关于随机利率市场最坏情况方法的注记
A note on the worst case approach for a market with a stochastic interest rate
摘要：
我们解决了鲁棒优化问题，并给出了市场模型的最坏情况下的措施是不是一个鞅测度的例子。在我们的模型中，瞬时利率由Hull-White模型确定，投资者使用HARA效用来衡量他的满意度，为了防止模型的不确定性，他使用最坏情况下的测量方法。从另一个角度将问题转化为投资者与市场之间的随机博弈。采用偏微分方程方法寻找鞍点，并给出了精确的验证论证。
英文摘要：
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by the Hull-White model and the investor employs the HARA utility to measure his satisfaction.To protect against the model uncertainty he uses the worst case measure approach. The problem is formulated as a stochastic game between the investor and the market from the other side. PDE methods are used to find the saddle point and the precise verification argument is provided.
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