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关于Heston市场模型的一类大偏差控制问题(英文)

A LARGE DEVIATIONS CONTROL PROBLEM ON HESTON MARKET MODEL
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摘要 本文研究了Heston市场模型中的长期最优投资问题中的大偏差控制问题.利用动态规划方法研究了此问题的对偶–一个遍历风险敏感控制问题.通过原问题和对偶问题之间的联系,获得了原问题解的明确表达式. In this paper, we study the large deviations control problem tor a long term optimal investment on Heston market model. Using dynamic programming method, we solve its dual problem which can be regarded as an ergodic risk-sensitive stochastic control problem. By the relation between primal problem and its dual problem, we obtain the solution in explicit form for primal problem.
作者 李春丽 蔡玉杰
机构地区 武汉科技大学理学院 武汉大学数学与统计学院
出处 《数学杂志》 CSCD 北大核心 2013年第3期409-418,共10页 Journal of Mathematics
基金 Supported by National Natural Science Foundation of China(61104127) The Youth Fund of Wuhan University of Science and Technology(2012X2018)
关键词 大偏差控制 遍历风险敏感控制 动态规划方程 Heston市场模型 large deviations control ergodic risk-sensitive control dynamic programmingequation Heston market model
分类号 O211.63 [理学—概率论与数理统计] O211.9 [理学—概率论与数理统计]
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参考文献10

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数学杂志
2013年 第3期

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