摘要
该文对金融问题中提出的一个带约束条件的常微分自由边值问题进行了讨论,给出了一些解存在的必要条件和存在解的一个充分条件,建立了一种有效的数值计算方法,并通过数值计算研究了解随参数的变化规律.
A free boundary value problem of ordinary differential equations with constraint conditions that appears in the financial research is discussed in this paper. Some necessary conditions and a sufficient condition of the existence of solutions are presented. In addition, an effective numerical method for solving this problem is established. Rules of variations of the solutions with parameters are obtained using numerical solutions.
出处
《上海大学学报（自然科学版）》
CAS
CSCD
2004年第2期186-190,共5页
Journal of Shanghai University:Natural Science Edition
基金
国家自然科学基金 (1 0 2 72 0 6 9)资助项目
上海市重点学科建设 (51 452 2 )资助项目
关键词
自由边值
微分方程
汇率
随机脉冲控制
free boundary value
differential equation
exchange rate
stochastic impulse control
