In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both pro...In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company＇s capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems： one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company＇s reserve above zero by issuing new equity, depending on the model＇s parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.展开更多
机器类型通信(Machine Type Communication,MTC)在5G场景中的应用比例大幅增长。这一类型通信的主要目的是在尽可能减少人工干预的情况下,实现机器类型设备(Machine Type Device,MTD)之间的自主通信。在大规模机器类型通信(massive Mach...机器类型通信(Machine Type Communication,MTC)在5G场景中的应用比例大幅增长。这一类型通信的主要目的是在尽可能减少人工干预的情况下,实现机器类型设备(Machine Type Device,MTD)之间的自主通信。在大规模机器类型通信(massive Machine Type Communication,m MTC)场景中,随机接入(Random Access,RA)冲突是导致网络性能较差的关键因素。为了减轻RA阶段的MTD冲突,提出一种基于双队列分析模型的分布式接入控制方法。相较于中心式控制方法,分布式方法可以明显降低信令开销。此外,仿真表明,提出的方法在系统中设备数量较为稳定时具有更高的吞吐量。展开更多
基金partially supported by grants of the National Natural Science Foundation of China(Nos.71231008,71201173,71301031,71471045)Natural Science Foundation of Guangdong Province of China(No.S2013010011959)the Post-Doctoral Foundation of China(Nos.2012M510195,2014T70796)
文摘In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company＇s capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems： one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company＇s reserve above zero by issuing new equity, depending on the model＇s parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.
文摘机器类型通信(Machine Type Communication,MTC)在5G场景中的应用比例大幅增长。这一类型通信的主要目的是在尽可能减少人工干预的情况下,实现机器类型设备(Machine Type Device,MTD)之间的自主通信。在大规模机器类型通信(massive Machine Type Communication,m MTC)场景中,随机接入(Random Access,RA)冲突是导致网络性能较差的关键因素。为了减轻RA阶段的MTD冲突,提出一种基于双队列分析模型的分布式接入控制方法。相较于中心式控制方法,分布式方法可以明显降低信令开销。此外,仿真表明,提出的方法在系统中设备数量较为稳定时具有更高的吞吐量。
