| 风险度量的最优控制 |
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| 引用本文： | 严钧. 风险度量的最优控制[J]. 阜阳师范学院学报(自然科学版), 2013, 30(2): 8-10 |
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| 作者姓名： | 严钧 |
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| 作者单位： | 扬州大学数学科学学院,江苏扬州,225002 |
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| 摘 要： | 考虑由随机微分方程驱动的价格过程的熵风险度量的最优控制问题,借助于动态规划原理,最后得到了该最优控制问题的值以及相应的最优控制。
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| 关 键 词： | 风险度量 随机微分方程 动态规划原理 |
Optimal control of risk measure |
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| YAN Jun. Optimal control of risk measure[J]. Journal of Fuyang Teachers College:Natural Science, 2013, 30(2): 8-10 |
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| Authors: | YAN Jun |
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| Affiliation: | YAN Jun ( School of Mathematical Sciences, Yangzhou University, Yangzhou Jiangsu 225002, China) |
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| Abstract: | The problem of optimal control for entropic risk measure of pricing process driven by stochastic differential equation is considered. By virtue of the dynamic programming principle, the value of optimal control problem and the corresponding optimal control are obtained. |
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| Keywords: | risk measure stochastic differential equation dynamic programming principle |
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