财富过程中的参数分析

Parameters Analysis in Wealth Processes

讨论了投资中财富过程的参数对其增长的影响．首先，给定投资目标，由财富过程定义到达投资目标的停时，并求其分布，同时讨论了财富过程中的参数对达到目标的影响；其次讨论了给定投资目标及破产界限，当它们都是给定的常数时，得出在破产之前到达投资目标的概率；在投资目标和破产界限以不同增长率增长的动态情形下。

First we dispose the influence of parameters in growth model of wealth process in the investment. Given the objective of the investment, we define the stopping time by the investment objective, and obtain the distribution of the passage time. Secondly, under the given boundary of investment and bankruptcy, we give the estimates which is about arriving the objective of investment before bankruptcy.