连续时间动态复制定理的推广与证明

摘要

This paper extends the continuous-time dynamic replication theorem for incomplete Markets, which is proposed by Bertsimas, Kogan and Lo (1997)[1]. Then this extended dynamic replication theorem is proved using the theory of the stochastic optimal control.%推广了由Bertsimas,Kogan andLo(1997)[1]提出的非完全市场中的连续时间动态复制定理,然后,我们运用随机最优控制理论证明了这个定理.