Robert C. Merton, a pioneer of quantitative analysis, introduced stochasticcalculus into the study of finance.
罗伯特·c·默顿,定量分析的先驱,将随机微积分引入金融研究。
2
Relying on both stochasticcalculus and optimal control theory, we obtain its explicit solution of optimal return function and corresponding singular control strategy.
利用随机积分及最优控制理论,得出了最大回报函数的显式解及相应的最优控制策略。
3
By utilizing both stochasticcalculus and the classical impulse control theory, we give a set of sufficient conditions for its solution in terms of optimal return function.