不确定条件下的均衡市场

Equilibrium Market under Uncertainty

建立了跳过程为非爆炸性计数过程的跳扩散模型,讨论了完备市场下的财富优化与市场均衡.利用随机分析的方法,构建了唯一的等价鞅测度,证明了存在唯一的优化投资组合及最优消费过程,给出了最优财富过程、最优消费过程和优化投资组合.给出了均衡市场的特性,证明了均衡市场的存在性和唯一性.

The problem of wealth optimization and equilibrium under complete financial markets was considered based on the jump-diffusion model with nonexplosive counting process.Resorting to stochastic analysis method, the uniqueness of the equivalent martingale measure and the optimal investment portfolio and consumption process was proved.Moreover, the optimal wealth process, the optimal consumption and portfolio process were also supplied.Finally, the existence and uniqueness of equilibrium in the financial market was provided once the characterization of an equilibrium market was given.