Moment-constrained optimal dividends: precommitment and consistent planning
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Publication:5084790
DOI10.1017/apr.2021.38zbMath1494.91174arXiv1909.10749OpenAlexW4282033544MaRDI QIDQ5084790
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Publication date: 28 June 2022
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.10749
subgame-perfect Nash equilibriumtime-inconsistencystochastic impulse controlconstrained stochastic controlStrotz's consistent planning
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Impulsive control/observation systems (93C27)
Related Items (4)
Stochastic Control of Optimized Certainty Equivalents ⋮ Time-inconsistent view on a dividend problem with penalty ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ De Finetti's control problem with competition
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