The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

被引：0

作者：

Shao Lin JI Zhen WU School of Mathematics and Systems Science

机构：

来源：

Acta Mathematica Sinica,English Series | 2007年 / 23卷 / 12期

关键词：

backward stochastic differential equation; perturbation method; Ekeland’s variational principle; dynamic measure of risk;

D O I：

暂无

中图分类号：

O224 [最优化的数学理论];

学科分类号：

070105 ; 1201 ;

摘要：

The authors get a maximum principle for one kind of stochastic optimization problemmotivated by dynamic measure of risk.The dynamic measure of risk to an investor in a financialmarket can be studied in our framework where the wealth equation may have nonlinear coefficients.

引用

页码：2189 / 2204

页数：16

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