带利率和随机观测时间的布朗运动模型中最优分红策略

摘要

In this paper we study the optimal dividend problems in the Brownian motion model with interest and randomized observation time. By using stochastic control theory, we obtain the associated Hamilton-Jacobi-Bellman (HJB) equation with the optimal value function, which show that the optimal dividend strategy is a barrier strategy, and give the explicit expression for the optimal value function, which generalize the results of [19].%本文研究了带利率和随机观测时间的布朗运动模型中的最优分红问题。利用随机控制理论，获得了最优值函数相应的HJB方程，表明最优分红策略是障碍策略，并给出了最优值函数的显式表达式，推广了文献[19]的结果。