| 采用障碍策略的红利分配模型自由边界问题 |
| |
| 引用本文： | 万凝,于屹.采用障碍策略的红利分配模型自由边界问题[J].同济大学学报(自然科学版),2007,35(3):427-430. |
| |
| 作者姓名： | 万凝 于屹 |
| |
| 作者单位： | 1. 同济大学,应用数学系,上海,200092
2. 中国联通公司,威海分公司,山东,威海,264200 |
| |
| 摘 要： | 研究了跳扩散框架下采用障碍红利分配策略模型中的自由边界问题，利用偏微分方程理论将有界区间上积分一微分方程的解用无界区间上积分一微分方程的解表示，在此基础上得到了期望累积贴现红利函数及自由边界所满足的方程．
|
| 关 键 词： | 红利分配 障碍策略 跳扩散模型 积分微分方程 自由边界 |
| 文章编号： | 0253-374X（2007）03-0427-04 |
| 修稿时间： | 2005-12-19 |
Free Boundary Problem from a Dividend Payment Model with Barrier Strategy |
| |
| WAN Ning,YU Yi.Free Boundary Problem from a Dividend Payment Model with Barrier Strategy[J].Journal of Tongji University(Natural Science),2007,35(3):427-430. |
| |
| Authors: | WAN Ning YU Yi |
| |
| Institution: | 1. Department of Applied Mathematics, Tongji University, Shanghai 200092, China; 2. China United Telecommunication Corporation, Weihai Branch, Weihai 264200, China |
| |
| Abstract: | A free boundary problem from a dividend payment with barrier strategy in a jump-diffusion model is studied.Based on the partial differtial equation(PDE),the solution of an integro-differential equation in an infinite interval is expressed in terms of the solution of this kind of equation in a finite interval.Finally,some characterizations on the optimal barrier level and the equation are obtained. |
| |
| Keywords: | dividend strategy barrier strategy jump-diffusion model integro-differential equation free boundary |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
