考虑交易费的融资与分红最优控制模型(英文)  

Optimal financing and dividend control of a corporation with transaction costs

作　　者：张磊[1] 

机构地区：[1]复旦大学数学研究所,上海200433

出　　处：《控制理论与应用》2004年第6期895-900,共6页Control Theory & Applications

摘　　要：在实际金融市场中股份公司在红利分配和再融资过程中都需要支付固定交易费和比例交易费 ,而如何确定交易费对公司财务决策的影响还没有进行过讨论 .本文利用随机脉冲控制理论研究了在收取固定和比例交易费的市场环境下 ,公司如何制定其最优的财务策略 .首先给出了最优控制问题对应的Hamilton_Jacobi_Bellman方程 ,接着构造出了它的连续可微解 .利用解的性质和推广的It^o公式 ,构造出了最优的再融资及分红策略 .最后对模型的应用做了经济学上的解释 。In the financial markets corporations have to pay for the fixed and proportional transaction costs when distributing dividends and issuing external equity.But no discussions have been found on the optimal financing and dividends policy influenced by both the fixed and proportional transaction costs.To address this inadequacy,an optimal control problem is discussed using stochastic impulse control theory to determine the optimal policy.First the associated Hamilton-Jacobi-Bellman(HJB) equation is given, then its continuously differentiable solution is constructed.From the solution and generalized It Lemma,the optimal financing and dividends policy is derived.Finally the economic interpretations are presented to illustrate the applications of the results, and comparisons are made with existing literatures.

关 键 词：交易费 随机脉冲控制 HJB方程 拟变分不等式 值函数 

分 类 号：F224[经济管理—国民经济]