二维风险模型带交易费用的最优分红  

Optimized Participation in Profit of Transaction Expenses in Two-dimension Risk Model Region

作　　者：岳毅蒙[1] 王欣[2] 李江涛 Yue Yimeng Wang Xin Li Jiangtao(School of Mathematics and Corn puter Application, Shangluo University, Shangluo 726000, China School of Econornics and Management, Shangluo University, Shangluo 726000, China College of Sciences, Engineering University of CAPF , Xi ＇ an 710086, China)

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 [3]西安武警工程大学理学院,陕西西安710086

出　　处：《甘肃科学学报》2016年第5期26-29,共4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：研究带交易费用的二维风险模型的最优分红问题。以最大化分红与注资的折现之差为目标,利用随机控制理论,通过求解哈密尔顿-雅克比-贝尔曼(HJB)方程,得到了相应的最优分红策略。Study the problem of the optimized participation in profit of transaction expenses in two-dimension risk model region.Aiming for the difference between the optimized participation in profit and discounting of capital injection,the corresponding strategy of the optimized participation in profit can be got by stochastic control theory and solve HJB equation.

关 键 词：注资 分红 HJB方程 

分 类 号：O211.6[理学—概率论与数理统计]