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math.OC2019
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…
math.OC2019
Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application
Sören Christensen, Kristoffer Lindensjö
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consider…
math.OC2018
On time-inconsistent stopping problems and mixed strategy stopping times
Sören Christensen, Kristoffer Lindensjö
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is develo…