摘要
讨论了连续时间随机动态规划原理,得出了具有随机利率的最优投资组合,并用动态规划原理得到具有随机插入时间物流遍历控制问题的变分不等式。
This paper discusses stochastic dynamical programming principle under continuous times.As its application,author derives the optimal investment portfolio with random interest rate.On the other hand,by dynamical programming principel,author derives variational inequlity on liqudity effects control problem with random intervention times.
出处
《太原理工大学学报》
CAS
2004年第2期236-239,243,共5页
Journal of Taiyuan University of Technology
关键词
随机控制
动态规划
变分不等式
投资组合
stochastic control
dynamical programming
variational inequlity
investment protfolio
