消费和终端财富最大化的鞅方法

Maximum problem of both consumption and termindl wealth by martingale method

讨论当投资者采用随机微分效用时,如何进行选择使其消费和终端财富最大化．采用在连续证券市场中的鞅方法,利用了等价鞅测度、Girsanov 定理等理论,将原始模型进行简化,最后得到最优消费策略的显示解．

The maximum problem of both consumption and termindl wealth under continuous security market with stochastic differential utility is discussed. The equilibrium martingale measure and the, Girsanov theory are used to simplify the orginal model an explicit solution to the optimal consumption is obtained.