共查询到19条相似文献,搜索用时 62 毫秒
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讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性. 相似文献
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假定金融市场中的投资者仅掌握部分信息,即投资者仅能观测到股票和债券价格,而股票的瞬时回报率和市场的噪声源不能观测.对存款利率和贷款利率不相等的情形,运用凸分析和滤波技术得到了部分信息下股票付红利的Black-Scholes期权定价公式.对部分信息下最大化终端财富的问题,获得了最优投资策略. 相似文献
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本文在Loeb空间上得到了右连续左半上连续的随机过程的SRC提升.证明了一个内过程的S-最优停止的存在性,并得到了它的结构性表示.最后证明了一个过程SRC提升的S-最优停止的标准部分即为对应标准过程的最优停止,在Loeb空间上推广了[8]中的结果. 相似文献
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在Briand,Coquet,Hu,Memin,Peng[1],Coquet,Hu,Memin,Peng[2],Chen[3],Jiang [8]等中,研究了倒向随机微分方程的逆比较定理,就是通过比较倒向随机微分方程的解来比较倒向随机微分方程的生成元问题.在文[9]中Li和Tang首次研究了反射倒向随机微分方程的逆比较问题.本文考虑在更一般的条件下,反射倒向随机微分方程的生成元的逆比较问题. 相似文献
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在Briand,Coquet,Hu,Mémin,Peng[1],Coquet,Hu,Mémin,Peng[2],Chen[3],Jiang[8]等中,研究了倒向随机微分方程的逆比较定理,就是通过比较倒向随机微分方程的解来比较倒向随机微分方程的生成元问题.在文[9]中Li和Tang首次研究了反射倒向随机微分方程的逆比较问题.本文考虑在更一般的条件下,反射倒向随机微分方程的生成元的逆比较问题. 相似文献
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房地产开发的最优时间和最优强度 总被引:1,自引:0,他引:1
房地产投资具有许多不确定性,对房地产投资进行评估尤为重要.利用实物期权理论,对房地产投资进行建模分析,确定出最优开发时间和最优开发强度;最后根据模型推导出来的结论进行数值分析. 相似文献
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股票操作中的选时即决定何时买进何时卖出是人们进行操作时最为关心的,本文运用最优停止及时间序更的理论和方法,给出了一种较优的具体操作方法。 相似文献
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《Stochastic Processes and their Applications》2020,130(8):4746-4765
We prove the existence and uniqueness of solutions of backward stochastic differential equations (BSDEs) with generalized reflection at time dependent càdlàg barriers. The reflection model we consider includes, as special cases, the standard reflection as well as the mirror reflection studied earlier in the theory of forward stochastic differential equations. We also show that the solution of BSDEs with generalized reflection corresponds to the value of an optimal stopping problem. 相似文献
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本文研究了一维扩散过程的最优停止问题,论证了W iener过程和几何布朗运动是F e ller过程,同时给出了一般扩散过程的处理方法. 相似文献
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We show that the value function of a singular stochastic
control problem is equal to the integral of the value function
of an associated optimal stopping problem. The connection is
proved for a general class of diffusions using the
method of viscosity solutions. 相似文献
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We show that the value function of a singular stochastic
control problem is equal to the integral of the value function
of an associated optimal stopping problem. The connection is
proved for a general class of diffusions using the
method of viscosity solutions. 相似文献
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In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations. 相似文献
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??We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation. 相似文献
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We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation. 相似文献