用脉冲控制研究扩散模型带注资的分红问题-应用数学专业毕业论文.pdfVIP

 Impulse control for the dividend problems with reinvestments in the diffusion model ABSTRACT In this paper, we mainly consider the dividend payments and reinvest- ments with both fixed and proportional transaction costs in the diffusion model.Because we have taken into account the fixed transaction costs, the problem was changed the impulse stochastic control problem.The final goal is to maximize the expected value of discounted net cash flow, i.e. dividends paid minus reinvestments,it makes shareholders get the most profits.We find the quasi-variational inequalities for the value function, and consider prop- erties of the value function.We identify the optimal policy and the value function. In the end, we give the relationship between dividend payments, reinvestments and transaction costs. KEY WORDS: diffusion model, dividend payments, reinvestments, transaction costs, impulse control, QVI-HJB equation, value function ii  x µ σ W (t) (Ω, F , P ) ξn nÆ ηn nÆ τi iÆ τ ′ iÆ i π K Æ . L Æ k Æ l Æ M1 Æ M2 Æ Γ ℄Æ C Σ