The Problem of Optimal Periodic Dividends in Dual Model with Stochastic Investment
Based on the compound binomial dual model,this paper studies the optimal dividend problem in which the investment per unit time is a random variable and the dividend time changes periodically.The value function equation is established through relevant assumptions.After transforming the value function,the relevant properties of the optimal dividend strategy are obtained by using the principle of contraction mapping.Finally,an algorithm of the optimal value function is provided through the upper and lower bounds of the value function.
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