| 复合二项对偶模型的最优分红问题 |
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| 引用本文： | 邓 丽,谭激扬. 复合二项对偶模型的最优分红问题[J]. 经济数学, 2014, 0(4): 102-106 |
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| 作者姓名： | 邓 丽 谭激扬 |
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| 作者单位： | 湘潭大学 数学与计算科学学院,湖南 湘潭,411105 |
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| 摘 要： | 研究复合二项对偶模型的最优分红问题,通过分析HJB方程得到了最优分红策略和相应的最优值函数之间的关系以及最优值函数的简单计算方法.通过讨论最优红利策略的一些性质得到了最优值函数的可无限逼近的上界和下界.
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| 关 键 词： | 对偶模型 HJB 方程 压缩映射 最优分红策略 |
The Optimal Dividend Strategy in the Compound Binomial Dual Model |
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| DENG Li,TAN Ji-yang. The Optimal Dividend Strategy in the Compound Binomial Dual Model[J]. Mathematics in Economics, 2014, 0(4): 102-106 |
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| Authors: | DENG Li TAN Ji-yang |
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| Affiliation: | (Department of Mathematics, Xiangtan University, Xiantan, Hunan 411105, China) |
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| Abstract: | This paper discussed the problem of optimal dividend-payment in compound binomial dual model.The rela-tionship between the optimal dividend strategy and the corresponding optimal value function was found by analysing the HJB e-quation,and a simple algorithm was obtained for calculating the optimal value function.From the properties of the optimal divi-dend strategy,an upper bound and a lower bound of the optimal value function were derived. |
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| Keywords: | dual model HJB equation contraction mapping optimal dividend strategy |
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