Markov process functionals in finance and insurance |
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Authors: | Xian-min Geng Liang Li |
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Institution: | (1) College of Sci., Nanjing Univ. of Aeronautics & Astronautics, Nanjing, 210016, China;(2) Dept. of Appl. Math., Nanjing Audit Univ., Nanjing, 210029, China |
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Abstract: | The Maxkov property of Maxkov process functionals which axe frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Maxkov property of some important Markov process functionals axe presented, the following conclusions are obtained: the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent incre-ments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Maxkov process being still a Maxkov process are given. |
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Keywords: | Markov process functional process with independent increments risk process |
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