JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2015, Vol. 50 ›› Issue (05): 74-81.doi: 10.6040/j.issn.1671-9352.0.2014.316

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On a periodic dividend problems in the Brownian motion model with investment

WANG Cui-lian, LIU Xiao   

  1. School of Mathematics and Computer Science, Anhui Normal University, Wuhu 241003, Anhui, China
  • Received:2014-07-05 Online:2015-05-20 Published:2015-05-29

Abstract: Assume that the dividends can only be paid at some randomized observation times and dividends were paid according to a barrier strategy, the differential equations for the moment-generating function, the n-th moment function and the Laplace transform of ruin time were derived. The explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time were also obtained.

Key words: dividend, investment, Laplace transform, Brownian motion

CLC Number: 

  • O211.62
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