【摘 要】
：
In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of
【机 构】
：
College of Science,China University of Petroleum,Qingdao 266580,China
论文部分内容阅读
In this paper,a mean-variance hedging portfolio problem is considered for mean-field stochastic differential equations.The original problem can be reformulated as a nonhomogeneous linear-quadratic optimal control problem with mean-field type.By virtue of the classical completion of squares,the optimal control is obtained in the form of state feedback.We use the theoretical results to the mean-variance hedging portfolio problem and get the optimal portfolio strategy.
其他文献
Let Fd be the finite field with d elements.Extraordinary subgroups in Fd×Fd play an important role in the field of quantum information theory,especially for the study of mutually unbiased bases.Recently,Ghiu et al.introduced the concept of supersquare of
It is well known that a shaded link diagram corresponds to a signed plane multi-graph.In graph theory,line graph is an old and important concept originally introduced by H.Whitney in 1932.In this paper we define the line graph link to be a link which has
Our work is concerned with the bifurcation of critical period for a quartic Kolmogorov system.By computing the periodic constants carefully,we show that point (1,1) can be a weak center of fourth order,and the weak centers condition is given.Moreover,poin
In this paper,using the fractional step Lax-Friedrichs difference scheme,we establish the stability of the entropy solution on flow function and relaxation function for a class of conservation law systems with a source term and a relaxation term.
近年来,生物科技在人类生产生活中越来越扮演着不可或缺的角色,随之而来的生物安全问题也日益显著.本文基于生物安全的内涵与外延,梳理了在传统法医学和现代法医学研究中涉及到的生物安全内容,分析了在生物安全视野下,法医学研究中面临的风险、机遇及挑战,并以此为基础,从对法医工作者的保护及工作准则的建立、法医学研究对生物安全风险防控的促进支撑作用等多个方面,对生物安全体系中法医学研究进行了展望,以期为未来法医学工作的顺利开展提供借鉴和参考.
This paper proposes a belief-dependent utility function(BDU).The BDU is based on the fact that the beliefs of acts have inconsistent impacts on utilities.The existence and uniqueness result of the BDU function is provided.It is then proved that the BDU fu
Let r ≥ 3 be an integer such that r-2 is a prime power and let H be a connected graph on n vertices with average degree at least d and α(H) ≤ βn,where 0 ＜ β ＜ 1 is a constant.We prove that the size Ramsey number (R)(H;r)＞nd/2(r-2)2-C√n for all sufficientl
针对基于语音识别的语音检索方法对语言模型的强依赖问题,通过改进声学模型学习框架提出了一种新的朝鲜语语音检索方法.该方法首先修改KoSpeech框架的网络模型,通过训练得到了朝鲜语的声学模型;其次通过语音文档分割方法构建了语音文档索引库;最后利用编辑距离匹配的方法实现了语音检索.实验结果表明,改进的朝鲜语声学模型学习框架降低了语音检索方法对语言模型的依赖和大规模数据集的要求.当k取9时,top-k评价方法的检索均值平均精度达到86.74%,召回率达到95.25%,该结果表明本文提出的方法是有效的,具有一定的
In this paper,we establish a large deviation principle for two-dimensional primitive equations driven by multiplicative Lévy noises.The proof is based on the weak convergence approach.