Moment-constrained optimal dividends: precommitment and consistent planning

DOI10.1017/APR.2021.38zbMATH Open1494.91174arXiv1909.10749OpenAlexW4282033544MaRDI QIDQ5084790FDOQ5084790

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Publication date: 28 June 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived. Second, the problem is formulated as an intrapersonal sequential dynamic game in line with Strotz' consistent planning. In particular, the notions of pure dividend strategies and a (strong) subgame perfect Nash equilibrium are adapted. An equilibrium is derived using a smooth fit condition. The equilibrium is shown to be strong. The uncontrolled state process is a fairly general diffusion.

Full work available at URL: https://arxiv.org/abs/1909.10749

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zbMATH Keywords

subgame-perfect Nash equilibriumtime-inconsistencystochastic impulse controlconstrained stochastic controlStrotz's consistent planning

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Impulsive control/observation systems (93C27)

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Cited In (7)

• Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
• Two-sided Poisson control of linear diffusions
• De Finetti's control problem with competition
• Time-inconsistent view on a dividend problem with penalty
• Equilibria for time-inconsistent singular control problems
• Stochastic control of optimized certainty equivalents
• On the time consistent solution to optimal stopping problems with expectation constraint

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