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

doi:10.1007/s10957-015-0742-8

	Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model
	Li, Yongwu 1,2; Li, Zhongfei 3; Zeng, Yan 4
刊名	JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
	2016-02-01
卷号	168 期号:2 页码:699-722
关键词	Non-exponential discount function Equilibrium strategy Dividend payment Dual model Hamilton-Jacobi-Bellman equation
ISSN号	0022-3239
DOI	10.1007/s10957-015-0742-8
英文摘要	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.
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
语种	英语
出版者	SPRINGER/PLENUM PUBLISHERS
WOS记录号	WOS:000368732400018
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/21797]
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.