带注资和交易费用的扩散模型的最优分红  

Optimal Dividends of Diffusion Model with Capital Injection and Transaction Cost

作　　者：岳毅蒙[1] 王欣[2] 赵锐[1] 

机构地区：[1]商洛学院数学与计算机应用学院,陕西商洛726000 [2]商洛学院经济与管理学院,陕西商洛726000

出　　处：《甘肃科学学报》2016年第3期13-15,共3页Journal of Gansu Sciences

基　　金：陕西省教育科学"十二五"规划课题(SGH13406);商洛学院科研项目(15SKY011)

摘　　要：在带注资和交易费用的扩散模型基础上,以股东的折现分红减去惩罚折现注资的差的期望值最大化为目标,讨论了模型的最优分红策略问题。由随机控制理论建立相应的HJB方程,得到了相应的解及最优分红策略。Issues about optimal dividends strategies of the model are discussed based on diffusion model with capital injection and transaction cost and by realizing the difference of maximization of value of expectation which equals to discounted dividends of shareholders minus punishment discounting capital injection as a target.The corresponding solutions and optimal dividend strategies are deduced through related HJB equation built by stochastic control theory.

关 键 词：扩散模型 注资 HJB方程 分红 

分 类 号：O211.6[理学—概率论与数理统计]