具有一般买卖价格的终端效用最大化的贝尔曼方程

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY

Probability and Mathematical Statistics-Poland Pub Date : 2018-07-30 DOI:10.19195/0208-4147.38.1.8

T. Rogala, Ł. Stettner

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引用次数: 0

摘要

本文求解了具有一般càdlàg买卖价格的有限时域连续时间终端效用最大化问题的Bellman方程组。我们假设，在我们选择的时间点，我们有有限数量的交易。论文的主要结果表明，我们可以找到Bellman方程组解的正则版本，这使我们能够找到近似最优策略的形式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bellman equations for terminal utility maximization with general bid and ask prices

In the paper we solve a system of Bellman equations for finite horizon continuous time terminal utility maximization problem with general càdlàg bid and ask prices. We assume that we have a restricted number of transactions at time moments we choose. The main result of the paper says that we can find a regular version of solutions to the system of Bellman equations, which enables us to find the form of nearly optimal strategies.

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来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.