| 跳扩散最优停时与随机控制的结合及应用 |
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| 引用本文： | 赵婷婷,王子亭,张 辉. 跳扩散最优停时与随机控制的结合及应用[J]. 重庆工商大学学报(自然科学版), 2013, 30(8): 19-22 |
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| 作者姓名： | 赵婷婷 王子亭 张 辉 |
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| 作者单位： | 中国石油大学(华东)理学院,山东青岛,266580 |
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| 摘 要： | 以随机分析知识和最优控制理论为基础,结合动态规划原理和HJB方程,在一般的随机控制模型基础上,添加了“控制”和“停时”,讨论了在跳跃扩散市场下,最优停时与随机控制相结合的投资问题,并建立模型求解,最后通过一个例子说明在经济中最优停时是如何与随机控制相结合的.
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| 关 键 词： | 跳跃扩散 最优停时 随机控制 HJB方程 |
Combination of Optimal Stop and Stochastic Control of Jump Diffusion and Its Application |
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| ZHAO Ting-ting,WANG Zi-ting,ZHNAG Hui. Combination of Optimal Stop and Stochastic Control of Jump Diffusion and Its Application[J]. Journal of Chongqing Technology and Business University:Natural Science Edition, 2013, 30(8): 19-22 |
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| Authors: | ZHAO Ting-ting WANG Zi-ting ZHNAG Hui |
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| Abstract: | Based on stochastic analysis knowledge and optimal control theory,by combining dynamic programming throrem and HJB equation,this paper adds"control"and "stop"on the basis of general stochastic control model,discusses investment issue in the combination of optimal stop and stochastic control under jump diffusion market,ssets up a model for the solution,and finally uses a example to illustrate how optimal stop combines stochastic control in economics. |
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| Keywords: | jump diffusion optimal stop stochastic control HJB equation |
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