具有一般买卖价格的终端效用最大化的贝尔曼方程

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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