摘要
研究了在不完备金融市场上有红利支付和随机收入情况下的最优投资和消费问题.利用粘性解的技术,得出值函数是对应的HJB方程的光滑解;证明了最优策略是存在的,用反馈形式给出了最优消费投资策略.
This paper studies the optimal consumption and investment problem when the investor has a stochastic income and divident in incomplete markets.With viscosity solution techniques,we've obtained that the value function of the stochastic control problem is a smooth solution of the corresponding HJB eqution.The optimal strategy is proved and presented in feedback form.Keywords:stochastic differential equation;optimal investment and consumption;stochastic control;viscosity solution
出处
《长沙铁道学院学报》
CSCD
北大核心
2003年第1期93-96,共4页
Journal of Changsha Railway University
关键词
随机微分方程
最优投资消费策略
随机控制
粘性解
stochastic differential equation
optimal investment and consumption
stochastic control
viscosity solution
