带干扰与注资的二维对偶模型限制分红问题

Restricted Dividends in the Two-dimension Dual Model under Diffusion and Capital Injection

研究了带干扰二维对偶模型中再注资且分红贴现利率变化的最优分红问题;运用随机控制中HJB方程,证明了最优分红策略是阈值策略,并且得到了累积分红折现期望值函数所满足的积分-微分方程,并用此方程得到收益服从指数分布时值函数的显性表达式.

The problem of optimal dividend payment in the two-dimension dual model with diffusion under capital injection and varying dividend discount rates was discussed.The HJB equation in the stochastic control model is used to prove that the optimal strategy is a threshold strategy and the integral-differential equation satisfied by the value function of the cumulative dividend discount expectation is obtained,and the explicit expression of the value function is obtained when the benefit obeys an exponential distribution.