论文标题
最佳股息问题：渐近分析
Optimal Dividend Problem: Asymptotic Analysis
论文作者
论文摘要
我们重新介绍了最佳股息的经典问题，并确定扩散近似作为此问题的经典风险模型的有效近似程度。我们的结果与Bäuerle（2004）中的一些相似，但是我们获得了更清晰的结果，因为我们使用另一种技术来获取它们。具体而言，Bäuerle（2004）使用概率技术，并依赖于基础过程分布的收敛性。相比之下，我们使用了微分方程理论的比较结果，这些方法使我们能够确定所讨论的价值函数的收敛速率。
We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those in Bäuerle (2004), but we obtain sharper results because we use a different technique for obtaining them. Specifically, Bäuerle (2004) uses probabilistic techniques and relies on convergence in distribution of the underlying processes. By contrast, we use comparison results from the theory of differential equations, and these methods allow us to determine the rate of convergence of the value functions in question.
