摘要
本文研究了金融市场上投资者消费效用优化的随机控制问题．设金融市场上有一个局部无风险的资产和ｄ个风险资产，其价格服从连续的Ｉｔｏ模型．在效用折扣过程为有限分段函数情形下，得出了关于目前财富反馈形式的最优消费投资公式．
This paper study a stochastic control problem of investor's consumption utility maximization im financial market. The prices of one riskless asset and d risk assets follow a continuous time, Ito model. Optimal consumption and Investment formulae in feedback form on the current wealth are obtained on condition that discounted process of utility is a finite piecewise function.
出处
《应用概率统计》
CSCD
北大核心
1999年第1期35-42,共8页
Chinese Journal of Applied Probability and Statistics
