论文标题
解决默顿问题的变分分析方法
A Variational Analysis Approach to Solving the Merton Problem
论文作者
论文摘要
我们解决了使用各种分析技术最大化终端财富预期效用的默顿问题。在带有随机参数的一般连续半明星市场模型下，我们根据向前靠背的随机差分方程（FBSDE）获得了最佳投资组合的特征，并为许多知名的实用程序功能提供了解决方案。我们的结果补充了先前对由布朗噪声驱动的市场最佳策略进行的研究，并随机漂移和波动率参数。
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization of the optimal portfolio for general utility functions in terms of a forward-backward stochastic differential equation (FBSDE) and derive solutions for a number of well-known utility functions. Our results complement a previous studies conducted on optimal strategies in markets driven by Brownian noise with random drift and volatility parameters.
