| 有限时区上的最优转换和停止问题 |
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| 引用本文： | 钟伟.有限时区上的最优转换和停止问题[J].数学年刊A辑(中文版),2010,31(2):143-160. |
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| 作者姓名： | 钟伟 |
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| 作者单位： | 复旦大学数学科学学院金融数学与控制科学系; |
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| 基金项目： | 复旦大学研究生创新基金(No.EYH1411027)资助的项目 |
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| 摘 要： | 讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.
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| 关 键 词： | 实物期权 反射倒向随机微分方程 最优转换 最优停止 |
Optimal Switching and Stopping Problem in Finite Horizon |
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| ZHONG Wei.Optimal Switching and Stopping Problem in Finite Horizon[J].Chinese Annals of Mathematics,2010,31(2):143-160. |
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| Authors: | ZHONG Wei |
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| Institution: | ZHONG Wei~1 1 Department of Finance , Control Science,School of Mathematical Sciences,Fudan University,Shanghai 200433,China. |
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| Abstract: | This paper deals with a problem of optimal switching combined with discretionary stopping in finite horizon.It is an optimal control problem combining features of both stochastic impulse control and optimal stopping.The optimal value and strategy of switching and stopping are characterized in terms of the solution of multi-dimensional reflected backward stochastic differential equation(RBSDE,for short) with hybrid barriers. Then a more general RBSDE is considered and the existence and uniqueness of the solu... |
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| Keywords: | Real options Reflected backward stochastic differential equation Optimal switching Optimal stopping |
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