二维风险模型带交易费用的最优分红

摘要

Study the problem of the optimized participation in profit of transaction expenses in two-dimen-sion risk model region.Aiming for the difference between the optimized participation in profit and discoun-ting of capital injection,the corresponding strategy of the optimized participation in profit can be got by stochastic control theory and solve HJB equation.%研究带交易费用的二维风险模型的最优分红问题。以最大化分红与注资的折现之差为目标，利用随机控制理论，通过求解哈密尔顿-雅克比-贝尔曼(HJB)方程，得到了相应的最优分红策略。