研究了跳扩散框架下采用障碍红利分配策略模型中的自由边界问题,利用偏微分方程理论将有界区间上积分一微分方程的解用无界区间上积分一微分方程的解表示,在此基础上得到了期望累积贴现红利函数及自由边界所满足的方程.
A free boundary problem from a dividend payment with barrier strategy in a jump-diffusion model is studied. Based on the partial differtial equation (PDE), the solution of an integro-differential equation in an infinite interval is expressed in terms of the solution of this kind of equation in a finite interval. Finally, some characterizations on the optimal barrier level and the equation are obtained.