跳-扩散模型下相对收益过程带停时的均值-方差随机控制

Mean-variance stochastic control for the relative return process of jump-diffusion models with Discretionary stopping

针对跳扩散模型下鞅测度不唯一的问题,利用识别定理和Riccati方程研究了跳扩散模型下带停时的均值-方差随机控制问题,得到了相对收益过程最优投资策略的显式解及相应的最优停时,并且给出了在最优停止时间的均值方差有效边界.

Using verification theorem and Riccati equation,mean-variance stochastic control of jump-diffusion models with Discretionary stopping is presented for non-unique martingale measure of jump-diffusion models.The explicit solution for the optimal strategies and the corresponding optimal stopping of the relative return process are established.Finally,the efficient frontier for the optimal stopping is derived.