摘要
针对跳扩散模型中的优化与均衡问题,利用鞅方法和随机点过程理论,建立了跳扩散模型下的均衡市场,分析了市场中的财富优化问题,给出了均衡大宗商品现货价格、最优财富过程、最优投资组合及最优消费过程.
This paper discusses the optimization and equilibrium problems under the jump diffusion model. Resorting to the martingale and the stochastic point process methods, the equilibrium market is established and the wealth optimization problem is also studied. Furthermore, the prices of equilibrium commodity, the optimal growth of wealth process, the optimal portfolio and consumption process are also provided.
出处
《数学的实践与认识》
北大核心
2017年第15期194-201,共8页
Mathematics in Practice and Theory
基金
国家自然科学基金(71473194)
陕西省教育厅科学研究计划资助项目(16JK1500)
陕西省科技厅自然科学基金(2013KJXX-40)
关键词
跳扩散过程
点过程
均衡
财富优化
jump-diffusion process
point process
equilibrium
wealth optimization
