Stochastic Optimization Based on Principal-agent Problem

被引：1
|
作者：
Ren, Xiaoyu [1 ]
Shao, Xinping [1 ]
Li, Shenghong [1 ]
机构：
[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China
来源：
2009 ISECS INTERNATIONAL COLLOQUIUM ON COMPUTING, COMMUNICATION, CONTROL, AND MANAGEMENT, VOL II | 2009年
关键词：
principal-agent problem; stochastic dynamic programming; stochastic differential equation; stochastic optimal control; HJB equation; LIFETIME PORTFOLIO SELECTION; CONSUMPTION; MODEL;
D O I：
10.1109/CCCM.2009.5267952
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
By the theory of stochastic dynamic programming, we provide the methods for deriving the optimal rules. In this paper, we make two models in dynamic state process to maximize the expected utility of the agent and then obtain the famous Hamilton-Jacobi-Bellman equation. Furthermore, we derive explicit form solution and closed-form solution of the optimal equations for given utility functions.
引用
收藏
页码：176 / 179
页数：4
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