论文部分内容阅读
以随机分析的知识和最优控制理论为基础,讨论了一类带停时的奇异型随机控制的折扣费用问题在金融投资模型中的应用,将该带停时的奇异型随机控制模型的受控状态过程和费用函数结构都推广到了最一般的形式,使该模型的应用范围更加广泛.通过讨论一组相应的变分不等式的解,分别对退化和非退化两种情况给出了此随机控制问题的最优策略,相应得出了投资模型中的最佳决策,并且证明了变分不等式的解即为最优费用函数.与以往不同的是,所得的相关结论应用到了金融投资模型中,从而解决了一类金融投资问题.
Based on the stochastic analysis of knowledge and optimal control theory, this paper discusses the application of the discount cost of a class of singular stochastic control with stop in the financial investment model. The stochastic control model The control state process and the cost function structure are generalized to the most general form, which makes the model more widely applicable. By discussing a set of corresponding variational inequalities, we give the stochastic model for both degenerate and non-degenerate cases Control the optimal strategy of the problem, and draw the best decision in the investment model, and prove that the solution of variational inequality is the optimal cost function.With the previous difference is that the relevant conclusions obtained apply to the financial investment model , Thus solving a type of financial investment.