完全Wiener驱动市场中最优投资组合的显式公式：泛函伊藤微积分方法
An explicit formula for optimal portfolios in complete Wiener driven markets: a functional Itô calculus approach
摘要：
考虑了一个由Wiener过程驱动的完备金融市场中的标准最优投资问题，并利用泛函It^o演算的垂直导数导出了最优投资组合过程的显式表达式.与Malliavin演算方法相比，这种方法的一个优点是它只依赖于可积性条件。
英文摘要：
We consider a standard optimal investment problem in a complete financial market driven by a Wiener process and derive an explicit formula for the optimal portfolio process in terms of the vertical derivative from functional It^o calculus. An advantage with this approach compared to the Malliavin calculus approach is that it relies only on an integrability condition.
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