经典风险模型的推广

本文将经典风险模型的盈余过程推广为一谱正L\'evy过程与一从属L\'evy过程的差,利用L\'evy过程的性质和鞅方法, 得到破产概率的一些结果.对一类谱负的L\'evy过程研究了它的首达时的性质并得出了生存概率的Pollaczek-Khinchin公式.     

债券受布朗运动驱动时幂型支付重置期权的定价

考虑完全的无套利市场环境下,基础股票支付连续红利,债券价格满足由布朗运动驱动的随机微分方程,对具有幂型支付的一种创新重置期权,以鞅论和随机分析为工具,得到了期权的定价公式.     

鞅空间K(lnK)~q和M(lnM)~q(q>0)的定义及性质

在鞅的研究中,人们把具有某种相同性质的鞅归为一类,这就形成了许多不同的鞅空间.本文定义了两组新的鞅空间,并给出了这两组鞅空间之间以及它们与已知鞅空间的关系,最后给出了这两组鞅空间的有关性质.     

Gradient-Based Identification Methods for Hammerstein Nonlinear ARMAX Models

Two identification algorithms, an iterative gradient and a recursive stochastic gradient based, are developed for a Hammerstein nonlinear ARMAX model, a linear dynamical block following a memoryless nonlinear block. The basic idea is to use the gradient search principle, to replace unmeasurable noise terms in the information vectors by their estimates, and to compute iteratively or recursively the noise estimates based on the obtained parameter estimates. Convergence analysis of the recursive stochastic gradient algorithm indicates that the parameter estimation error consistently converges to zero under certain conditions. The simulation results show the effectiveness of the proposed algorithms. An erratum to this article is available at .     

向量值Lipschitz鞅空间p_λ~β(X)和p_∧~β(X)

本文研究了Ｂａｎａｃｈ空间值Ｌｉｐｃｈｉｔｚ 鞅空间。与与 之间的相互嵌入关系,以及与小指标Ｈａｒｄｙ 鞅空间,的共轭空间之间的相互嵌入关系,其结果与值空间的凸性和光滑 性有着密切的联系,     

On the Limits at the Martin Boundary for a Class of Functions

In this paper we prove a criterion for existence of pathwise limits at the Martin boundary for functions with gradient in L _loc ². (This implies that such functions have fine limits at almost all Martin boundary points.)     

关于M值随机序列的一个普遍成立的强大数定理

利用区间剖分法构造几乎处处收敛的鞅,得到了一个对任意M-值随机变量序列普遍成立的强极限定理,作为推论得到一个精细的Borel—Cantelli引理．     

Limsup deviations on trees

The vertices of an infinite locally finite tree T are labelled by a collection of i.i.d. real random variables {Xσ}σ∈T which defines a tree indexed walk Sσ = ∑θ＜r≤σXr. We introduce and study the oscillations of the walk:Exact Hausdorff dimension of the set of such ξ 's is calculated. An application is given to study the local variation of Brownian motion. A general limsup deviation problem on trees is also studied.     

随机波动模型的首中时问题

研究了一类波动率是平方根过程的随机波动CEV模型的首中时问题.利用鞅方法求解首中时和波动率的联合拉普拉斯变换,继而将问题转换为求解一类变系数二阶常微分方程,通过变量代换将此方程转化为经典的Whittaker方程,得到联合拉普拉斯变换表达式.最后,选取不同的参数,使随机波动CEV模型的资产价格过程能够涵盖O-U过程、几何布朗运动、平方根过程等几种常见的扩散过程,画出不同参数下联合拉普拉斯变换函数的三维图像,并分析其变化趋势.     

A comparison of two no-arbitrage conditions

We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions.