国家自然科学基金(11001029)

作品数：2被引量：1H指数：1
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A new look at the Lagrange method for continuous-time stochastic optimization
《Science China Mathematics》2012年第11期2247-2258,共12页CHENG Xue YAN JiaAn 
supported by National Natural Science Foundation of China (Grant No.11001029);the National Basic Research Program of China (973 Program) (Grant No. 2007CB814902);the Science Fund for Creative Research Groups (Grant No. 11021161);Key Laboratory of Random Complex Structures and Data Science (Grant No. 2008DP173182)
We formulate a Lagrange method for continuous-time stochastic optimization in an appropriate normed space by using a proper stochastic process as the Lagrange multiplier.The obtained optimality conditions are applied ...
关键词：stochastic optimization Lagrange method extremal point optional projection Fr^chet derivative SUBDIFFERENTIAL 
Cooperative Hedging in the Complete Market under g-expectation Constraint被引量：1
《Acta Mathematicae Applicatae Sinica》2011年第3期373-380,共8页Qing Zhou 
supported by the National Natural Science Foundation of China under Grants (No. 11001029, 10971220);the Fundamental Research Funds for the Central Universities (BUPT2009RC0705)
The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by...
关键词：HEDGING Neyman Pearson lemma g-probability backward stochastic differential equation 
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