| 在不完全观察的漂移过程中达到一个目标的最大化概率 |
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| 引用本文： | 骆文辉.在不完全观察的漂移过程中达到一个目标的最大化概率[J].成都纺织高等专科学校学报,2010,27(1):25-30. |
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| 作者姓名： | 骆文辉 |
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| 作者单位： | 江门职业技术学院材料技术系,广东江门,529090 |
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| 摘 要： | 对一个具有原始财产X0（〈1）的投资者，当股市的涨落没有被直接观察，而仅仅是用计算的方法建立平均返回扩散模型时，他为了实现一个目标XT=1，如何达到最大的概率？在采用鞅方法的同时，以一个推广的Cameron—Martin公式就能如财富过程一样直接计算价值过程，从而采用Martin公式，可以确定动态的最优配制。
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| 关 键 词： | Bayes适当控制 Ornstein-Uhlenbeck过程 投资组合 目标问题 Cameron-Martin公式 |
Maximum Probability of Reaching a Goal in a Partially Observed Drift Process |
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| LUO Wen-hui.Maximum Probability of Reaching a Goal in a Partially Observed Drift Process[J].Journal of Chengdu Textile College,2010,27(1):25-30. |
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| Authors: | LUO Wen-hui |
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| Affiliation: | Department of Material Technology;Jiangmen Vocational and Technical College;Jiangmen 529090 |
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| Abstract: | Without directly observing stock fluctuations but establishing a modal by calculation method, an investor with initial wealth XO（ 〈 1 ） wants to realize a goal XT = 1, how to reach the maximum probability？ By adopting martingale approach, a generalized Cameron - Martin formula can be used directly to calculate the value process like wealth process. So the dynamic optimal allocation can be determined by adopting Martin formula. |
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| Keywords: | Bayes proper control Ornstein-Uhlenbeck process portfolio investment goal problem Cameron-Martin formula |
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