证券市场中国内外机构投资者共同参与的随机微分博弈

基于随机微分博弈理论,建立了一种国内外机构投资者和散户群体参与的连续时间博弈模型.首先将所有散户作为一个整体与国内外机构投资者共同进行博弈,并以博弈各方持股率的动态关系构建动态系统方程,以此构建一个随机微分博弈模型; 然后运用纳什均衡求解出满足价值函数的HJB偏微分方程,以此得到随机控制系统的最优策略.该结果可为金融监管部门监管证券市场和证券市场投资者买卖股票提供参考.

Stochastic differential game involving domestic and foreign institutional investors in securities market

Based on stochastic differential game theory, a continuous time game model involving domestic institutional investors, foreign institutional investors and retail investors is established.Firstly, all retail investors as a whole participate in the game with domestic and foreign institutional investors, and take the dynamic relationship of shareholding ratio of all parties in the game as the dynamic system equation, so as to construct a stochastic differential game model; Then the Nash equilibrium is used to solve the HJB partial differential equation satisfying the value function, so as to obtain the optimal strategy of the stochastic control system.The results can provide reference for financial supervision departments to supervise the securities market and investors to buy and sell stocks in the securities market.