| 消费和终端财富最大化的鞅方法 |
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| 引用本文： | 朱祎莉.消费和终端财富最大化的鞅方法[J].上海理工大学学报,2005,27(6):483-486. |
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| 作者姓名： | 朱祎莉 |
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| 作者单位： | 上海理工大学,理学院,上海,200093 |
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| 摘 要： | 讨论当投资者采用随机微分效用时，如何进行选择使其消费和终端财富最大化．采用在连续证券市场中的鞅方法，利用了等价鞅测度、Girsanov定理等理论，将原始模型进行简化，最后得到最优消费策略的显示解．
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| 关 键 词： | 随机微分效用 布朗运动 等价鞅测度 局部鞅 |
| 文章编号： | 1007-6735（2005）06-0483-04 |
| 收稿时间： | 2004-09-16 |
| 修稿时间： | 2004年9月16日 |
Maximum problem of both consumption and termindl wealth by martingale method |
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| ZHU Yi-li.Maximum problem of both consumption and termindl wealth by martingale method[J].Journal of University of Shanghai For Science and Technology,2005,27(6):483-486. |
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| Authors: | ZHU Yi-li |
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| Institution: | College of Science, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | The maximum problem of both consumption and termindl wealth under continuous security market with stochastic differential utility is discussed. The equilibrium martingale measure and the, Girsanov theory are used to simplify the orginal model an explicit solution to the optimal consumption is obtained. |
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| Keywords: | stochastic differential utility Brown motion equilibrium martingale measure local martingale |
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