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Moment-constrained optimal dividends: precommitment and consistent planning
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0003-3184-2879
Number of Authors: 22022 (English)In: Advances in Applied Probability, ISSN 0001-8678, E-ISSN 1475-6064, Vol. 54, no 2, p. 404-432Article in journal (Refereed) Published
Abstract [en]

A moment constraint that limits the number of dividends in an optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived. Second, the problem is formulated as an intrapersonal sequential dynamic game in line with Strotz’s consistent planning. In particular, the notions of pure dividend strategies and a (strong) subgame-perfect Nash equilibrium are adapted. An equilibrium is derived using a smooth fit condition. The equilibrium is shown to be strong. The uncontrolled state process is a fairly general diffusion.

Place, publisher, year, edition, pages
2022. Vol. 54, no 2, p. 404-432
Keywords [en]
Constrained stochastic control, stochastic impulse control, Strotz’s consistent planning, subgame-perfect Nash equilibrium, time-inconsistency
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-207592DOI: 10.1017/apr.2021.38ISI: 000812842300003Scopus ID: 2-s2.0-85132042249OAI: oai:DiVA.org:su-207592DiVA, id: diva2:1685453
Available from: 2022-08-03 Created: 2022-08-03 Last updated: 2022-08-03Bibliographically approved

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Lindensjö, Kristoffer

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