| 最优投资消费策略 |
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| 引用本文： | 消建勇,陈超. 最优投资消费策略[J]. 数学理论与应用, 2001, 21(1): 70-72 |
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| 作者姓名： | 消建勇 陈超 |
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| 作者单位： | 中南大学科研所，长沙410083 |
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| 摘 要： | 投资消费问题是数理金融中的一个主要问题，Merton在假设股票价格过程为扩散过程的情形下，给出了最优投资消费策略的显式解，本在股份价格过程为跳－扩散过程的情形下，讨论了最优投资消费策略问题，得到了最优投资消费策略的偏微分方程。
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| 关 键 词： | 投资消费 股份价格过程 跳－扩散过程 数理金融 策略 显式解 偏微分方程 |
OPTIMAL INVESTMENT AND CONSUMPTION RULES |
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| Xiao Jianyong Chen Chao. OPTIMAL INVESTMENT AND CONSUMPTION RULES[J]. Mathematical Theory and Applications, 2001, 21(1): 70-72 |
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| Authors: | Xiao Jianyong Chen Chao |
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| Abstract: | Invenstment and Consumption rules are the main problems in mathematical finance.Under the assumption that stock pricing processes are diffusion processes,Merton attains the close-fom soluction.This paper deduces the partial differential equation that invenstment and consumption reles satisfy under the assumption that stock procing processes are jump diffusion processes. |
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| Keywords: | Invenstment and consumption Jump diffusion process Weath process |
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