Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model

doi:10.1007/s10957-015-0742-8

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	Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model
	Li, Yongwu 1,2; Li, Zhongfei 3; Zeng, Yan 4
	2016-02-01
发表期刊	JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN	0022-3239
卷号	168 期号:2 页码:699-722
摘要	This paper studies an optimal dividend problem for a company with non-exponential discounting. The surplus process is described by a dual model, and the target is to find a dividend strategy that maximizes the expected discounted value of dividends until ruin. The non-exponential discount function leads to a time-inconsistent problem. We aim at seeking the equilibrium strategy derived by taking our problem as a non-cooperate game, which is a time-consistent strategy. An extended Hamilton-Jacobi-Bellman equation system and a verification theorem are provided to derive the equilibrium strategy and the equilibrium value function. For the case of pseudo-exponential discount function, closed-form expressions for the equilibrium strategy and the equilibrium value function are derived. In addition, some numerical illustrations of our results are showed.
关键词	Non-exponential discount function Equilibrium strategy Dividend payment Dual model Hamilton-Jacobi-Bellman equation
DOI	10.1007/s10957-015-0742-8
语种	英语
资助项目	Grants of National Natural Science Foundation of China[71231008] ; Grants of National Natural Science Foundation of China[71201173] ; Guangdong Natural Science for Research Team[2014A030312003] ; Guangdong Natural Science for Distinguished Young Scholar ; Natural Science Foundation of Guangdong Province of China[S2013010011959]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000368732400018
出版者	SPRINGER/PLENUM PUBLISHERS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21798
专题	中国科学院数学与系统科学研究院
通讯作者	Li, Zhongfei
作者单位	1.Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Guangdong, Peoples R China 4.Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou 510275, Guangdong, Peoples R China
推荐引用方式 GB/T 7714	Li, Yongwu,Li, Zhongfei,Zeng, Yan. Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,2016,168(2):699-722.
APA	Li, Yongwu,Li, Zhongfei,&Zeng, Yan.(2016).Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model.JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,168(2),699-722.
MLA	Li, Yongwu,et al."Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model".JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 168.2(2016):699-722.