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带约束的Markov-modulated风险模型最优分红和注资策略

岳毅蒙

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岳毅蒙. 带约束的Markov-modulated风险模型最优分红和注资策略[J]. 轻工学报, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
引用本文: 岳毅蒙. 带约束的Markov-modulated风险模型最优分红和注资策略[J]. 轻工学报, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
shu
YUE Yi-meng. Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities[J]. Journal of Light Industry, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
Citation: YUE Yi-meng. Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities[J]. Journal of Light Industry, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
shu

带约束的Markov-modulated风险模型最优分红和注资策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000

  • 基金项目: 陕西省自然科学基础研究计划项目（2013JM1023）；陕西省教育科学“十二五”规划课题（SGH13406）；商洛学院科研项目（15SKY011）

  • 中图分类号: O211.6;F840

Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities

  • School of Mathematics and Computer Application, Shangluo University, Shangluo 726000, China

  • Received Date: 2015-07-10
    Available Online: 2016-09-15

    CLC number: O211.6;F840

  • 摘要: 在考虑Markov-modulated风险模型分红约束和交易费用的基础上，以股东的折现分红减去折现注资之差的期望值最大为目标，讨论了模型的最优分红和注资策略问题.由随机控制理论建立HJB方程，得到相应的最优策略为Threshold策略.
    Abstract: Considering control of dividends and capital injections of the Markov-modulated risk model with restricted densities and transaction costs,with maximizing the discounted dividend payments minus the penalized discounted capital injections as the goal,the optimal dividends and capital injections strategy was discussed.By stochastic control theory and the Hamilton-Jacobi-Bellman equation,it was derived that the corresponding best strategy was Threshold strategy.
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  • 收稿日期:  2015-07-10
  • 刊出日期:  2016-09-15
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岳毅蒙. 带约束的Markov-modulated风险模型最优分红和注资策略[J]. 轻工学报, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
引用本文: 岳毅蒙. 带约束的Markov-modulated风险模型最优分红和注资策略[J]. 轻工学报, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
shu
YUE Yi-meng. Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities[J]. Journal of Light Industry, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
Citation: YUE Yi-meng. Optimal dividends and capital injections strategy in a Markov-modulated risk model with restricted densities[J]. Journal of Light Industry, 2016, 31(5): 105-108. doi: 10.3969/j.issn.2096-1553.2016.5.018
shu

带约束的Markov-modulated风险模型最优分红和注资策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000
  • 收稿日期: 2015-07-10
  • 网络出版日期: 2016-09-15
基金项目:  陕西省自然科学基础研究计划项目（2013JM1023）；陕西省教育科学“十二五”规划课题（SGH13406）；商洛学院科研项目（15SKY011）

摘要: 在考虑Markov-modulated风险模型分红约束和交易费用的基础上，以股东的折现分红减去折现注资之差的期望值最大为目标，讨论了模型的最优分红和注资策略问题.由随机控制理论建立HJB方程，得到相应的最优策略为Threshold策略.

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