Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes

DOI10.3934/JIMO.2020087MaRDI QIDQ2666682zbMATH OpenOpenAlexWikidataFDO

Publication date 23 November 2021

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2020087

equilibrium periodic dividend strategy extended HJB system of equations Lévy process non-exponential discounting time-inconsistent optimal control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
Controlled diffusion models for optimal dividend pay-out
Equilibrium dividend strategy with non-exponential discounting in a dual model
Introductory lectures on fluctuations of Lévy processes with applications.
Investment and consumption without commitment
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On dividend strategies with non-exponential discounting
On optimal periodic dividend strategies in the dual model with diffusion
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
On time-inconsistent stochastic control in continuous time
Optimal capital structure and investment decisions under time-inconsistent preferences
Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
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Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
Optimal dividends and capital injections in the dual model with a random time horizon
Optimal Dividends in the Dual Model with Diffusion
Optimal investment strategy under time-inconsistent preferences and high-water mark contract
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Spectrally negative Lévy risk model under Erlangized barrier strategy
Stochastic Calculus for Fractional Brownian Motion and Applications
Time-changed spectrally positive Lévy processes started from infinity

Cited in

(5)

On dividend strategies with non-exponential discounting
Equilibrium dividend strategy with non-exponential discounting in a dual model
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
Equilibrium dividend strategies in the dual model with a random time horizon

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