报告人：王文元 教授（福建师范大学）

时间：2025年03月28日 15:00-

地点：数统学院LD718

摘要：In this talk, we investigate the optimal control problem of ratcheting dividend and capital injection under the Brownian risk model. We show that the value function is the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Explicit analytical expressions of the value function and the optimal strategy are obtained when the general ratcheting dividend strategies are restricted to be the finite ratcheting dividend strategies (i.e., the dividend rate takes only a finite number of values), where the optimal dividend strategy is the threshold--type finite ratcheting dividend strategy, and, the optimal capital injection strategy is the bail-out strategy. Numerical examples are provided at the end. (This is a joint work with Ran Xu, Kaixin Yan, and Jing Yao)

邀请人: 张志民

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