网格上的后向随机差分方程在市场均衡分析中的应用

arXiv - QuantFin - General Finance Pub Date : 2023-12-18 DOI:arxiv-2312.10883

Masaaki Fukasawa, Takashi Sato, Jun Sekine

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摘要

我们研究了由网格上的一维随机过程驱动的后向随机差分方程（BS{\Delta}E），该网格的增量只有 d + 1 个可能值。将驱动过程视为一维资产价格过程，我们给出了最优投资问题和市场均衡分析的应用，其中效用函数是通过 BS{\Delta}E 来定义的。

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Backward stochastic difference equations on lattices with application to market equilibrium analysis

We study backward stochastic difference equations (BS{\Delta}E) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d dimensional asset price process, we give applications to an optimal investment problem and a market equilibrium analysis, where utility functionals are defined through BS{\Delta}E.

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arXiv - QuantFin - General Finance

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