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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. |
| 关键词: 分红 破产 HJB方程 |
| DOI： |
| 分类号:O212.62 |
| 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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| OPTIMAL DIVIDEND STRATEGY IN THE BROWNIAN MOTION MODEL WITH INTEREST AND RANDOMIZED OBSERVATION TIME |
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LIU Xiao,YU Hong-wei
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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]. |
| Key words: dividend ruin HJB equation |
