资产优化中价值函数的一些基本性质

Basic Properties of Value Function on Asset Optimization

中文关键词  价值函数  资产优化  粘性解  交易费

英文关键词  value function  asset optimization  viscosity solution  transaction costs

中文摘要

      针对有交易费多种风险资产并存的市场情形, 通过考察常系数投资消费模型中资产优化问题, 利用随机分析方法和二阶椭圆变分方法, 讨论了价值函数的一些基本性质, 即价值函数的凹性、连续性和正则性, 以及变分不等式的粘性解的存在性和唯一性.

英文摘要

      Under transaction costs and risk assets,the constant coefficient investment consumption model was given, and using stochastic analysis and variational method,some basic properties of value function were discussed, such as concavity, continuity, regularity of the value function, existence and uniqueness of viscosity solution about the variational inequality.