摘要
假设股票的价格遵循CEV过程,经济因子满足两个相互独立的布朗运动,运用风险敏感性随机最优控制理论得到新的结论,最后对于简化的模型,得到最优长期增长率的解析解.
Suppose the stock price follows the constant elasticity of variance （CEV） process, we assume that economic factor satisfy two mutually independent Brown motion,apply risk sensitive stochastic optimal control theory to gaining new results. Finally we obtain explicit solution of optimal long-term growth rate for simplified model.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第7期9-13,共5页
Mathematics in Practice and Theory
