| 非线性利率模型的分枝过程逼近 |
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| 引用本文： | 李育强.非线性利率模型的分枝过程逼近[J].数学物理学报(A辑),2009,29(1):1-9. |
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| 作者姓名： | 李育强 |
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| 作者单位： | 华东师范大学金融统计学院,上海,200241
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| 基金项目： | 国家自然科学基金，华东师范大学金融统计学院青年发展基金 |
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| 摘 要： | 章主要证明了状态相依的分枝过程序列的一个极限定理, 结果表明非线性利率期限结构模型可以通过状态相依分枝过程的极限方式得到.
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| 关 键 词： | 状态相依分枝过程 非线性利率模型 极限定理 弱收敛 |
| 收稿时间： | 2006-04-18 |
| 修稿时间： | 2008-03-07 |
Approximating Nonlinear Models of Interest Rates with Branching Processes |
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| Li Yuqiang.Approximating Nonlinear Models of Interest Rates with Branching Processes[J].Acta Mathematica Scientia,2009,29(1):1-9. |
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| Authors: | Li Yuqiang |
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| Institution: | (School of Finance and Statistics, East China Normal University, Shanghai 200241) |
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| Abstract: | This paper proves a limit theorem of sequences of the state-dependent branching processes, which shows the nonlinear models of the term structure of interest rates can be approximated by the state-dependent branching
processes. |
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| Keywords: | State-dependent branching processeszz Nonlinear models of interest rateszz Limit theoremszz Weak convergencezz |
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