跳扩散模型下的欧式障碍期权的定价

本文在标的资产价格服从跳扩散模型的假设下,运用Girsanov定理获得了价格过程的等价鞅测度,用期权定价的鞅方法得出障碍期权的定价公式.     

汽车保险的广义泊松过程模型

本文针对汽车保险中多车辆相撞事故的理赔建立起广义泊松过程模型,利用概率母泛函给出了其理赔总量在(0,t]内的均值与方差,并基于鞅分析方法证明了其破产概率的Lundberg不等式.     

受控AR模型中参数估计误差的一致有界性分析

本针对系统为受控AR模型，其参数估计采用随机梯度算法时，用鞅收敛定理的推广形式分析了它的收敛性，得到了参数估计误差一致有界的结果．     

Generalized jump-type Ornstein-Uhlenbeck processes as limits of infinite-particle systems

We prove the existence and uniquencess of the solution to the martingale problem associated with jump-type Ornstein-Uhlenbeck processes in the Schwartz space of distributions onR ^d. An example of a noninteracting infinite-particle system is given, which after rescaling has such a process as a limit. Cases when such a process has an invariant measure are identified.     

NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

§1.IntroductionLet(?,F)be a measurable space and let Lb(F)be the space of F-measurable andbounded real functions.A nonlinear expectation is a continuous functionalE[·]:Lb(F)?→Rthat is order preserving(i.e.,E[X1]≥E[X2],if X1≥X2)and constant preserving     

具有AUMD性质的复Banach空间的某些特征

本应用解析鞅的一类特殊的不等式给出了具有AUMD性质的复Banach空间的某些特征。     

B -valued martingale spaces with small index and atomic decompositions

Some atomic decomposition theorems for Banach-space-valued martingales are established. Using them, the embedding relationships between martingale spaces with small index are discussed. The results obtained here are connected closely with thep-uniform smoothness and q-uniform convexity of Banach space in which the martingales take values.     

关于树上连续状态马氏泛函的一类强偏差定理

强偏差定理一直是国际概率论界研究的中心课题之一.通过构造适当的非负鞅,将Doob鞅收敛定理应用于几乎处处收敛的研究,给出了一类特殊非齐次树上连续状态马氏泛函的若干强偏差定理.     

非齐次隐马尔可夫模型随机变换的若干强极限定理

利用鞅方法讨论了非齐次隐马尔可夫模型变换的强极限定理,作为特殊情形,将随机选择的概念拓展到非齐次隐马尔可夫模型中,得到了关于有限非齐次隐马尔可夫模型随机选择与随机公平比的若干极限定理.     

APPROXIMATION BY WALSH-KACZMARZ-FEJ ′ER MEANS ON THE HARDY SPACE

The main aim of this paper is to find necessary and sufficient conditions for the convergence of Walsh-Kaczmarz-Fej′er means in the terms of the modulus of continuity on the Hardy spaces Hp, when 0〈p≤1/2.