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Time-Inconsistent Singular Dividend Control with Regime Switching and Bankruptcy

Chen, Xiaochen et al.
arXiv (All) · Papers
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optimization-and-control
This paper studies infinite-horizon equilibrium dividend distribution for a firm whose surplus follows a diffusion under observable Markov regime switching and is absorbed at bankruptcy. Dividend payments are modeled as singular controls, and non-exponential discounting leads to time inconsistency.
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