| 一类最优投资随机控制模型的马氏链算法 |
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| 引用本文： | 宿莉,秦成林.一类最优投资随机控制模型的马氏链算法[J].应用数学与计算数学学报,2004,18(1):41-46. |
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| 作者姓名： | 宿莉 秦成林 |
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| 作者单位： | 上海大学理学院,上海,200436 |
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| 基金项目： | 此课题受到交通银行基金托管部和上海市教委重点学科建设项目的资助. |
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| 摘 要： | 现代金融经济中的很多问题可以构建成随机控制模型,而随机控制的求解却存在一定的困难.马氏链算法应该是一种有效的求解随机控制问题的数值方法.本文以Claus Munk的工作为基础,针对一类最优投资模型,具体确定了马氏链的转移矩阵并证明其满足算法收敛条件,并用MATLAB语言编成一个程序实现.
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| 关 键 词： | 随机控制 马氏链 最优投资 |
| 修稿时间： | 2003年10月30 |
Markov Chain Approximation Approach of Stochastic Control Applied in Optimal Investment |
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| Su Li Qin Chenglin
School of Sciences,Shanghai University,Shanghai.Markov Chain Approximation Approach of Stochastic Control Applied in Optimal Investment[J].Communication on Applied Mathematics and Computation,2004,18(1):41-46. |
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| Authors: | Su Li Qin Chenglin
School of Sciences Shanghai University Shanghai |
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| Institution: | Su Li Qin Chenglin
School of Sciences,Shanghai University,Shanghai,200436 |
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| Abstract: | Many problems in financial economics involve the solution of stochastic control, but the ex-plict of such problem are rare. Markov chain approach can be efficient. On the basic of Glaus Munk(1998)'s work, this paper discuss the application to optimal investment problem on the finit horizon case, we obtain the transimition probablity and prove that the convergence conditions of the arithmetic are satisfied and we also program with matlab language. |
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| Keywords: | stochastic control markov chain optimal investment |
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