一类随机金融系统的随机灵敏度控制

Stochastic Sensitivity Control for a Class of Stochastic Financial Systems

首先分析了确定性金融系统的动力学特性,然后讨论了随机扰动下的金融混沌系统偏离确定吸引子的随机吸引子.使用SSF技术,即随机灵敏度函数技术,合成一个随机灵敏度矩阵,在指数稳定平衡点处展开讨论,并在指数稳定平衡点处设计一个反馈调节器.理论分析和数值模拟表明:加入反馈调节器之后能降低随机系统的灵敏度,并且可以达到抑制混沌随机振荡的目的.

This paper first analyzed the dynamics of deterministic financial system,and then discussed the stochastic attractor deviating from the determinate attractor for the financial chaotic system under random perturbation.A random sensitivity matrix was synthesized by using the stochastic sensitivity function(SSF)technique.The discussion was carried out at the exponential stable equilibrium point and a feedback regulator was designed at the exponential stable equilibrium point.Theoretical analysis and numerical simulation showed that the sensitivity of the stochastic system can be reduced and the chaotic stochastic oscillation can be suppressed by adding feedback regulator.