| ????????????????L\'{e}vy????????е?????????? |
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| 引用本文： | ?????,?????.????????????????L\'{e}vy????????е??????????[J].应用概率统计,2020,36(1):71-85. |
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| 作者姓名： | ????? ????? |
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| 作者单位： | ??????????????????, ????, 273165; ???????????????, ????, 273165 |
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| 摘 要： |
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| 关 键 词： | ???????????? L\'{e}vy??????? ?????? HJB???? ??????? |
Optimal Dividend Strategy in the Spectrally PostiveL\'{e}vy Risk Model with Regime Switching |
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| YE Chuanxiu,ZHAO Yongxia.Optimal Dividend Strategy in the Spectrally PostiveL\'{e}vy Risk Model with Regime Switching[J].Chinese Journal of Applied Probability and Statisties,2020,36(1):71-85. |
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| Authors: | YE Chuanxiu ZHAO Yongxia |
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| Institution: | School of Mathematical Sciences, Qufu Normal University, Qufu, 273165, China; School of Statistics, Qufu Normal University, Qufu, 273165, China |
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| Abstract: | ??In this paper, we consider the optimal dividend problem in the spectrally positive L\'{e}vy model with regime switching. By an auxiliary optimal problem, the principle of dynamic programming and the fluctuation theory of L\'{e}vy processes, we show that optimal strategy is a modulated barrier strategy. The value function and the optimal dividend barrier are obtained by iteration. |
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| Keywords: | Markov regime switching L\'{e}vy risk model optimal dividend HJB equation fluctuation theory |
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