复合二项对偶模型的最优分红问题

The Optimal Dividend Strategy in the Compound Binomial Dual Model

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.

This paper discussed the problem of optimal dividend-payment in compound binomial dual model.The rela-tionship between the optimal dividend strategy and the corresponding optimal value function was found by analysing the HJB e-quation,and a simple algorithm was obtained for calculating the optimal value function.From the properties of the optimal divi-dend strategy,an upper bound and a lower bound of the optimal value function were derived.