李曼曼, 张应应. 带分红约束和交易费用的扩散模型中最优阶段分红和资本注入策略[J]. 应用概率统计, 2022, 38(5): 659-673. DOI: 10.3969/j.issn.1001-4268.2022.05.003
引用本文: 李曼曼, 张应应. 带分红约束和交易费用的扩散模型中最优阶段分红和资本注入策略[J]. 应用概率统计, 2022, 38(5): 659-673. DOI: 10.3969/j.issn.1001-4268.2022.05.003
LI Manman, ZHANG Yingying. Optimal Periodic Dividend and Capital Injection Strategies for Diffusion Models with Restricted Dividend Rates and Transaction Costs[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(5): 659-673. DOI: 10.3969/j.issn.1001-4268.2022.05.003
Citation: LI Manman, ZHANG Yingying. Optimal Periodic Dividend and Capital Injection Strategies for Diffusion Models with Restricted Dividend Rates and Transaction Costs[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(5): 659-673. DOI: 10.3969/j.issn.1001-4268.2022.05.003

带分红约束和交易费用的扩散模型中最优阶段分红和资本注入策略

Optimal Periodic Dividend and Capital Injection Strategies for Diffusion Models with Restricted Dividend Rates and Transaction Costs

  • 摘要: 我们考虑了带交易费用的最优联合分红注资策略问题.在扩散模型中我们假设分红仅发生在外生的不受控制的泊松过程的到达时刻,且分红比率是受到有界区间的限制.目标是找到一个能够将期望折扣分红与期望折扣注资两者之差最大化的控制策略.最后, 最优策略相关的数值结果表明最优分红阈值是某些外生参数的增函数.

     

    Abstract: We consider the optimal joint dividend and capital injection strategy with proportional and fixed costs. The main feature of our diffusion model is that dividend can only start at the arrival times of an exogenous uncontrolled Poisson process (signal), and the dividend rate is restricted with a bounded interval. The objective is to find the control which maximizes the expected total discounted dividends less the expected discounted costs of capital injections. We also give some numerical illustrations to optimal strategies, which indicate that the optimal threshold levels are increasing functions of exogenous parameters.

     

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