摘要
投资消费问题是数理金融中的一个主要问题 .Merton在假设股票价格过程为扩散过程的情形下 ,给出了最优投资消费策略的显式解 .本文在股票价格过程为跳—扩散过程的情形下 ,讨论了最优投资消费策略问题 。
Invenstment and Consumption rules are the main problems in mathematical finance.Under the assumption that stock pricing processes are diffusion processes,Merton attains the close-fom soluction.This paper deduces the partial differential equation that invenstment and consumption reles satisfy under the assumption that stock procing processes are jump diffusion processes.
出处
《数学理论与应用》
2001年第1期70-72,共3页
Mathematical Theory and Applications
