Equilibrium singular dividend control under ambiguity aggregation of heterogeneous discount rates

Yue Cao, Guohui Guan, Zongxia Liang and Xiaodong Luo

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Abstract: This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates expected discounted payoffs using an ambiguity aggregation function $phi$, which captures shareholder heterogeneity and ambiguity attitudes but also leads to time inconsistency. To address this issue, we seek a time-homogeneous equilibrium dividend law characterized by a partition of the state space into waiting and dividend-paying regions. We provide a rigorous mathematical characterization by proving a verification theorem and deriving necessary conditions for the equilibrium law. We then analyze barrier-type equilibria, showing non-existence for a class of aggregation functions that includes power-type and logarithmic aggregation functions, and establishing existence and uniqueness under linear and exponential aggregation. In the linear case, the bounded-rate equilibrium is shown to converge to the singular barrier-type equilibrium as the dividend rate bound tends to infinity. Numerical examples illustrate the effects of discount-rate heterogeneity and ambiguity aversion on the equilibrium barrier.

Date: 2026-06
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