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.
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页码：2189 / 2204
页数：16
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