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Equilibrium dividend strategies in the dual model with a random time horizon
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作者 ZHAO Yong-xia ye chuan-xiu CHENG Gong-pin 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2023年第4期510-522,共13页
This paper investigates the dividend problem with non-exponential discounting in a dual model.We assume that the dividends can only be paid at a bounded rate and that the surplus process is killed by an exponential ra... This paper investigates the dividend problem with non-exponential discounting in a dual model.We assume that the dividends can only be paid at a bounded rate and that the surplus process is killed by an exponential random variable.Since the non-exponential discount function leads to a time inconsistent control problem,we study the equilibrium HJB-equation and give the associated verification theorem.For the case of a mixture of exponential discount functions and exponential gains,we obtain the explicit equilibrium dividend strategy and the corresponding equilibrium value function.Besides,numerical examples are shown to illustrate our results. 展开更多
关键词 equilibrium dividend strategies non-exponential discounting time inconsistence dual model equilibrium HJB-equation
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