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跳扩散对偶模型在带壁分红策略下的分红函数

李波 吴荣

李波, 吴荣. 跳扩散对偶模型在带壁分红策略下的分红函数[J]. 应用数学和力学, 2008, 29(9): 1124-1134.
引用本文: 李波, 吴荣. 跳扩散对偶模型在带壁分红策略下的分红函数[J]. 应用数学和力学, 2008, 29(9): 1124-1134.
LI Bo, WU Rong. Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy[J]. Applied Mathematics and Mechanics, 2008, 29(9): 1124-1134.
Citation: LI Bo, WU Rong. Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy[J]. Applied Mathematics and Mechanics, 2008, 29(9): 1124-1134.

跳扩散对偶模型在带壁分红策略下的分红函数

基金项目: 国家重点基础研究发展计划(973计划)资助项目(2007CB814905);国家自然科学基金资助项目(10571092);高等教育博士学科点科研基金资助项目
详细信息
    作者简介:

    李波(1981- ),男,湖南人,博士生(联系人.Tel:+86-22-23494573;E-mail:sday_oce@yahoo.com.cn).

  • 中图分类号: O211.6

Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy

  • 摘要: 考虑了带干扰的古典风险模型的对偶模型,讨论了模型在带壁分红策略下的一些结论.通过研究过程的局部时,证明了所讨论函数的边界条件.用在没有分红策略下模型的函数,给出了期望折现分红函数的显示表达.在最后一节,对于跳服从相位分布的情形,给出了数值例子,并讨论了最优分红边界的存在性.
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出版历程
  • 收稿日期:  2007-10-27
  • 修回日期:  2008-08-01
  • 刊出日期:  2008-09-15

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