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Is it possible to solo mine directly to an address you don't have the private key for. I would like to directly mine into my exchange address. Thank you

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Yes you can. You can set the mining beneficiary (aka etherbase or coinbase) to any address you want, even a one that nobody has a private key of.

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    I agree that you can do this but should you is another question. Dust transactions can bloat the blockchain and raise costs for exchanges. Some exchanges have explicit policies to ask users not to do this. Some exchanges have minimum deposit requirements partially for this reason. – Jun Li Jun 5 '16 at 23:35
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    What dust transactions are you talking about? Mining reward payout does not generate any transaction. – Paweł Bylica Jun 6 '16 at 10:10

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