摘要
现代金融经济中的很多问题可以构建成随机控制模型,而随机控制的求解却存在一定的困难.马氏链算法应该是一种有效的求解随机控制问题的数值方法.本文以Claus Munk的工作为基础,针对一类最优投资模型,具体确定了马氏链的转移矩阵并证明其满足算法收敛条件,并用MATLAB语言编成一个程序实现.
Many problems in financial economics involve the solution of stochastic control, but the ex-plict of such problem are rare. Markov chain approach can be efficient. On the basic of Glaus Munk(1998)'s work, this paper discuss the application to optimal investment problem on the finit horizon case, we obtain the transimition probablity and prove that the convergence conditions of the arithmetic are satisfied and we also program with matlab language.
出处
《应用数学与计算数学学报》
2004年第1期41-46,共6页
Communication on Applied Mathematics and Computation
基金
交通银行基金托管部和上海市教委重点学科建设项目的资助
