<t>Thank you, Alan. I know what you mean. I agree that Equation (2) can be derived from g(t, Vt, Xt)=sup[E( g(T, VT, XT) ) ].But I am still not sure how to get g(t, Vt, Xt) from Equation (1). There is an exponetial function and a parameter alpha in Equation (1), which finally disppear in Equaiton (2...