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| 股票债券市场中的一个随机规划问题 | |
| 引用本文： | 陈增敬.股票债券市场中的一个随机规划问题[J].山东大学学报(理学版),1996(1). |
| 作者姓名： | 陈增敬 |
| 作者单位： | Dept. of Math.，Shandong Univ.，Jinan |
| 摘 要： | 讨论了股票债券市场中的具有停时的随机规划问题，给出了投资者在股票债券市场中的最优投资消费决策和投资的最优停止时刻（即停时） |
| 关 键 词： | 随机微分方程 停时 随机规划 Hamilton－Jacobi－Bellman方程 |
STOCHASTIC PROGRAMMING IN THE SECURITY MARKETS |
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| Chen Zengjing.STOCHASTIC PROGRAMMING IN THE SECURITY MARKETS[J].Journal of Shandong University,1996(1). | |
| Authors: | Chen Zengjing |
| Abstract: | The goal is to present stochastic programming problems with a stopping time in the security markets,and get stocbastic optimization about investion / consumtion and stopping time in securtity markets. |
| Keywords: | stochastic differential equation stopping time stochastic programming Hamilton- Jacobi- Bellman equation |
| 本文献已被 CNKI 等数据库收录！ | |