基于带停时的奇异型随机控制问题的投资决策模型  

Investment Model based on Singular Stochastic Control Problems with Stopping Time

作　　者：于洋 

机构地区：[1]国家统计局统计科学研究所,北京100826

出　　处：《系统管理学报》2015年第2期200-208,共9页Journal of Systems & Management

基　　金：全国统计科学研究计划资助项目(2012LX016)

摘　　要：研究以带停时的奇异型随机控制模型为基础的投资决策问题。为了得到最优投资策略,利用最优随机控制问题的研究方法和结论以及随机分析相关理论,通过求解一组变分不等式,得到投资决策中的最优停止时间,以及最优费用函数的解析表达式。最后,考虑投资决策中同时具有开始时间和停止时间的情况,提出相应的解决方法和思路。This paper discusses the problem of investment decision,and the investment model is based on a class of singular stochastic control problems with stopping time.To obtain the optimal investment strategy,we use the results of optimal control problems and the theory of stochastic analysis.By solving some variational inequalities,we obtain the optimal stopping time and the analysis.By solving some variational inequalities,we obtain the optimal stopping time and the closed-form of the optimal cost function.We further consider the investment model with starting time as well as stopping time,and improve some methods and ideas to solve the model.

关 键 词：投资决策模型 奇异型随机控制 停时 折扣费用函数 最优策略 

分 类 号：O211.6[理学—概率论与数理统计]