Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(C...Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(China International Fair for Investment and Trade)(?) UNIDO China Office展开更多
Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(C...Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(China International Fair for Investment and Trade)(?) UNDO China Office展开更多
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strat...This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time To one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [To, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations （BSDEs, for short）, we give an equivalent characterization of the Pareto optimal cooperative strategies.展开更多
文摘Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(China International Fair for Investment and Trade)(?) UNIDO China Office
文摘Date:September 8-9,2011 Venue:Xiamen International Conference and Exhibition Center,China Hosts:United Nations Industrial Development Organization Ministry of Commerce,China Organizers: Organizing Committee of CIFIT(China International Fair for Investment and Trade)(?) UNDO China Office
基金supported by the Natural Science Foundation of China under Grant Nos.11001029 and 10971220the Fundamental Research Funds for the Central Universities(BUPT2009RC0705)
文摘This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time To one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [To, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations （BSDEs, for short）, we give an equivalent characterization of the Pareto optimal cooperative strategies.
