具有约束的随机消费与投资最优控制

STOCHASTIC CONSUMPTION AND INVESTMENT CONTROL WITH CONSTRAINTS

本文讨论随机消费－投资最优控制问题，提出一类有约束马氏决策模型，用线性规划方法给出最优随机平稳策略．

This paper discuss the stochastic consumption and investment control with constraints,propose a Markov decision with constrants model,and then give an optimal stationary policy by a linear program.