The Optimal Strategie And Method Of Engineering Investment Under Linear Control

In the study of economic and financial issues, many problems can be ascribed to stochastic optimal control problem, we need to study how to determine the optimal strategy in order to realize the maximization of the target in a certain control condition. So is the project investment.In this paper, we study the optimal investment problem. The stochastic optimal engineering investment model is established under the condition of linear control. The model can be summed up in two-point boundary value problems. We use the analytic method and cubic spline interpolation method to get the computational method and the approximate solution of the optimal strategy under the condition of linear control. then we use the dimension reduction method to improve the cubic spline function interpolation method, so the calculation speed is improved.