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部分信息下期望消费效用最大的优化问题
  • 期刊名称：高校应用数学学报A辑
  • 时间：0
  • 页码：253-260
  • 语言：中文
  • 分类：F126[经济管理—世界经济]
  • 作者机构：[1]山东师范大学数学科学学院, [2]山东大学数学与系统科学学院
  • 相关基金：国家自然科学基金(10671112);; 国家重点基础研究发展计划(973项目2007CB814904);; 山东省自然科学基金(Z2006A01);; 教育部新世纪优秀人才支持计划
  • 相关项目：部分可观测信息下的随机最优控制理论及应用
作者： 王光臣|吴臻|
关键词： 非线性滤波, Malliavin导数, 效用最大化, 投资-消费策略, non-linear filtering, Malliavin derivative, utility maximization, portfolio-consumption strategy
中文摘要：

研究了部分信息下期望消费效用最大的优化问题.利用凸分析理论,非线性滤波和Malliavin导数技术,得到了最优投资-消费策略和代价泛函.对于对数效用函数情形,给出了一个估算信息价值的公式,它是完全信息下和部分信息下所对应的最优代价泛函的差值.

英文摘要：

Expected consumption utility maximization problems with partial information are studied in this paper.By convex analysis theory,non-linear filtering and Malliavin derivative tech- niques,optimal portfolio-consumption strategies and cost functionals are obtained.For the special logarithmic utility function,a simple formula to estimate the information value is presented,which is the difference between the optimal cost functionals with full information and partial information, respectively.

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部分可观测信息下的随机最优控制理论及应用
期刊论文 44 会议论文 9
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