带跳跃的分数布朗运动的经济模型

The Economical Model of the Fractional Brownian Motion with Jumps

讨论了跳跃幅度为均匀分布和收益函数为一次多项式的分数布朗运动环境下的经济模型。在收益函数R(x)=ax-b的情形下,利用分数次伊藤公式,求得了平均收益的最优解。

This paper mainly discusses the economical model of the Fractional Brownian motion with Poisson jumps. In the case of the reward function R（ x） = ax-b,the average optimum solutions of the reward by Itp formula are obtained.