22 citations · 23 across the 6 of their papers we have counts for
5 papers · 1 filter
De Finetti's control problem with competition
Erik Ekström, Kristoffer Lindensjö
We investigate the effects of competition in a problem of resource extraction from a common source with diffusive dynamics. In the symmetric version with identical extraction rates…
How to detect a salami slicer: a stochastic controller-stopper game with unknown competition
Erik Ekström, Kristoffer Lindensjö, Marcus Olofsson
We consider a stochastic game of control and stopping specified in terms of a process , representing the holdings of Player 1, where is a Brownian motion, is…
Moment constrained optimal dividends: precommitment \& consistent planning
Sören Christensen, Kristoffer Lindensjö
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control probl…
Optimal dividends and capital injection under dividend restrictions
Kristoffer Lindensjö, Filip Lindskog
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that…
A regular equilibrium solves the extended HJB system
Kristoffer Lindensjö
Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic…