| 随机动态规划及其应用 |
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| 引用本文： | 丁万刚. 随机动态规划及其应用[J]. 太原理工大学学报, 2004, 35(2): 236-239,243 |
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| 作者姓名： | 丁万刚 |
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| 作者单位： | 太原理工大学,理学院,山西,太原,030024 |
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| 摘 要： | 讨论了连续时间随机动态规划原理，得出了具有随机利率的最优投资组合，并用动态规划原理得到具有随机插入时间物流遍历控制问题的变分不等式。
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| 关 键 词： | 随机控制 动态规划 变分不等式 投资组合 |
| 文章编号： | 1007-9432(2004)02-0236-04 |
| 修稿时间： | 2003-05-16 |
Stochastic Dynamical Programming and Its Applications |
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| DING Wan-gang. Stochastic Dynamical Programming and Its Applications[J]. Journal of Taiyuan University of Technology, 2004, 35(2): 236-239,243 |
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| Authors: | DING Wan-gang |
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| Abstract: | This paper discusses stochastic dynamical programming principle under continuous times.As its application,author derives the optimal investment portfolio with random interest rate.On the other hand,by dynamical programming principel,author derives variational inequlity on liqudity effects control problem with random intervention times. |
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| Keywords: | stochastic control dynamical programming variational inequlity investment protfolio |
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