二维对偶模型的最优分红与注资  

Optimal Dividend and Capital Injection of Two-dimensional Dual Model

作　　者：权俊亮 胡华 QUAN Jun-liang;HU Hua(School of Mathematical Statistics,Ningxia University,Yinchuan 750021,China)

机构地区：[1]宁夏大学数学统计学院,宁夏银川750021

出　　处：《兰州文理学院学报（自然科学版）》2020年第5期9-15,共7页Journal of Lanzhou University of Arts and Science(Natural Sciences)

基　　金：国家自然科学基金(11361044);宁夏自然科学基金项目(2019AAC03038)。

摘　　要：研究了两个具有复合泊松盈余过程的投资公司通过相互资助来进行合作的二维对偶模型的最优分红与注资问题,目标为最大化贴现分红的加权和减去被处罚的贴现注资加权和.通过证明最优值函数为HJB方程的粘性解,得到了最优策略是一个障碍策略.Two compound poisson process of surplus of cooperation through mutual fund investment company of two-dimensional dual model of the optimal dividend and capital problem were studied,aiming to maximize discounted dividend weighting and subtract the discounted penalized weighted sum.It was obtained that the optimal strategy was an barrier strategy by showing the optimal value function for the viscosity solution of HJB equation.

关 键 词：二维对偶模型 障碍策略 HJB方程 粘性解 

分 类 号：O211.67[理学—概率论与数理统计]