英文标题：
《An Exponential Cox-Ingersoll-Ross Process as Discounting Factor》
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作者：
Julia Eisenberg and Yuliya Mishura
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最新提交年份：
2018
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英文摘要：
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments, given that the discounting factor is given by an exponential CIR process. In the deterministic case, we are able to find explicit expressions for the optimal strategy and the value function. For the Brownian motion case, we offer a method allowing to show that for a small volatility the optimal strategy is a constant-barrier strategy.
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中文摘要：
我们考虑一个经济主体（家庭或保险公司）通过确定性过程或带漂移的布朗运动对其盈余过程进行建模。考虑到贴现因子由指数CIR过程给出，目标是最大化预期贴现支出/股息支付。在确定性的情况下，我们能够找到最优策略和值函数的显式表达式。对于布朗运动的情况，我们提供了一种方法，可以证明对于小的波动率，最优策略是一个常数屏障策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：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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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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