| 有限步紧邻Q-过程的Girsarov变换 |
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| 引用本文： | 陈内萍.有限步紧邻Q-过程的Girsarov变换[J].数学的实践与认识,2006,36(4):255-259. |
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| 作者姓名： | 陈内萍 |
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| 作者单位： | 湖南商学院信息系,湖南,长沙,410205 |
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| 摘 要： | 讨论多维有限步紧邻Q-过程,特别是多维生灭过程的Radon-Nikodym导数和Girsarov变换公式,并将它们表示为相互独立的Poisson半鞅积分形式.
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| 关 键 词： | 多维生灭过程 有限步紧邻Q-过程 Radon-Nikodym导数 Girsarov变换公式 |
| 修稿时间： | 2005年5月8日 |
The Girsanov Transformation of Multidemensional Proximate Q-Processes with Finite Steps |
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| CHEN Nei-ping.The Girsanov Transformation of Multidemensional Proximate Q-Processes with Finite Steps[J].Mathematics in Practice and Theory,2006,36(4):255-259. |
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| Authors: | CHEN Nei-ping |
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| Abstract: | We obtained the Radon-Nikodym derivative and the Girsanov transformation format about multidemensional proximate Q-processes with finite steps and multidemensional birth-death processes,which can be expressed into the calculating form of independent Poisson semimartingales. |
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| Keywords: | multidemensional birth-death processes proximate Q-processes with finite steps Radon-Nikodym derivative Girsarov transformation format |
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