The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk  

作　　者：Shao Lin JI Zhen WU 

机构地区：[1]School of Mathematics and Systems Science, Shandong University, Jinan 250100, P. R. China

出　　处：《Acta Mathematica Sinica,English Series》2007年第12期2189-2204,共16页数学学报（英文版）

基　　金：the National Basic Research Program of China (973 Program, No. 2007CB814900);the Natural Science Foundation of China (10671112);Shandong Province (Z2006A01);the New Century Excellent Young Teachers Program of Education Ministry of China

摘　　要：The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.

关 键 词：backward stochastic differential equation perturbation method Ekeland＇s variational principle dynamic measure of risk 

分 类 号：O211.63[理学—概率论与数理统计]