stochastic dynamic programming meaning in Chinese
随机动态规画
随机动态规划
Examples
- Markov decision process , in short mdp , is also called sequential stochastic optimization stochastic optimum control . the controlled markov process or stochastic dynamic programming is the theory on stochastic sequential decision
马尔可夫决策过程( markovdecisionprocesses ，简称mdp ，又称序贯随机最优化、随机最优控制、受控的马尔可夫过程或随机动态规划)是研究随机序贯决策的问题的理论。 - In continuous - lime framework , assuming that asset price follows stochastic diffusion process , it introduces parametric uncertainty , and applies stochastic dynamic programming to derive the closed - form solution of optimal portfolio choice , which maximizes the expected power utility of investor ' s terminal wealth ; in discrete - time framework , continuous compounding monthly returns of risky asset are assumed to be normal i . 1 . d . , it applies the rule of bayesian learning to do empirical study about two different sample of shanghai exchange composite index
在连续时间下假设资产的价格服从随机扩散过程，引入参数不确定性，利用随机动态规划方法推导出风险资产最优配置的封闭解，使投资者的终期财富期望幂效用最大；在离散时间下假设风险资产的连续复合月收益率服从独立同分布的正态分布，通过贝叶斯学习准则，以上证综合指数不同区间段的两个样本做实证研究。 - As for the issues of non - traded assets , applying the approach of stochastic dynamic programming , and under the principle of no - arbitrage , we obtain optimal strategy to hedge the real option in discrete and continuous conditions . and to the problems of special distribution of underlying assets , this paper analyzes the price movement of the underlying assets from the arrival of information , the market efficiency and the market mechanism which decide the price
对实物资产的特殊价值分布问题，本文从决定资产价格的市场机制、信息到达方式及市场效率三方面来分析实物资产的价格变动特征；并重点研究当基本资产遵循纯跳跃poisson过程、跳跃扩散merton过程及均值回复过程时的实物期权定价问题，运用复制定价和随机动态规划方法，得到确定实物期权价值和风险对冲策略的偏微分方程。 - It also studies the problem of real option pricing when the underlying assets follow the pure jump poisson , mixed jump - diffusion merton and mean - reversion model , and obtains the price formula or partial differential equation to price and hedge the real option . when the value of real option can not separate from the value of project , or the uncertainties are endogenous to real option holder , it is difficult to pricing the real option by the ways of no - arbitrage . in this paper we present a approach named valuation with comparison , its basic point is to value the project or program with flexibility by means of decision tree analysis ( dta ) and stochastic dynamic programming ( sdp ) , and the results are compared with that of non - flexibility , finally ,
当实物期权的价值不能从项目价值中分离出来，或者影响基本资产价格的不确定性内生于期权的持有者时，此时实物期权的价值一般难以直接利用无套利方法得到，本文通过对现有文献进行归纳，提出一种比较定价法，其基本要点是利用决策树、动态规划法或二叉树模型等技术来确定嵌有柔性的项目或方案的价值，然后将其与没有柔性的项目或方案进行比较，从而获得各种柔性的价值，作为这种方法的一个应用，本文研究了柔性劳动合约的设计与定价问题，研究表明，对企业重要员工采用长期劳动合约，而对一般员工采用短期合约可以节约劳动力使用成本。