摘要
在股票价格波动服从几何布朗运动规律的条件下,研究了保险公司的一般最优控制问题,得到了一般最优控制问题价值函数的HJB方程,利用鞅方法证明了HJB方程的识别定理,得到了一般最优控制问题中的最优策略。
The optimal investment strategy without reinsurance strategy of insurance company is considered under the assumption of the stock price in the market modeled by geometric Brownian motion.The general optimal control is given and the martingale optimality principle is used here to prove its verification theorem of its HJB equation,and the optimal strategy of the general optimal problem is obtained here.
出处
《新乡学院学报》
2010年第1期3-5,共3页
Journal of Xinxiang University
关键词
几何布朗运动
HJB方程
鞅方法
识别定理
geometric Brownian motion
HJB equation
the martingale optimality principle
the verification theorem
