不确定模型下内部信息者最优投资-消费问题

Uncertain model of insider for optimal investment-consumption

在具有扩大信息流的环境下,研究了股价服从跳-扩散模型的内部信息者最优投资-消费问题.构建内部信息者投资-消费模型,并将模型转化为含参数的经典随机微分博弈.利用汉密尔顿函数和伊藤公式得到线性的倒向随机微分方程的解.利用最大值原理得到了不确定模型下的最优内部信息者投资-消费问题.

In the expansion of information flow assumptions, the optimal consumption insider problem was studied that the stock price follows jump - diffusion model. Firstly, the insider consumption model was built and be translated into classical stochastic differential games with parameter. On the basis of the Hamiltonian and Ito formula, the solution of the linear back-ward stochastic differential equation was got. Finally, the optimal insider consumption under model uncertainty was obtained by the maximum principle.