英文标题：
《On the bail-out dividend problem for spectrally negative Markov additive
  models》
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作者：
Kei Noba, Jos\\\'e-Luis P\\\'erez and Xiang Yu
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最新提交年份：
2020
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英文摘要：
  This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the regime-modulated refraction-reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. To verify the conjecture of a barrier type optimal control, we first introduce and study an auxiliary problem with the final payoff at an exponential terminal time and characterize the optimal threshold explicitly using fluctuation identities of the refracted-reflected Levy process. Second, we transform the problem with regime-switching into an equivalent local optimization problem with a final payoff up to the first regime switching time. The refraction-reflection strategy with regime-modulated thresholds can be shown as optimal by using results in the first step and some fixed point arguments for auxiliary recursive iterations.
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中文摘要：
本文研究了在累积红利策略绝对连续的约束下，具有制度切换的救助最优红利问题。当潜在风险模型遵循一般的谱负马尔可夫加性过程时，我们确认了区域调制折射反射策略的最优性。为了验证障碍型最优控制的猜想，我们首先引入并研究了一个在指数终端时间具有最终收益的辅助问题，并利用折射反射Levy过程的波动恒等式显式地刻画了最优阈值。其次，我们将政权切换问题转化为一个等价的局部优化问题，其最终收益可达第一个政权切换时间。通过使用第一步的结果和辅助递归迭代的一些固定点参数，可以显示具有区域调制阈值的折射-反射策略是最优的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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