On the Dividend Strategies with Non-Exponential Discounting
Quantitative Finance - Portfolio Management
arxiv: Computer Science::Systems and Control | Mathematics::Optimization and Control
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent cont...