Stochastic control in finance and economics

金融和经济中的随机控制

• 批准号: 8051-2007
• 负责人: Haussmann, Ulrich
• 金额: $ 0.66万
• 依托单位: University of British Columbia
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2008
• 资助国家: 加拿大
• 起止时间: 2008-01-01 至 2009-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=389648
• 关键词: Stochastic; control; finance; economics

Economic equilibrium is an implicit assumption underlying free market economies: there exist prices, interest rates, etc. (macroeconomic variables) such that if every individual and corporation acts in their own best interest, then resources are allocated and goods are produced efficiently. In this project mathematical models of economies in a random environment are developed. The individuals have multiple decisions to make: how much to work, to consume, to save, to invest. The aim is to show that even in such complex settings economic equilibrium exists.

经济均衡是自由市场经济的一个隐含假设：存在价格、利率等（宏观经济变量），如果每个人和公司都以自己的最佳利益行事，那么资源就会得到分配，商品就会得到有效生产。在这个项目中，经济在随机环境中的数学模型的开发。每个人都要做出多个决定：工作多少、消费多少、储蓄多少、投资多少。其目的是表明，即使在如此复杂的环境中，经济均衡也存在。