1) diffusion process
扩散过程
1.
Random analysis of the continuous sole strong solution of the random diffusion process of a class of the random signals with conditions;
一类带条件随机信号的随机扩散过程连续唯一强解的随机分析
2.
Parameter estimation about the drift coefficient of a diffusion process;
一类扩散过程中漂移系数的参数估计
3.
Common framework of single factor interest rate models with diffusion process;
扩散过程下单因素利率模型的统一框架
2) diffusion processes
扩散过程
1.
In the paper We discuss opitimal stopping of diffusion processes,because we deal with diffusion processes in the American option pricing.
金融数学中关于美式期权的定价理论最后归结为一个对扩散过程的最优停止问题,扩散过程是特殊的马氏过程,本文讨论了当报酬函数非负时的值函数性质及其最优停时的表示。
2.
The small perturbations of one dimensional degenerate diffusion processes is considered.
考虑一维退化扩散过程的小扰动。
3.
This article discusses the functional structure of a nonstationary random process on the complete probability space with martingale theory and stochastic analysis process, and ob-tains Wiener processes, diffusion processes, Ito processes and a series of important results ofthe functional structure under Gauss Conditions.
本文运用鞅理论与随机分析方法讨论了完备概率空间中一类非平稳过程的泛函结构,得到了Wiener过程、扩散过程与Ito过程及其在Gauss情形下泛函结构的一系列重要结果,这对于解决该类可观测随机过程的最佳非线性滤波具有很大意义。
3) diffusion
[英][di'fju:ʒən] [美][dɪ'fjuʒən]
扩散过程
1.
In this paper we study a stochastic differential equation whose solution is a special diffusion with discontinuous coefficient of drift.
研究了一个随机微分方程 ,它的解是一特殊的扩散过程 ,其漂移系数是不连续的Borel可测函数 。
2.
For the diffusion on noncompact manifolds,algebraic convergence in L~2-sense is studied.
考虑非紧流形上的扩散过程,得到了其L2代数式收敛的充要条件和必要条件。
3.
The paper proposes a new method to estimate nonlinear diffusions based on discretely observed data, and gives some properties of the corresponding parameters estimation.
本文基于一类非线性扩散过程的离散可观测数据 ,建立一种新的参数估计方法。
4) diffusion process
扩散法;扩散过程
5) jump-diffusion process
跳扩散过程
1.
Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process;
支付红利股票的跳扩散过程下期权定价的鞅方法
2.
By changing basic assumption of Merton option pricing model to the assumption that jump process is a kind of special compound Poisson process and volatility without jump is the function of time, it is established that the behavior model of the stock pricing process is jump-diffusion process.
改变了Merton期权定价模型的基本假设,认为股票价格的跳跃过程为一类特殊的复合Poisson过程且无跳时的波动率为时间的函数,建立了股票价格服从跳扩散过程的行为模型。
3.
Assuming that the interest is given,we obtion European reload option pricing formulas on stocks with jump-diffusion process by using an actuarial approach.
在利率确定的情形下,利用保险精算方法,推导了股票价格服从跳扩散过程的欧式再装期权的定价公式。
6) GARCH diffusion process
GARCH-扩散过程
1.
Firstly,the option pricing model with transaction cost is built by the GARCH diffusion process,and the nonlinear partial differential equation is given.
基于GARCH-扩散过程,把规范的B lack-Scholes期权定价模型推广到存在交易成本的情形。
补充资料:扩散过程
扩散过程
ssaood ooisngip
扩散过程晒丘目比.,祀.弓:八.中中y3.oHu“.npo明eee] 具有转移密度p(s,x,t,y)并满足以下条件的连续Map劝.过程(MaJ大ov Pro沈,)X二X(t):存在函数a(‘,,)和。,(‘,x)(分别称为缪移不攀(drift“犯场康献)和扩散系数(di任山初“兄伍曲洲t))使得对(助s议‘h朋tic山晚代爪坛目叫uations):d戈(艺)一a*(‘,X(七))d‘+,各a、,(‘,X(‘))‘耳(‘)来描述,其中艺(t),…,玖(t)是相互独立的Brown运动过程,而 伪={。,,(t,x),…,氏,(t,x)},j=l,…,。是矩阵。,=l}Zb*z(t,x){l的本{jE向量.于任意。>0, f,(,,、,。+△,,,)dy一。(△,),、 _!(y一x)P(t,x,t+△t,y)dy} Iv一泥l‘已刃 =a(t,x)△t+o(△t),「 ,(y一x)‘P(t,x,t+△t,y)dy} =a‘(r,x)八r+o(△t),J通常假定这些极限关系关于t在每个有限区间t。续t毛tl中)和x(一的
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