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| 引用本文： | ������,�����.�������ú�Ͷ��Լ������ɢģ��������Ͷ��-�ֺ�����[J].应用概率统计,2017,34(2):151-169. |
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| 作者姓名： | ������ ����� |
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| 作者单位： | ?????????????????????????; ????????????????????????о??? |
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| 摘 要： |
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| 关 键 词： | ?????? ??????? ????-??????? ???????? |
Optimization of Investment-Dividend Problem in aDiffusion Model with Transaction Costs and InvestmentConstraints |
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| LI ManMan,LIU ZaiMing.Optimization of Investment-Dividend Problem in aDiffusion Model with Transaction Costs and InvestmentConstraints[J].Chinese Journal of Applied Probability and Statisties,2017,34(2):151-169. |
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| Authors: | LI ManMan LIU ZaiMing |
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| Institution: | Department of Statistics and Actuarial Science, College of Mathematics and Statistics, Chongqing University; Institute of Probability and Statistics, School;
of Mathematics and Statistics, Central, South University. |
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| Abstract: | This paper investigates the investment-dividend
optimization problem for a corporation with transaction costs and investment
constraints. The main feature is that we assume general constraints on
investments including the special case of short-sale and borrowing constraints.
This results in a regular-impulse stochastic control problem. The nontrivial
case is that the investment can't meet the loss of wealth due to discounting.
In this case, delicate analysis is carried out on QVI w.r.t. three possible
situations, leading to an explicit construction of the value functions
together with the optimal policies. We also give explicit conclusion of the
trivial case at last. |
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| Keywords: | investment constraints transaction costs regular-impulse control quasi-variational inequalities |
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