کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480351 1446102 2011 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
چکیده انگلیسی

In this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the expected present value of the dividends minus the discounted costs of capital injections. This paper can be considered as an extension of Yao et al. (2010), we include fixed transaction costs incurred by capital injections in this paper. This leads to an impulse control problem. Using the techniques of quasi-variational inequalities (QVI), this optimal control problem is solved. Numerical solutions are provided to illustrate the idea and methodologies, and some interesting economic insights are included.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 211, Issue 3, 16 June 2011, Pages 568–576
نویسندگان
, , ,