连续时间内部交易的线性策略的存在性.pdf

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1、学校代码:10663学号:4201210000335贵贵贵州州州师师师范范范大大大学学学硕硕硕士士士学学学位位位论论论文文文连连连续续续时时时间间间内内内部部部交交交易易易的的的线线线性性性策策策略略略的的的存存存在在在性性性Theexistenceoflinearstrategyofinsidertradingincontinuoustime专业名称：基础数学专业代码：070101研究方向：博弈论与金融数学申请人姓名：郭炼杰导师姓名：周永辉(教授)二零一五年四月六日目录摘摘摘要要要········································

2、······················································IAbstract······························································································II1引引引言言言···································································································12预预预备备备知知知识识识·····

3、·······················································································33寡寡寡头头头内内内部部部交交交易易易······················································································53.1寡头内部交易模型·······································································53.2最优控制

4、问题的解·········································································63.3最优控制的等价问题······································································83.4最优策略的必要条件····································································93.5最优策略的存在性·······························

5、··········································144内内内部部部交交交易易易古古古诺诺诺博博博弈弈弈················································································184.1内部交易古诺博弈模型···································································184.2古诺均衡的必要条件·······································

6、·······························194.3古诺均衡的存在性·········································································225本本本文文文的的的展展展望望望·························································································25参参参考考考文文文献献献··············································

7、·················································26致致致谢谢谢·····································································································28关关关于于于学学学位位位论论论文文文使使使用用用授授授权权权的的的声声声明明明···································································291摘要本文主要研究连续时间下的内

8、部交易最优策略问题.在一