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1.
在随机波动模型下,研究亚式期权的定价问题.推导出了标的资产及其随机波动模型的路径,利用对偶变量法对亚式期权进行数值模拟计算,并对随机波动模型下与B-S模型下的欧式期权和亚式期权定价结果进行比较,最后给出了具有固定敲定价格和浮动敲定价格的算术亚式期权的数值计算结果.  相似文献   

2.
随机利率下具有马氏调控的Pascal模型   总被引:1,自引:1,他引:0  
收稿研究随机环境下带利率的风险模型;对随机利率下由马氏调控费率的Pascal模型,我们克服了随机环境和随机利率的限制,得到破产概率及破产时、破产前剩余、破产赤字联合分布的计算方法.  相似文献   

3.
考虑了一类具有饱和发生率的确定和随机SIRS模型,计算出基本再生数,得到随机模型正解的全局存在性及唯一性,在一定的噪声扰动条件下,应用微分算子和伊藤公式证明了无病平衡点的p-阶指数稳定,同时,讨论了随机模型的解围绕确定性模型平衡点的渐近行为,最后分析了噪声干扰对随机模型稳定性的影响.  相似文献   

4.
随机期度与利率反向变动关系的初步研究   总被引:1,自引:0,他引:1  
本文介绍了随机利率下相应的期度—随机期度的定义及其性质.对常见的随机利率模型Vasciek 模型和CIR模型,证明了随机期度与随机利率之间存在着反向的变动关系,从而辅证了随机期度定义的合理性.  相似文献   

5.
给出了可数状态空间中时间随机环境下可逗留随机游动的一个统一模型,对于一维紧邻时间随机环境下的随机游动,在一定的条件下,讨论它的极限性质和中心极限定理,该结论类似于空间随机环境下的随机游动的有关结论.  相似文献   

6.
《数理统计与管理》2015,(4):621-627
基于正态分布提出了缺失数据下联合均值与方差模型,在响应变量随机缺失下研究了该模型均值插补、回归插补和随机回归插补三种插补方法的参数估计,通过数据模拟和实例研究结果比较表明,随机回归插补方法是三种插补方法中最有用和有效的。  相似文献   

7.
有随机投资回报的随机保费模型的渐近破产概率(英文)   总被引:1,自引:0,他引:1  
本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资问报风险模型的结论.  相似文献   

8.
应用随机最优控制方法研究Heston随机波动率模型下带有负债过程的动态投资组合问题,其中假设股票价格服从Heston随机波动率模型,负债过程由带漂移的布朗运动所驱动.金融市场由一种无风险资产和一种风险资产组成.应用随机动态规划原理和变量替换法得出了上述问题在幂效用和指数效用函数下最优投资策略的显示解,并给出数值算例分别分析了市场参数在幂效用和指数效用函数下对最优投资策略的影响.  相似文献   

9.
该文在回归子给定和随机两种情形下,分别定义了不完全信息随机截尾广义线性模型.在一定的条件下,讨论了这两种模型参数向量的似然方程解的存在性和唯一性,获得并证明了这两种模型的极大似然估计(MLE)的相合性与渐近正态性.  相似文献   

10.
建立了随机需求下直销多商品流供应链网络均衡模型,导出了供应链网络达到均衡的条件,它等价于一个有限维变分不等式.通过构建修改拟牛顿法,获得了随机需求下直销多商品流供应链网络均衡模型的解(变分不等式的解),并给出了1个算例,验证了模型的正确性和算法的可行性.  相似文献   

11.
We study a problem in stochastic functional differential equations which, in addition to a standard one-one-parameter noise term involves a random perturbation of the memory. This problem can also be regarded as a first order hyperbolic system of stochastic partial differential equations with given initial data and nonlocal boundary data. Existence and uniqueness of a solution is established and the generator of the associated Markov process is analyzed. Thereafter, for two model problems arising from first- and second-order integro-differential equations suggested by physical applications we establish asymptotic stability in probability of the associated stochastic processes.  相似文献   

12.
The main aim of this paper is to develop some basic theories of stochastic functional differential equations (SFDEs). Firstly, we establish stochastic versions of the well-known Picard local existence-uniqueness theorem given by Driver and continuation theorems given by Hale and Driver for functional differential equations (FDEs). Then, we extend the global existence-uniqueness theorems of Wintner for ordinary differential equations (ODEs), Driver for FDEs and Taniguchi for stochastic ordinary differential equations (SODEs) to SFDEs. These show clearly the power of our new results.  相似文献   

