英文标题：
《Optimal financing and dividend distribution in a general diffusion model
  with regime switching》
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作者：
Jinxia Zhu and Hailiang Yang
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最新提交年份：
2015
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英文摘要：
  We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injections and dividend payments incur expenses. The objective is to maximize the expectation of the total discounted dividends minus the total cost of capital injections. We prove that it is optimal to inject capitals only when the surplus tends to fall below zero and to pay out dividends at the maximal rate when the surplus is at or above the threshold dependent on the environment regime.
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中文摘要：
我们研究了一个扩散型盈余模型中的最优融资和股利分配问题，其中漂移系数和波动系数是盈余水平和外部环境制度的一般函数。环境状况由马尔可夫过程建模。注资和股息支付都会产生费用。目标是最大化总贴现股息减去注资总成本的预期。我们证明了只有当盈余趋向于低于零时才注资是最优的，当盈余达到或超过取决于环境制度的阈值时，才以最大的利率支付股息。
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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