%0 Journal Article
%T Optimal consumption and investment policies in the marketwith abnormal fluctuating source<br>具有异常波动市场的消费与投资策略
%A GUO Zi-jun
%A WU Rang-quan
%A <br>郭子君
%A 吴让泉
%J 控制理论与应用
%D 2004
%I 
%X For the market with abnormal fluctuating source,the decision of consumption and investment is studied and a method that uses stochastic optimal control in financial theory is proposed.First of all,the stochastic model about uncertainty in financial market was introduced.By using Ito formula,the stochastic differential equation for fortune that was concerned with the decision of consumption and investment was given,the stochastic control model for consumption and investment was established.By using stochastic optimal control theory,the Hamilton_Jacobi_Bellman (HJB) equation for target function was gotten.By discussing the HJB equation,some pathwise function based optimal decision was acquired.Finally,the decision for Hara function was given.
%K market with abnormal fluctuating source
%K decision of consumption and investment
%K utility function
%K stochastic differential equations
%K It formula
%K stochastic optimal control<br>异常波动市场
%K 消费投资策略
%K 效用函数
%K 随机微分方程
%K It^o公式
%K 随机最优控制
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=3F15E1C6C5F8C6BF&yid=D0E58B75BFD8E51C&vid=659D3B06EBF534A7&iid=E158A972A605785F&sid=DEBDB7F30FBA7F9B&eid=E5D85F291CED2DA6&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=2&reference_num=6