英文标题：
《Optimal Hybrid Dividend Strategy Under The Markovian Regime-Switching
Economy》
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作者：
Xiaoxiao Zheng and Xin Zhang
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最新提交年份：
2014
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英文摘要：
In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected total discounted payments until ruin. In this article, we consider a hybrid dividend strategy, that is, the company is allowed to conduct continuous dividend strategy as well as impulsive dividend strategy. In addition, we consider the change of economy, which is characterized by a markovian regime-switching, and under the setting of two regimes, we solve the problem and obtain the analytical solution for the value function.
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中文摘要：
在本文中，我们考虑公司的最优股利问题。我们用一个带有制度转换的扩散模型来描述公司的盈余过程。该公司的目标是选择一种股息政策，以最大限度地提高预期总贴现付款，直至破产。在本文中，我们考虑了一种混合股利策略，即允许公司执行连续股利策略和脉冲股利策略。此外，我们还考虑了以马尔可夫政权转换为特征的经济变化，在两个政权的设置下，我们解决了这个问题，得到了价值函数的解析解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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