AN INITIAL VALUE PROBLEM FOR PARABOLIC MONGE-AMPERE EQUATION FROM INVESTMENT THEORY

Wang Guanglie; Lian Songzhe

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AN INITIAL VALUE PROBLEM FOR PARABOLIC MONGE-AMPERE EQUATION FROM INVESTMENT THEORY

机译：基于投资理论的抛物线-安培方程的初值问题

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摘要

The author of [1] raised an optimal investment problem in time interval [0, T], in which the financial market is characterized by the parameters r, b,σ, the attitude of the investor to the risk versus the gain at the final time is described by a utility function g(y), the purpose is to find out an optimal portfolio to maximize the profit of the investor.

机译：[1]的作者提出了在时间间隔[0，T]中的最优投资问题，其中金融市场的特征在于参数r，b，σ，投资者对风险的态度与最终收益的关系。时间由效用函数g（y）来描述，目的是找出最优投资组合以最大化投资者的利润。

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来源
《Journal of partial differential equations》 |2003年第4期|p.381-383|共3页
作者
Wang Guanglie; Lian Songzhe;
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作者单位

Department of Mathematics, Jilin University, Changchun 130023, China;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类数学;
关键词
existence of solution; optimal portfolio;

机译：解的存在;最优投资组合;

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专利

1. AN INITIAL VALUE PROBLEM FOR PARABOLIC MONGE-AMPERE EQUATION FROM INVESTMENT THEORY [J] . 王光烈, 廉松哲偏微分方程：英文版 . 2003,第004期

机译：基于投资理论的抛物线-安培方程的初值问题
2. Lie symmetry analysis for a parabolic Monge-Ampere equation in the optimal investment theory [J] . Yang Shaojie, Xu Tianzhou Journal of Computational and Applied Mathematics . 2019,第期

机译：优化投资理论中抛物线杂音方程的对称分析
3. Existence of solutions to initial value problem for a parabolic Monge-Ampere equation and application [J] . Songzhe L Nonlinear Analysis: An International Multidisciplinary Journal . 2006,第1期

机译：一类抛物Monge-Ampere方程初值问题解的存在性及应用
4. The Initial and Neumann Boundary Value Problem for A Class Parabolic Monge-Ampere Equation [C] . Juan Wang, Huizhao Liu and Jinlin Yang International conference on green communications and networks;GCN 2011 . 2011

机译：一类抛物Monge-Ampere方程的初值和诺伊曼边值问题
5. DEFORMATION OF KAHLER MATRICS TO KAHLER-EINSTEIN METRICS ON COMPACT KAHLER MANIFOLDS (HANACK'S INEQUALITY, HAMILTON'S EQUATION, PARABOLIC MONGE-AMPERE) [D] . CAO, HUAI-DONG. 1986

机译：卡勒斯坦对Compact Kahler歧管的Kahler-Einstein指标的变形（Hanack的不平等，Hamilton等式，抛物线Monge-Ampere）
6. Linear Parabolic Differential Equations of Arbitrary Order; General Boundary-Value Problems for Elliptic Equations [O] . Felix E. Browder 1953

机译：任意阶线性抛物线方程椭圆方程的一般边值问题
7. Differential invariants of generic parabolic Monge-Ampere equations [O] . Ferraioli, Diego Catalano, Vinogradov, Alexandre 2012

机译：一般抛物型monge-ampere方程的微分不变量
8. On the Backward Euler Method for Parabolic Equations with Rough Initial Data [R] . Mingyou, H., Thomee, V. 1981

机译：具粗糙初始数据的抛物型方程的Backward Euler方法

AN INITIAL VALUE PROBLEM FOR PARABOLIC MONGE-AMPERE EQUATION FROM INVESTMENT THEORY

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