On stochastic optimal control for stock price volatility

被引：0
|
作者：
Ying, YR [1 ]
Lin, Y
Wu, CF
机构：
[1] Shanghai Jiao Tong Univ, Aetna Management Sch, Shanghai 200030, Peoples R China
[2] Slippery Rock Univ, Dept Math, Slippery Rock, PA 16057 USA
来源：
KYBERNETES | 2003年 / 32卷 / 5-6期
关键词：
cybernetics; risk; stochastic modelling;
D O I：
10.1108/03684920210443978
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
The dynamic measure of risk problem in a incomplete market is discussed when stock appreciation rates are uncertain. Meanwhile, a related stochastic game problem is studied. The value of a stochastic optimal control is regarded as a reasonable measure of the risk. The form of the optimal objective is obtained by employing the tools of BSDE theory.
引用
收藏
页码：898 / 904
页数：7
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