| 带利率和随机观测时间的布朗运动模型中最优分红策略 |
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| 引用本文： | 刘晓,余宏伟.带利率和随机观测时间的布朗运动模型中最优分红策略[J].数学杂志,2017,37(1):39-50. |
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| 作者姓名： | 刘晓 余宏伟 |
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| 作者单位： | 安徽师范大学数学计算机科学学院, 安徽 芜湖 241003,安徽师范大学数学计算机科学学院, 安徽 芜湖 241003 |
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| 基金项目： | Supported by the National Natural Science Foundation of China (11401010); the Natural Science Foundation of Education Department of Anhui Province (KJ2012ZD01); the Philosophy and Social Science Planning Foundation of Anhui Province (AHSK11-12D128); the Natural Science Foundation of Anhui Province (1308085QA14); the Research Culture Funds of Anhui Normal University (2015xmpy14). |
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| 摘 要： | 本文研究了带利率和随机观测时间的布朗运动模型中的最优分红问题.利用随机控制理论，获得了最优值函数相应的HJB方程，表明最优分红策略是障碍策略，并给出了最优值函数的显式表达式，推广了文献19]的结果.
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| 关 键 词： | 分红 破产 HJB方程 |
| 收稿时间： | 2014/10/22 0:00:00 |
| 修稿时间： | 2015/1/20 0:00:00 |
OPTIMAL DIVIDEND STRATEGY IN THE BROWNIAN MOTION MODEL WITH INTEREST AND RANDOMIZED OBSERVATION TIME |
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| LIU Xiao and YU Hong-wei.OPTIMAL DIVIDEND STRATEGY IN THE BROWNIAN MOTION MODEL WITH INTEREST AND RANDOMIZED OBSERVATION TIME[J].Journal of Mathematics,2017,37(1):39-50. |
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| Authors: | LIU Xiao and YU Hong-wei |
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| Institution: | School of Mathematics and Computer Science, Anhui Normal University, Wuhu 241003, China and School of Mathematics and Computer Science, Anhui Normal University, Wuhu 241003, China |
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| Abstract: | In this paper we study the optimal dividend problems in the Brownian motion model with interest and randomized observation time. By using stochastic control theory, we obtain the associated Hamilton-Jacobi-Bellman (HJB) equation with the optimal value function, which show that the optimal dividend strategy is a barrier strategy, and give the explicit expression for the optimal value function, which generalize the results of 19]. |
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| Keywords: | dividend ruin HJB equation |
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