英文标题：
《Optimal dividend problems for a jump-diffusion model with capital
injections and proportional transaction costs》
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作者：
Chuancun Yin, Kam Chuen Yuen
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最新提交年份：
2014
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英文摘要：
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first problem, we consider the classical dividend problem without capital injections. The second problem aims at maximizing the expected discounted dividend payments minus the expected discounted costs of capital injections over strategies with positive surplus at all times. The third problem has the same objective as the second one, but without the constraints on capital injections. Under the assumption of proportional transaction costs, we identify the value function and the optimal strategies for any distribution of gains.
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中文摘要：
本文研究了一个公司的最优控制问题，该公司的盈余过程演化为一个具有随机投资回报的向上跳跃扩散过程。通过支付股息和注入资本来控制其流动储备的公司所面临的三类实际优化问题。在第一个问题中，我们考虑了没有注资的经典股利问题。第二个问题的目标是在任何时候都有正盈余的策略下，最大化预期的贴现股息支付减去预期的资本注入贴现成本。第三个问题的目标与第二个问题相同，但没有对注资的限制。在交易成本成比例的假设下，我们确定了收益分配的价值函数和最优策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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