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

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2021 Australia Publisher:American Institute of Mathematical Sciences (AIMS)Journal:Journal of Industrial & Management Optimization, volume 17, page 2,639 (issn: 1553-166X,

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Authors: Zhong, W; Zhao, Y; Chen, P;

doi: 10.3934/jimo.2020087

handle: 11343/281200

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

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Abstract

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Country

Australia

Related Organizations

University of Melbourne
Australia

Keywords

equilibrium periodic dividend strategy, 330, Lévy process, non-exponential discounting, Processes with independent increments; Lévy processes, 510, extended HJB system of equations, time-inconsistent optimal control, Optimal stochastic control, Financial applications of other theories

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