不同信念下连续时间的指数效用均衡-统计学专业论文.docxVIP

上海交通大学硕士学位论文 上海交通大学硕士学位论文 万方数据 万方数据 不同信念下连续时间的指数效用均衡 摘要 本论文研究的主题是消费者的指数效用均衡。均衡的研究一般有两 个方面，一个是均衡的存在性，一个是均衡存在时市场所呈现出来的 性质。本论文将讨论在不同信念下指数效用函数时，均衡的存在性及 均衡价格的性质。 我们先考虑了简单的情况：两个消费者的均衡模型。我们假定两个 消费者各自的收入分别满足一个随机微分方程（SDE），各自的信念又 分别满足一个SDE，然后建立使得两个投资者各自的消费效用最大的均 衡模型。我们将均衡模型转化为一阶条件，将一阶条件进行求解，得 到参数满足一定条件时均衡存在，从而证明了两消费者指数效用均衡 的存在性。在均衡存在的条件下，我们得到均衡价格满足的随机微分 方程，并证明它是个正鞅。 我们将模型推广到N个消费者的情形,建立了N个消费者的均衡模 型，得到了均衡时参数满足的条件，并得到均衡价格满足的随机微分 方程，并证明它是个正鞅。 关键字： 指数效用均衡 效用最大化 随机微分方程 正鞅 伊藤引理 I The continuous time exponential utility equilibrium under different beliefs ABSTRACT The topic of this paper is the equilibrium with exponential utility function. Equilibrium studies generally have two aspects, one is the existence of equilibrium, the other is when the equilibrium exists what the properties of the market are presented. This paper will discuss the exponential utility function in different beliefs, existence of equilibrium and properties of equilibrium price. We consider the simple case first: the equilibrium model of two consumers. We assume that the two consumers’ income satisfies a stochastic differential equation (SDE), their own beliefs satisfies a SDE, and establish the equilibrium model of two consumers in satisfy the equilibrium condition. Under the conditions of equilibrium, this paper proves that the equilibrium price is a positive martingale. We extend the model to the case of N consumers, establish the equilibrium model of N consumers, obtain the parameter conditions of equilibrium and SDE of equilibrium price, and prove that it is a positive martingale. Key Words: exponential utility equilibrium, utility maximization, stochastic differential equation, positive martingale, Ito lemma II 目录 摘要 ·································································································I ABSTRACT······················································································· II 目录 ·····························································································