随机投资下对偶模型的最优红利问题

Optimal Dividend Strategies in Dual Model with Stochastic Investment

在离散时间对偶模型中,讨论单位时间内的投资是随机时的最优红利策略.模型中最优值函数满足一个离散的HJB方程.通过压缩映射原理证明了最优值的存在性和唯一性及最优红利策略的计算方法,并进行了数值模拟.

This paper discussed the problem of optimal dividend strategy in discrete-time dual model with stochastic investment. It found out the optimal value function satisfied a discrete HJB equation. The existence and uniqueness of the optimal value function was proved by using the contraction mapping principle, and a simple algorithm was obtained for calculating the optimal dividend strategy. Finally, it used numerical to illustrate the algorithm.