13.
首先,针对一类线性倒向随机微分方程,给出了g-鞅同鞅之间相互联系所满足的充分条件.通过该条件得到了经典的Black-Scholes模型下未定权益的公平价格过程以及最优增长投资策略的价格过程.其次,引入了带惩罚的非线性倒向随机微分方程,并通过惩罚比率的不同取值来讨论相关的经济学意义.  相似文献   

14.
分析了战争中双方战斗人数的不确定性因素,论述了战争中战斗人数是一个随机过程,从而建立了正规战的随机微分方程模型.根据Ito微积分公式,导出了这个随机微分方程的It解.计算了战斗人数这一随机过程的期望,给出了依据所建立的随机微分方程模型预测战争胜负的判据.最后以硫磺岛战争为例,给出了美、日双方胜负的可能性的分析和数据模拟计算.  相似文献   

15.
Connections between weak solutions of stochastic differential inclusions and solutions of partial differential inclusions, generated by given set-valued mappings are considered. The main results are based on some continuous approximation selection theorem and weak compactness of the set of all weak solutions to a given stochastic differential inclusion.  相似文献   

16.

Association or interdependence of two stock prices is analyzed, and selection criteria for a suitable model developed in the present paper. The association is generated by stochastic correlation, given by a stochastic differential equation (SDE), creating interdependent Wiener processes. These, in turn, drive the SDEs in the Heston model for stock prices. To choose from possible stochastic correlation models, two goodness-of-fit procedures are proposed based on the copula of Wiener increments. One uses the confidence domain for the centered Kendall function, and the other relies on strong and weak tail dependence. The constant correlation model and two different stochastic correlation models, given by Jacobi and hyperbolic tangent transformation of Ornstein-Uhlenbeck (HtanOU) processes, are compared by analyzing daily close prices for Apple and Microsoft stocks. The constant correlation, i.e., the Gaussian copula model, is unanimously rejected by the methods, but all other two are acceptable at a 95% confidence level. The analysis also reveals that even for Wiener processes, stochastic correlation can create tail dependence, unlike constant correlation, which results in multivariate normal distributions and hence zero tail dependence. Hence models with stochastic correlation are suitable to describe more dangerous situations in terms of correlation risk.

  相似文献   

17.
We investigate a mathematical model associated to the infection time in multistable gene networks. The mathematical processes are of hybrid switch type. The switch is governed by pure jump modes and linked to DNA bindings. The differential component follows backward stochastic dynamics reflected in some mode-dependent nonconvex domains. First, we study the existence of solutions to the resulting stochastic variational inclusions, by reducing the model to a family of ordinary variational inclusions with generalized reflection in semiconvex domains. Second, by considering control-dependent drivers, we hint to some model-selection approach by embedding the controlled backward stochastic variational inclusion in a family of regular measures. Regularity and structural properties of these sets are given.  相似文献   

18.
A general jerky equation with random excitation is investigated in this paper. Before introducing the random excitation term, the equation is reduced to a two-dimensional model when undergoing a Hopf bifurcation. Then the model with the parametric excitation and external excitation is converted to a stochastic differential equation with singularity based on the stochastic average theory. For the equation, its dynamical behaviors are analyzed in different parameters'' spaces, including the stability, stochastic bifurcation and stationary solution. Besides, numerical simulations are given to show the asymptotic behavior of the stationary solution.  相似文献   

19.
In this paper, a stochastic mean square version of Lax’s equivalence theorem for Hilbert space valued stochastic differential equations with additive and multiplicative noise is proved. Definitions for consistency, stability, and convergence in mean square of an approximation of a stochastic differential equation are given and it is shown that these notions imply similar results as those known for approximations of deterministic partial differential equations. Examples show that the assumptions made are met by standard approximations.  相似文献   

20.
We suggest a theory of stochastic waves that describe the behavior of random vectors satisfying a set of ordinary first-order differential equations. The equation for the stochastic waves is given for the case where the mean values are described by a differential model. The relationship between this equation and the Liouville equation is considered and analogue of the Ehrenfest theorem is proved. For the covariance of a component of a random vector, we obtain an ordinary first-order differential equation. Interpretation of Planck’s constant is discussed. Conditions are formulated under which wave packets propagate with increasing or decreasing covariance. Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 111, No. 3, pp. 356–368, June, 1997.  相似文献   

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