STOCHASTIC PARABOLIC MODEL FOR INFINITE-DIMENSIONAL FORWOARD RATE AND MEAN-VARIANCE OPTIMAL CONTROL

机译：有限维前向速率和均方差最优控制的随机抛物线模型

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摘要

We consider the term structure modeling by using a appropriate stochastic parabolic system with boundary noises. After finding a sufficient condition for the no arbitrage opportunity, we solve the mean-variance optimal control problem in the incomplete market.

机译：我们通过使用带有边界噪声的适当的随机抛物线系统来考虑术语结构建模。找到无套利机会的充分条件后，我们解决了不完全市场中的均方差最优控制问题。

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来源
《Proceedings of the 15th IFAC World Congress: International Federation of Automatic Control》|2003年|p.419-424|共6页
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作者
ShinIchi Aihara; Arunabha Bagchi;
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正文语种
中图分类自动化技术、计算机技术;
关键词
stochastic parabolic systems; term structure; arbitrage-free; optimal control; self-financing; short rate;

机译：随机抛物线系统;期限结构;无套利最佳控制;自负盈亏;短期利率;

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STOCHASTIC PARABOLIC MODEL FOR INFINITE-DIMENSIONAL FORWOARD RATE AND MEAN-VARIANCE OPTIMAL CONTROL

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