欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
这份报纸与二个代理人学习下列合作投资比赛。在比赛的开始，两个都，代理人首都被收集。全部的首都然后根据某个做贸易的策略被投资。在一个代理人停止的某个时间 T 0，合作和他们在自己之中划分财富。在留下的时期期间[T 0， T ] ，另外的代理人投资其大写的追随者可能不同的做贸易策略。由随机的优化，方法与向后的随机的微分方程的理论结合了(BSDE 短) ，我们给 Pareto 最佳的合作策略的相等的描述。
英文摘要：
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time To one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [To, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations （BSDEs, for short）, we give an equivalent characterization of the Pareto optimal cooperative strategies.
同期刊论文项目
同项目期刊论文
Existence, Uniqueness and Stability of Mild Solutions for Time-Dependent Stochastic Evolution Equati
Existence and uniqueness result for a backward stochastic differential equation whose generator is L
Representation theorem for generators of BSDEs with monotonic and polynomial-growth generators in th
期刊信息
位置：