摘要
在有交易费的投资消费模型下,讨论了价值函数的一些基本性质,即给出了价值函数是有限连续和非减凹函数.
In the paper, under a investment-consumption model with transaction costs, some basic properties of value function are discussed. It is shown that the value function is a finite continuous and concave non-decreasing one.
出处
《装甲兵工程学院学报》
2001年第2期7-10,共4页
Journal of Academy of Armored Force Engineering
关键词
交易费
投资消费
价值函数
鞅方法
transaction costs
investment-consumption
value function
matingale method
