论文标题
布朗模型中线性界限控制速率的随机控制问题
A stochastic control problem with linearly bounded control rates in a Brownian model
论文作者
论文摘要
为了实现更现实的最佳股息政策，我们使用由股息付款的预期现值给出的绩效函数来考虑随机控制问题，并使用绩效函数，最多可破坏。在布朗模型中，我们证明了一个名为延迟线性控制策略的新的控制策略家族成员的最佳性，对此，受控过程是折射的扩散过程。对于某些参数规格，我们检索了Avanzi＆Wong（2012）最初提出的策略，以使股息支付正规化，这与实际实践更一致。
Aiming for more realistic optimal dividend policies, we consider a stochastic control problem with linearly bounded control rates using a performance function given by the expected present value of dividend payments made up to ruin. In a Brownian model, we prove the optimality of a member of a new family of control strategies called delayed linear control strategies, for which the controlled process is a refracted diffusion process. For some parameters specifications, we retrieve the strategy initially proposed by Avanzi & Wong (2012) to regularize dividend payments, which is more consistent with actual practice.
