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arXiv 1203.3757math.OCq-fin.PM
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有限资源下N公司随机不可逆投资的广义Kuhn-Tucker条件

Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources

Maria B. Chiarolla, Giorgio Ferrari, Frank Riedel

摘要:

本文研究了一个有N个厂商的有限资源市场中的连续时间最优随机投资问题。投资过程受时间依赖的随机约束。而不是使用一个动态规划的方法,我们利用的利润泛函,得到一些必要和充分的一阶条件,相应的社会规划师最优政策。我们的条件是一个随机无限维推广的库恩-塔克定理。拉格朗日乘子采用[0,T]上的非负可选随机测量的形式,其与约束的时间集(即,当所有燃料耗尽时)持平。作为一个子产品,我们得到了一个启发性的解释,一个单一的公司在银行(2005)的一阶条件。在无限地平线的情况下,与Cobb-Douglas型的经营利润函数,我们的方法允许明确计算的最佳政策的“基本能力”的过程,即银行和El Karoui代表问题(2004年)的唯一解决方案。

英文摘要:

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the profit functional to derive some necessary and sufficient first order conditions for the corresponding Social Planner optimal policy. Our conditions are a stochastic infinite-dimensional generalization of the Kuhn-Tucker Theorem. The Lagrange multiplier takes the form of a nonnegative optional random measure on [0,T] which is flat off the set of times for which the constraint is binding, i.e. when all the fuel is spent. As a subproduct we obtain an enlightening interpretation of the first order conditions for a single firm in Bank (2005). In the infinite-horizon case, with operating profit functions of Cobb-Douglas type, our method allows the explicit calculation of the optimal policy in terms of the `base capacity' process, i.e. the unique solution of the Bank and El Karoui representation problem (2004).

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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