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Information × Registration Number 0306U003702, 0105U002769 , R & D reports Title Stochastics models in actuarial and financial mathematics popup.stage_title Модель ціни акції Head Bondarev Bjris Vladimirovich., Registration Date 20-06-2006 Organization Donetsk National University popup.description2 Problems of optimization and estimation unknown parameters in the procedures describing stochastic evolutions of the prices of actions and bonds are considered. For the image of the prices of actions and bonds it is offered to use Wiener process with casual time which is modelled as process Poisson with any not decreasing function of intensity. It is proved, hundred evolutions of the prices of actives offered model satisfies to a condition noarbitration. On the basis of the offered models conditions of dynamic programming in R.Merton problem are received. Optimum control of a portfolio of actives and is found by consumption. Product Description popup.authors popup.nrat_date 2020-04-02 Close