摘要
运用随机最优控制理论，研究了风险敏感性随机最优控制问题。给出了值函数和风险规避系数的定义，并通过对值函数进行非线性变换，证明了变换后的值函数满足带有风险规避系数的动态规划偏微分方程。
The optimal control problem for the risk sensitive is studied by using the theory of stochastic optimal control: The definitions of value function and the coefficient of risk aversion are given, and the nonlinear transformation of value function is conducted. The transformed value function is proved to satisfy dynamic programming partial differential equation with the coefficient of risk aversion.
出处
《控制与决策》
EI
CSCD
北大核心
2000年第1期107-109,共3页
Control and Decision
关键词
风险敏感性
效用函数
最优控制
风险投资
stochastic optimal control, risk sensitive, value function, dynamic programming, utility function
