The bail-out optimal dividend problem under the absolutely continuous condition

2017-10-19

The bail-out optimal dividend problem under the absolutely continuous condition     


报告人: 余翔 香港理工大学 时间:2017114日(星期六), 10:00-11:00


地点: 数学院第四报告厅


Abstract: We study the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-reflected Levy process. The optimal strategy as well as the value function are concisely written in terms of the scale function.  Numerical results are also given to confirm the analytical conclusions. This is the joint work with Jose-Luis Perez and Kazutoshi Yamazaki.


邀请人:蔡春浩


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