摘要
研究了跳扩散框架下采用障碍红利分配策略模型中的自由边界问题,利用偏微分方程理论将有界区间上积分-微分方程的解用无界区间上积分-微分方程的解表示,在此基础上得到了期望累积贴现红利函数及自由边界所满足的方程.
A free boundary problem from a dividend payment with barrier strategy in a jump-diffusion model is studied. Based on the partial differtial equation （PDE）, the solution of an integro-differential equation in an infinite interval is expressed in terms of the solution of this kind of equation in a finite interval. Finally, some characterizations on the optimal barrier level and the equation are obtained.
出处
《同济大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2007年第3期427-430,共4页
Journal of Tongji University:Natural Science
基金
国家自然科学基金资助项目(10471106)
关键词
红利分配
障碍策略
跳扩散模型
积分一微分方程
自由边界
dividend strategy
barrier strategy
jump-diffusion model
integro-differential equation
free boundary
