Develops time-inconsistent singular control framework incorporating running minimum, derives verification theorem under weaker conditions, proves existence/uniqueness for associated Skorokhod problems, and applies to dividend problem showing monotonicity and local concavity of boundary.
Journal of Theoretical Probability , volume =
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Time-Inconsistent Singular Control Problems with a Running Minimum Process
Develops time-inconsistent singular control framework incorporating running minimum, derives verification theorem under weaker conditions, proves existence/uniqueness for associated Skorokhod problems, and applies to dividend problem showing monotonicity and local concavity of boundary.