| 两参数分数Wiener过程增量的一般形式 |
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| 作者姓名： | Lu Chuanrong Zhejiang University of Finance and Economics Zhejiang University Hangzhou China. |
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| 作者单位： | Lu Chuanrong Zhejiang University of Finance and Economics，Zhejiang University，Hangzhou 310000，China. |
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| 基金项目： | Supported by the National Natural Science Foundation of China（10471126）,NSFZP（101016）. |
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| 摘 要： | §1Introductionandresults A2-parameterGaussianprocess{Z(t,s);t,s≥0}iacalleda2-parameterfractional Wienerprocesswithorderα(0<α<1),ifZ(0,0)=0a.s.EZ(s,t)=0anditscovariance EZ(t1,s1)Z(t2,s2)={|t1|2α+|t2|2α-|t2-t1|2α}{|s1|2α+|s2|2α-|s2-s1|2α}/4.LetR=x1,x2]×y1,y2],DT={(x,y)∶0≤x,y≤bT,xy≤T}.Let0
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| 关 键 词： | Wiener过程 分布参数系统 控制论 数学分析 |
| 收稿时间： | 2004-09-29 |
A general form of the increments of two-parameter fractional wiener process |
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| Lu Chuanrong Zhejiang University of Finance and Economics,Zhejiang University,Hangzhou ,China..A general form of the increments of two-parameter fractional wiener process[J].Applied Mathematics A Journal of Chinese Universities,2005,20(3):331-337. |
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| Authors: | Lu Chuanrong |
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| Institution: | Zhejiang University of Finance and Economics,Zhejiang University,Hangzhou 310000,China |
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| Abstract: | A general form of the increments of two-parameter fractional Wiener process is given. The results of Csörg?-Révész increments are a special case, and it also implies the results of the increments of the two-parameter Wiener process. |
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| Keywords: | fractional Wiener process general form of increment |
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