带交易费及工资的终端资产和消费期望效用最优化  

Optimization of Expected Utility from Terminal Wealth and Consumption with Transaction Costs and Wages

作　　者：王丙参[1] 魏艳华[1] 宋立新[2] 

机构地区：[1]天水师范学院数学与统计学院,甘肃天水741001 [2]吉林师范大学数学学院,吉林四平136000

出　　处：《重庆工学院学报（自然科学版）》2009年第7期156-159,共4页Journal of Chongqing Institute of Technology

基　　金：国家自然科学基金资助项目(10571073);吉林省教育厅科学技术研究十一五规划重点项目(吉教科合字[2007]第152号);无水师范学院科研基金资助项目(TSB0814)

摘　　要：讨论带有工资及一定比例交易费的终端财富和消费的期望效用最优化.首先建立了连续时间投资与消费模型,然后运用鞅分析和对偶理论得到了最优消费过程和终端财富.This paper solves the problem of an agent who begins with an initial endowment and can consume while also investing with transaction costs and wages. Firstly, it sets up the investment consumption model of continuous time, and then gets the optimal consumption process and terminal wealth by using the convex dual function （ Legendre transform） of the utility function and the theory of Martingal.

关 键 词：鞅 交易费 可容许策略 

分 类 号：O21[理学—概率论与数理统计]