Epstein-Zin singular control utility for dividends is shown equivalent to Maenhout robust dividend policy as a threshold strategy characterized by the free boundary of an HJB variational inequality.
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Establishes compactness and long-time convergence for killed Feynman-Kac semigroups with singular Schrödinger potentials on a broad class of Feller processes from statistical physics.
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Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
Epstein-Zin singular control utility for dividends is shown equivalent to Maenhout robust dividend policy as a threshold strategy characterized by the free boundary of an HJB variational inequality.
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Long time behavior of killed Feynman-Kac semigroups with singular Schr{\"o}dinger potentials
Establishes compactness and long-time convergence for killed Feynman-Kac semigroups with singular Schrödinger potentials on a broad class of Feller processes from statistical physics.