| 风险敏感性控制在CEV模型的应用研究 |
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| 引用本文： | 胡世培,甑立华.风险敏感性控制在CEV模型的应用研究[J].数学的实践与认识,2010,40(7). |
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| 作者姓名： | 胡世培 甑立华 |
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| 作者单位： | 1. 复旦大学,数学科学学院,上海,200433
2. 浙江林学院,经管学院,浙江,杭州,311300 |
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| 摘 要： | 假设股票的价格遵循CEV过程,经济因子满足两个相互独立的布朗运动,运用风险敏感性随机最优控制理论得到新的结论,最后对于简化的模型,得到最优长期增长率的解析解.
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| 关 键 词： | 随机最优控制 风险敏感 常方差弹性 |
A Application Study of Cev Model on Risk Sensitive Control |
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| HU Shi-pei,ZENG Li-hua.A Application Study of Cev Model on Risk Sensitive Control[J].Mathematics in Practice and Theory,2010,40(7). |
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| Authors: | HU Shi-pei ZENG Li-hua |
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| Institution: | HU Shi-pei,ZENG Li-hua (1.School of Mathematics Science,Fudan university,Shanghai 200434,China) (2.School of Economics , Management,Zhejiang Forestry University,Hangzhou 311300,China) |
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| Abstract: | Suppose the stock price follows the constant elasticity of variance(CEV) process, we assume that economic factor satisfy two mutually independent Brown motion,apply risk sensitive stochastic optimal control theory to gaining new results.Finally we obtain explicit solution of optimal long-term growth rate for simplified model. |
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| Keywords: | stochastic optimal control risk sensitive CEV |
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