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Dividend optimization for jump-diffusion model with solvency constraints

文献类型：期刊论文

作者Li, Yongwu1; Li, Zhongfei2; Wang, Shouyang3; Xu, Zuo Quan4
刊名OPERATIONS RESEARCH LETTERS
出版日期2020-03-01
卷号48期号:2页码:170-175
关键词Dividend payment Jump-diffusion Solvency constraints Barrier strategy Partial integro-differential equation
ISSN号0167-6377
DOI10.1016/j.orl.2020.01.006
英文摘要Belhaj (2010) established that a barrier strategy is optimal for the dividend problem under jump-diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump-diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem. (C) 2020 Elsevier B.V. All rights reserved.
资助项目NSFC, China[71501176] ; NSFC, China[71932002] ; NSFC, China[71721001] ; NSFC, China[71991474] ; NSFC, China[71988101] ; NSFC, China[11971409] ; Beijing Natural Science Foundation, China[9192001] ; Hong Kong GRF, China[15204216] ; Hong Kong GRF, China[15202817]
WOS研究方向Operations Research & Management Science
语种英语
WOS记录号WOS:000527934600013
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/51342]  
专题中国科学院数学与系统科学研究院
通讯作者Li, Zhongfei
作者单位1.Beijing Univ Technol, Coll Econ & Management, Beijing 100124, Peoples R China
2.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
4.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Li, Yongwu,Li, Zhongfei,Wang, Shouyang,et al. Dividend optimization for jump-diffusion model with solvency constraints[J]. OPERATIONS RESEARCH LETTERS,2020,48(2):170-175.
APA Li, Yongwu,Li, Zhongfei,Wang, Shouyang,&Xu, Zuo Quan.(2020).Dividend optimization for jump-diffusion model with solvency constraints.OPERATIONS RESEARCH LETTERS,48(2),170-175.
MLA Li, Yongwu,et al."Dividend optimization for jump-diffusion model with solvency constraints".OPERATIONS RESEARCH LETTERS 48.2(2020):170-175.

入库方式： OAI收割

来源：数学与系统科学研究院

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