| 保险公司的一般最优控制问题研究 |
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| 引用本文： | 赵守娟,毛新娜.保险公司的一般最优控制问题研究[J].平原大学学报,2010(1). |
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| 作者姓名： | 赵守娟 毛新娜 |
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| 作者单位： | 新乡学院数学系; |
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| 摘 要： | 在股票价格波动服从几何布朗运动规律的条件下,研究了保险公司的一般最优控制问题,得到了一般最优控制问题价值函数的HJB方程,利用鞅方法证明了HJB方程的识别定理,得到了一般最优控制问题中的最优策略。
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| 关 键 词： | 几何布朗运动 HJB方程 鞅方法 识别定理 |
The Study of the General Optimal Control Problems of Insurance Company |
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| ZHAO Shou-juan,MAO Xin-na.The Study of the General Optimal Control Problems of Insurance Company[J].Journal of Pingyuan University,2010(1). |
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| Authors: | ZHAO Shou-juan MAO Xin-na |
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| Institution: | Department of Mathematics/a>;Xinxiang University/a>;Xinxiang 453003/a>;China |
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| Abstract: | The optimal investment strategy without reinsurance strategy of insurance company is considered under the assumption of the stock price in the market modeled by geometric Brownian motion.The general optimal control is given and the martingale optimality principle is used here to prove its verification theorem of its HJB equation,and the optimal strategy of the general optimal problem is obtained here. |
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| Keywords: | geometric Brownian motion HJB equation the martingale optimality principle the verification theorem |
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