| 汇率最优干预的数学模型及数值模拟 |
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| 引用本文： | 赵连霞,朱正佑. 汇率最优干预的数学模型及数值模拟[J]. 上海大学学报(自然科学版), 2004, 10(2): 186-190 |
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| 作者姓名： | 赵连霞 朱正佑 |
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| 作者单位： | 上海大学,理学院,上海,200436 |
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| 基金项目： | 国家自然科学基金 (1 0 2 72 0 6 9)资助项目，上海市重点学科建设 (51 452 2 )资助项目 |
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| 摘 要： | 该文对金融问题中提出的一个带约束条件的常微分自由边值问题进行了讨论，给出了一些解存在的必要条件和存在解的一个充分条件，建立了一种有效的数值计算方法，并通过数值计算研究了解随参数的变化规律．
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| 关 键 词： | 自由边值 微分方程 汇率 随机脉冲控制 |
| 文章编号： | 1007-2861(2004)02-0186-05 |
| 修稿时间： | 2003-06-04 |
Qualitative Study and Numerical Method of a Class of Financial Problems |
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| ZHAO Lian-xia,ZHU Zheng-you. Qualitative Study and Numerical Method of a Class of Financial Problems[J]. Journal of Shanghai University(Natural Science), 2004, 10(2): 186-190 |
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| Authors: | ZHAO Lian-xia ZHU Zheng-you |
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| Abstract: | A free boundary value problem of ordinary differential equations with constraint conditions that appears in the financial research is discussed in this paper. Some necessary conditions and a sufficient condition of the existence of solutions are presented. In addition, an effective numerical method for solving this problem is established. Rules of variations of the solutions with parameters are obtained using numerical solutions. |
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| Keywords: | free boundary value differential equation exchange rate stochastic impulse control |
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