共查询到20条相似文献,搜索用时 93 毫秒
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本文给出了由两个不同的分数布朗运动组成的重分数布朗运动的Strassen型泛函重对数律和局部Strassen型泛函重对数律.我们的结果也适用于由两个布朗运动组成的重布朗运动及由一个分数布朗运动和一个布朗运动组成的重过程.最后将上述结果推广到n重分数布朗运动中.推广了已有文献的相应结果. 相似文献
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假设股票价格变化过程服从几何分数布朗运动,建立了分数布朗运动下的亚式期权定价模型.利用分数-It-公式,推导出分数布朗运动下亚式期权的价值所满足的含有三个变量偏微分方程.然后,引进适当的组合变量,将其定解问题转化为一个与路径无关的一维微分方程问题.进一步通过随机偏微分方程方法求解出分数布朗运动下亚式期权的定价公式.最后利用权证定价原理对稀释效用做出调整后,得到分数布朗运动下亚式股本权证定价公式.<正>~~ 相似文献
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本文研究了当Hurst参数日小于1/2时关于分数布朗运动的随机积分问题.利用分数布朗运动的性质和卷积逼近的方法,获得了多重分数Stratonovich积分的另一种构造. 相似文献
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本文研究了以分数布朗运动为输入过程的存储过程上穿高水平u形成的点过程的渐近泊松特性,结果表明当分数布朗运动参数H∈(0,1/2),u→∞时,该点过程弱收敛到泊松过程. 相似文献
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The local existence and uniqueness of the solutions to backward stochastic differential equations(BSDEs, in short) driven by both fractional Brownian motions with Hurst parameter H ∈(1/2, 1) and the underlying standard Brownian motions are studied. The generalization of the It formula involving the fractional and standard Brownian motions is provided. By theory of Malliavin calculus and contraction mapping principle, the local existence and uniqueness of the solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions are obtained. 相似文献
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Let XH = {XH(s),s ∈RN1} and X K = {XK(t),t ∈R N2} be two independent anisotropic Gaussian random fields with values in R d with indices H =(H1,...,HN1) ∈(0,1)N1,K =(K1,...,KN2) ∈(0,1) N2,respectively.Existence of intersections of the sample paths of X H and X K is studied.More generally,let E1■RN1,E2■RN2 and FRd be Borel sets.A necessary condition and a sufficient condition for P{(XH(E1)∩XK(E2))∩F≠Ф}>0 in terms of the Bessel-Riesz type capacity and Hausdorff measure of E1×E2×F in the metric space(RN1+N2+d,) are proved,where is a metric defined in terms of H and K.These results are applicable to solutions of stochastic heat equations driven by space-time Gaussian noise and fractional Brownian sheets. 相似文献
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Davar Khoshnevisan Zhan Shi 《Transactions of the American Mathematical Society》1998,350(10):4253-4264
The small ball problem for the integrated process of a real-valued Brownian motion is solved. In sharp contrast to more standard methods, our approach relies on the sample path properties of Brownian motion together with facts about local times and Lévy processes.
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本文研究了k-维Brown运动的泛函样本轨道性质.利用了一致范数在高维连续函数空间生成的拓扑下建立大偏差公式的方法,获得了k-维Brown运动的泛函重对数定律. 相似文献
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YANG Deyun & ZHOU Xingwei Department of Information & Technology Nankai University Tianjin China Department of Mathematics Nankai University Tianjin China Department of Computer Science Taishan College Taian China 《中国科学A辑(英文版)》2005,48(2)
In this paper, we present the conditions on dilation parameter {sj}j that ensure a discrete irregular wavelet system to be a frame on L2(Rn), and for the wavelet frame we consider the perturbations of translation parameter b and frame function ψ respectively. 相似文献
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本文通过引入Z上的逆H?lder类RHr(Z)(r∈(1,∞))并建立它与Z上的Muckenhoupt权空间Aq(Z)(q∈[1,∞))之间的关系,再借助伪差分算子(包含离散Fourier乘子)的有界性与它的积分核的估计之间的关系,获得离散分数次积分在加权离散(弱型)Lebesgue空间lwp(Z)和lwp,∞(Z)(p∈[1,∞))上的有界性. 相似文献
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Zhen Long Chen 《数学学报(英文版)》2013,29(9):1723-1742
The main goal of this paper is to study the sample path properties for the harmonisable-type N-parameter multifractional Brownian motion, whose local regularities change as time evolves. We provide the upper and lower bounds on the hitting probabilities of an (N, d)-multifractional Brownian motion. Moreover, we determine the Hausdorff dimension of its inverse images, and the Hausdorff and packing dimensions of its level sets. 相似文献
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一类半鞅样本轨道的Fractal性质 总被引:2,自引:0,他引:2
本文用Hausdorff维数刻画了一类半这样本轨道的Fractal性质,并由此研究了Brown运动与有界变差过程的碰撞问题. 相似文献
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冉启康 《纯粹数学与应用数学》2016,32(6):551-561
讨论了一类带分数Brown 运动的非Lipschitz 增长的随机微分方程适应解的存在唯一性。关于分数 Brown 运动的随机积分有多种定义,本文使用一种广义 Stieltjes积分定义方法,利用这种积分的性质,建立了一类由标准 Brown 运动和一个 Hurst 指数H ∈(1/2,1)的分数Brown 运动共同驱动的、系数为非Lipschitz 增长的随机微分方程适应解的存在唯一性定理。 相似文献
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John Verzani 《Probability Theory and Related Fields》1997,107(4):517-526
Summary. For the Brownian path-valued process of Le Gall (or Brownian snake) in , the times at which the process is a cone path are considered as a function of the size of the cone and the terminal position
of the path. The results show that the paths for the path-valued process have local properties unlike those of a standard
Brownian motion.
Received: 29 January 1996 / In revised form: 21 June 1996 相似文献