数学杂志2017，Vol.37Issue(1)：39-50,12.
带利率和随机观测时间的布朗运动模型中最优分红策略
OPTIMAL DIVIDEND STRATEGY IN THE BROWNIAN MOTION MODEL WITH INTEREST AND RANDOMIZED OBSERVATION TIME
摘要
Abstract
In this paper we study the optimal dividend problems in the Brownian motion model with interest and randomized observation time. By using stochastic control theory, we obtain the associated Hamilton-Jacobi-Bellman (HJB) equation with the optimal value function, which show that the optimal dividend strategy is a barrier strategy, and give the explicit expression for the optimal value function, which generalize the results of [19].关键词
分红/破产/HJB方程Key words
dividend/ruin/HJB equation分类
数理科学引用本文复制引用
刘晓,余宏伟..带利率和随机观测时间的布朗运动模型中最优分红策略[J].数学杂志,2017,37(1):39-50,12.基金项目
Supported by the National Natural Science Foundation of China (11401010) （11401010）
the Natural Science Foundation of Education Department of Anhui Province (KJ2012ZD01) （KJ2012ZD01）
the Philosophy and Social Science Planning Foundation of Anhui Province (AHSK11-12D128) （AHSK11-12D128）
the Natural Science Foundation of Anhui Province (1308085QA14) （1308085QA14）
the Research Culture Funds of Anhui Normal University (2015xmpy14) （2015xmpy14）
