why is no real title available?)
- scientific article; zbMATH DE number 3960150 (Why is no real title available?)
- Interbank lending with benchmark rates: Pareto optima for a class of singular control games
- Investment and consumption without commitment
- Irreversible reinsurance: a singular control approach
- Moment-constrained optimal dividends: precommitment and consistent planning
- Nonlinear second order parabolic equations
- On dividend strategies with non-exponential discounting
- On reinsurance and investment for large insurance portfolios
- On the mathematical theory of risk.
- Optimal dividend strategies with time-inconsistent preferences
- Optimal equilibria for time-inconsistent stopping problems in continuous time
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
- Some solvable stochastic control problemst†
- Strong and weak equilibria for time-inconsistent stochastic control in continuous time
- The golden rule when preferences are time inconsistent
- Time-inconsistent control theory with finance applications
- Time-inconsistent stochastic linear-quadratic control
Cited in
(5)- Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
- A general maximum principle for partially observed stochastic control problems with singular controls
- Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
- Equilibrium strategies for singular dividend control problems under the mean-variance criterion
- Time-consistent annuitization and asset allocation under the mean-variance criterion
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