The paper discusses the economic model of the Geometric Brownian motion with Poisson jumps. In the case of the reward function R(x)=ax~2-b, we seek the average optimum solutions of the reward by Ito formula.

 
  • 本文讨论了带泊松过程的几何布朗运动的经济模型;在收益函数R(x)=ax2-b的情形下;利用伊藤公式;求得平均收益的最优解.
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