风险的动态度量和一个相关的随机对策问题(英文)  

Dynamic Measure of Risk and a Related Stochastic Game Problem

作　　者：嵇少林[1] 

机构地区：[1]山东大学数学与系统科学学院,济南山东250100

出　　处：《应用数学》2001年第3期132-137,共6页Mathematica Applicata

基　　金：Research surported by Foundation for University Key Teachers by Ministry of Education of P.R.China

摘　　要：本文讨论不完全市场中股票收益率不确定时的动态风险度量问题和一个相关的随机对策问题 .该动态风险度量可表示为一个随机最优控制问题的值函数 .以倒向随机微分方程为工具我们给出了最优目标具有的形式 。We study dynamic measure of risk problem in incomplete market when stock appreciation rates are uncertainty. We also study a related stochastic game problem. The value function of a stochastic control pr oblem is regarded as a resonable measure of the risk. We employ the tools of bac kward stochastic differential equations(BSDE) theory and obtain the form of the optimal objective. We also give sufficient condition in which the lower-value a n d the upper-value of the stochastic a game are equal and obtain the existence o f the saddle-point.

关 键 词：倒向随机微分方程 随机控制 动态风险度量 不完全市场 股票收益率 随机对策问题 鞍点 

分 类 号：F830.91[经济管理—金融学] O211.63[理学—概率论与数理统计]