一类随机最优控制问题的局部必要条件及在投资选择中的应用

The local necessary condition for a type of stochastic optimal control problem and its application to a portfolio choice problem

研究了一类在投资选择问题中产生的随机最优控制问题,应用经典的凸变分技术得到了局部必要条件.结合必要条件和直接构造的方法,解决了该最优投资选择问题.

A type of stochastic optimal control problem a rising from an optimal portfolio choice problem is studied. Based on the classical convex variational technique, the local necessary condition is given. The portfolio problem is discussed based on the combination of the necessary condition with a direct construction method.