| 具有约束的随机消费与投资最优控制 |
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| 引用本文： | 晏木荣.具有约束的随机消费与投资最优控制[J].经济数学,1999(4). |
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| 作者姓名： | 晏木荣 |
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| 作者单位： | 湖南财经学院!长沙，410079 |
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| 基金项目： | 国家自然科学基金!（NO．19771032） |
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| 摘 要： | 本文讨论随机消费－投资最优控制问题，提出一类有约束马氏决策模型，用线性规划方法给出最优随机平稳策略．
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| 关 键 词： | 消费与投资控制 线性规划 马氏决策过程 |
STOCHASTIC CONSUMPTION AND INVESTMENT CONTROL WITH CONSTRAINTS |
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| Yan Murong.STOCHASTIC CONSUMPTION AND INVESTMENT CONTROL WITH CONSTRAINTS[J].Mathematics in Economics,1999(4). |
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| Authors: | Yan Murong |
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| Abstract: | This paper discuss the stochastic consumption and investment control with constraints,propose a Markov decision with constrants model,and then give an optimal stationary policy by a linear program. |
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| Keywords: | Consumption and investment control linear programming markov decision process |
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