带投资和周期分红的布朗运动模型中的分红问题  

On a periodic dividend problems in the Brownian motion model with investment

作　　者：王翠莲[1] 刘晓[1] 

机构地区：[1]安徽师范大学数学计算机科学学院,安徽芜湖241003

出　　处：《山东大学学报（理学版）》2015年第5期74-81,共8页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(11201005);安徽省自然科学基金资助项目(1308085QA14);安徽省哲学社会科学规划资助项目(AHSK11-12D128)

摘　　要：假设分红只发生在一些随机的观测时间且按照障碍策略进行分红,得到了破产前折现分红随机变量的矩母函数、n阶矩函数和破产时间Laplace变换满足的微分方程,也得到了期望破产前折现分红和破产时间Laplace变换的显式表达式。Assume that the dividends can only be paid at some randomized observation times and dividends were paid according to a barrier strategy,the differential equations for the moment-generating function,the n-th moment function and the Laplace transform of ruin time were derived.The explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time were also obtained.

关 键 词：分红 投资 布朗运动 LAPLACE变换 

分 类 号：O211.62[理学—概率论与数理统计]