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| 随机投资下对偶模型中的周期性最优红利问题 |
| The Problem of Optimal Periodic Dividends in Dual Model with Stochastic Investment |
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| DOI：10.16018/j.cnki.cn32-1650/n.202402009 |
| 中文关键词: 随机投资 周期性分红 HJB方程 压缩映射 |
| 英文关键词: stochastic investment periodic dividend HJB equation contraction mapping |
| 基金项目: |
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| 摘要点击次数: 58 |
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| 中文摘要: |
| 在复合二项对偶模型的基础上，研究单位时间内的投资是随机变量，且分红时刻呈现周期性变化的最优红利问题。通过相关假设条件建立值函数方程；在对值函数进行变换后，利用压缩映射原理得到最优红利策略的相关性质；最后，通过值函数的上下界提供最优值函数的一种算法。 |
| 英文摘要: |
| Based on the compound binomial dual model, this paper studies the optimal dividend problem in which the investment per unit time is a random variable and the dividend time changes periodically. The value function equation is established through relevant assumptions. After transforming the value function, the relevant properties of the optimal dividend strategy are obtained by using the principle of contraction mapping. Finally, an algorithm of the optimal value function is provided through the upper and lower bounds of the value function. |
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