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| 摘要: |
| 本文研究离散模型下带有分红交易费和税的最优分红问题.在分红率有界的条件下，通过更新初始时间得到最优值函数并证明最优值函数为Hamilton–Jacobi–Bellman方程的唯一有界解.另外，我们通过解HJB方程获得最优映像函数的近似解. |
| 关键词: 离散模型 最优策略 值函数 映像函数 |
| DOI： |
| 分类号:O211.6 |
| 基金项目:Supported by National Natural Science Foundation of China (71401061, 12001235). |
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| AN OPTIMAL DIVIDEND STRATEGY IN THE DISCRETE MODEL WHEN PAYMENTS ARE SUBJECT TO BOTH TRANSACTION COSTS AND TAXES |
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WANG Shao-feng,YIN Chuan-cun
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| Abstract: |
| In this paper, we study the optimal dividend problem in the discrete risk model in which transaction costs and taxes are required when dividends occur. Moreover assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant. The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruins. We show that the optimal value function is the unique bounded solution of a set of discrete Hamilton-Jacobi-Bellman equations. In addition, the optimal image functions are approximately obtained by solving the HJB equation. |
| Key words: discrete model optimal strategy value function image function |
