| 题名 | Stochastic Maximum Principle Under Probability Distortion |
| 作者 | |
| 通讯作者 | Xiong，Jie |
| 发表日期 | 2019
|
| DOI | |
| 发表期刊 | |
| ISSN | 0095-4616
|
| EISSN | 1432-0606
|
| 卷号 | 83页码:2253-2271 |
| 摘要 | Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for the optimality is derived. The results are applied to a few examples. |
| 关键词 | |
| 相关链接 | [Scopus记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 通讯
|
| 资助项目 | Southern University of Science and Technology Start up fund[Y01286120]
|
| WOS研究方向 | Mathematics
|
| WOS类目 | Mathematics, Applied
|
| WOS记录号 | WOS:000493363900001
|
| 出版者 | |
| EI入藏号 | 20194607674173
|
| EI主题词 | Financial data processing
; Probability
; Continuous time systems
; Maximum principle
|
| EI分类号 | Control Systems:731.1
; Probability Theory:922.1
; Systems Science:961
|
| ESI学科分类 | MATHEMATICS
|
| Scopus记录号 | 2-s2.0-85074025298
|
| 来源库 | Scopus
|
| 引用统计 |
被引频次[WOS]：2
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/44023 |
| 专题 | 理学院_数学系 深圳国际数学中心（杰曼诺夫数学中心）（筹） |
| 作者单位 | 1.Department of MathematicsUniversity of Macau,Macao 2.Department of Mathematics and SUSTech International Center for MathematicsSouthern University of Science and Technology,Shenzhen,518055,China |
| 通讯作者单位 | 数学系; 深圳国际数学中心（杰曼诺夫数学中心）（筹） |
| 推荐引用方式 GB/T 7714 |
Liang，Qizhu,Xiong，Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION,2019,83:2253-2271.
|
| APA |
Liang，Qizhu,&Xiong，Jie.(2019).Stochastic Maximum Principle Under Probability Distortion.APPLIED MATHEMATICS AND OPTIMIZATION,83,2253-2271.
|
| MLA |
Liang，Qizhu,et al."Stochastic Maximum Principle Under Probability Distortion".APPLIED MATHEMATICS AND OPTIMIZATION 83(2019):2253-2271.
|
| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
| 10.1007@s00245-019-0（237KB） | -- | -- | 开放获取 | -- | 浏览 | |
| Liang-2019-Stochasti（364KB） | -- | -- | 开放获取 | -- | 浏览 | |
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