期望效用最大化的向前-向后系统

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2014-05-01 DOI:10.1016/j.spa.2014.01.004

Ulrich Horst , Ying Hu , Peter Imkeller , Anthony Réveillac , Jianing Zhang

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引用次数: 64

摘要

本文研究了一般效用函数的效用最大化问题，包括带负债的电力效用。我们推导了一种新的方法，在这种方法中，我们将所产生的控制问题简化为研究一个完全耦合的前向后随机微分方程(FBSDEs)系统，该系统有望进行数值处理。

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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Forward–backward systems for expected utility maximization

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.