摘要
研究了金融市场上证券投资的随机模型。证券价格的波动行为用随机微分方程加以刻划。考虑红利支付过程后，探讨了投资商的最优消费与投资的一般特征。并就模型系数为常系数情形导出反馈形式的最优消费与投资公式。
This paper deals with the stochastic Model of the securities investment on a financial market. The securities prices are characterized by stochastic differential equations. Considering divident payment process, we discuss the general behavior of an agent's optimal consumption/ investment, and obtain the optimal consumption/ investment formula on the model with constant coeficients.
出处
《安徽机电学院学报》
1997年第4期64-69,共6页
Journal of Anhui Institute of Mechanical and Electrical Engineering
关键词
随机微分方程
随机控制
最优消费与投资
红利率
效用函数
stochastic differential equation
stochastic control
optimal consumption and investment
dividend rates
utility function
