| The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk |
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| 引用本文： | Shao Lin JI Zhen WU. The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk[J]. 数学学报(英文版), 2007, 23(12): 2189-2204. DOI: 10.1007/s10114-007-0989-6 |
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| 作者姓名： | Shao Lin JI Zhen WU |
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| 作者单位： | School of Mathematics and Systems Science, Shandong University, Jinan 250100, P. R. China |
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| 基金项目： | This work is supported by the National Basic Research Program of China （973 Program, No. 2007CB814900） the Natural Science Foundation of China （10671112）, Shandong Province （Z2006A01）, and the New Century Excellent Young Teachers Program of Education Ministry of China |
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| 摘 要： | ![]()
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| 关 键 词： | 反向随机微分方程 摄动法 随机最优化问题 风险测量 |
| 收稿时间： | 2004-10-20 |
| 修稿时间： | 2007-01-26 |
The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk |
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| Shao Lin Ji,Zhen Wu. The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk[J]. Acta Mathematica Sinica(English Series), 2007, 23(12): 2189-2204. DOI: 10.1007/s10114-007-0989-6 |
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| Authors: | Shao Lin Ji Zhen Wu |
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| Affiliation: | (1) School of Mathematics and Systems Science, Shandong University, Jinan, 250100, P. R. China |
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| Abstract: | ![]()
The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients. |
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| Keywords: | backward stochastic differential equation perturbation method Ekeland's variational principle dynamic measure of risk |
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