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

文献类型：期刊论文

作者Li, Yongwu1,2; Li, Zhongfei3; Zeng, Yan4
刊名JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
出版日期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
DOI10.1007/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
WOS记录号WOS:000368732400018
出版者SPRINGER/PLENUM PUBLISHERS
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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