THE OPTIMAL CONTROL STRATEGIES FOR THE CONTROL SYSTEM WITH PRICES LONG-TERM VOLATILITY IN STOCK MARKETS
证券价格长期波动控制系统的最优控制策略

The random optimal control of the control system with prices long-term volatility in stock markets is discussed. The control system model of prices long-term volatility in stock markets is established. To make the stocks price and the inherent value develop in accordance with the expecting target of people, the random optimal control strategies were discussed. The performance index makes the system output tracks the estimate value of stocks intrinsic value and the adjustment and control range be as small as possible. The related formula and calculating process of the optimal control strategy were given, and the calculating process with consideration of system performance was given. The main conclusions are that when the equilibrium regress adjustment of stocks intrinsic value on stocks price is not enough or investors are optimistic for the increment expectation of the prophase stocks intrinsic value, the functions in the optimal control strategies will be strengthened; however, when the equilibrium regress adjustment of stocks intrinsic value on stocks price is excessive, and investors are pessimistic forthe increment expectation of the prophase value, the functions in the optimal control strategies will be weakened. These results can provide the theoretic basis for improving government's supervision on stock markets and list companies.