复合二项对偶模型的最优分红问题
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引用本文:邓 丽, 谭激扬.复合二项对偶模型的最优分红问题[J].经济数学,2014,(4):102-106
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作者单位
邓 丽, 谭激扬 (湘潭大学 数学与计算科学学院湖南 湘潭 411105) 
中文摘要:研究复合二项对偶模型的最优分红问题, 通过分析HJB方程得到了最优分红策略和相应的最优值函数之间的关系以及最优值函数的简单计算方法. 通过讨论最优红利策略的一些性质得到了最优值函数的可无限逼近的上界和下界.
中文关键词:对偶模型  HJB方程  压缩映射  最优分红策略
 
The Optimal Dividend Strategy in the Compound Binomial Dual Model
Abstract:This paper discussed the problem of optimal dividend-payment in compound binomial dual model. The relationship between the optimal dividend strategy and the corresponding optimal value function was found by analysing the HJB equation, and a simple algorithm was obtained for calculating the optimal value function. From the properties of the optimal dividend strategy, an upper bound and a lower bound of the optimal value function were derived.
keywords:dual model  HJB equation  contraction mapping  optimal dividend strategy
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