寻求财富过程和最优策略的一种优化方法  

An Optimization Method in Seeking Wealth Process and Optimal Strategy

作　　者：梁泽霖[1] 钱能生[1] 

机构地区：[1]五邑大学数理系,广东江门529020

出　　处：《北京联合大学学报》2009年第4期52-57,共6页Journal of Beijing Union University

基　　金：广东省自然科学基金资助项目(05013323)

摘　　要：一个拥有原始资本X0<1的投资者,他欲求出财富值达到XT=1的最大概率,然而此时作为线性均值的倒向微分模型的股票价格的变动,只能通过可料过程获得而不能直接观测到,为解决此问题可以采用鞅方法进行分析,利用广义Gameron-Matin公式对财富过程进行计算,再运用Clark’s公式,最终得到所求财富值的最优分配方案。There is an investor who has an initial wealth of X0 〈 1 , and he wants to obtain the maximal probility of achieving a goal, that is Xr = 1 . When the stock＇s drift is not observed directly but only via the measurement process. Adopting a martingale approach, and a Generalized Gameron-Matin Formula then enables explicit computation of the value of the problem as well as the wealth process. The dynamic optimal allocation can then be determined using Clark＇ s formula.

关 键 词：Ornstein—Uhlenbeck过程 最优资产组合 目标问题 价值函数 Cameron.Matin公式 Clark’s公式 

分 类 号：O224[理学—运筹学与控制论]