带交易费用和指数观察时间间隔的最优分红注资策略(英文)  

Optimal Dividend and Capital Injection Strategies with Transaction Costs and Exponentially Distributed Observation Time

作　　者：姚定俊[1] 郭文旌[1] 徐林[2] 

机构地区：[1]南京财经大学金融学院,南京210023 [2]安徽师范大学数学计算机科学学院,芜湖241003

出　　处：《应用概率统计》2013年第5期547-560,共14页Chinese Journal of Applied Probability and Statistics

基　　金：supported by National Natural Science Foundation of China(11101205,11201006,71071071);Education of Humanities and Social Science Fund Project(09YJA790100,12YJC910012);A Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions

摘　　要：本文中我们考虑比例交易费用和固定交易费用影响下的最优分红与注资策略问题.我们假设如有必要公司随时可以得到注资以避免破产,但是只有在参数为γ>0的泊松过程的跳跃时刻才可能分红.为了最大化破产前分红现值与注资现值之差,我们寻找最优的分红和注资策略.通过求解相应的脉冲控制问题,我们找到了依赖于模型参数的显示解.LΦkka和Zervos(2008)中的已知结果可以看成是本文结果在γ→∞时的极限情形.In this paper, we consider the optimal joint dividend and capital injection strategy with pro- portional and fixed costs. It supposes that capitals can be injected whenever they are profitable, but dividends can only be paid at the arrival times of a Poisson process with intensity γ 〉 0. Our objective is to determine an optimal strategy of maximizing the expected cumulative discounted dividends minus the expected discounted costs of capital injections before bankruptcy. By solving some impulse problems, we get the closed-form solutions depending on the parameters of model. Some known results in Lekka and Zervos （2008） can be viewed as limiting cases when γ→∞.

关 键 词：分红 注资 交易费用 最优策略 指数观察时间 

分 类 号：O211.62[理学—概率论与数理统计]