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| 布朗生灭过程及股票价格模型 | |
| 引用本文： | 冯广波,马超群,侯振挺,唐有荣.布朗生灭过程及股票价格模型[J].数学研究及应用,2005,25(1):76-83. |
| 作者姓名： | 冯广波 马超群 侯振挺 唐有荣 |
| 作者单位： | 1. 湖南大学工商管理学院,湖南,长沙,410082;海南大学经济管理学院,海南,海口,570228 2. 湖南大学工商管理学院,湖南,长沙,410082 3. 中南大学铁道校区科研所,湖南,长沙,410075 4. 国防科技大学数学系,湖南,长沙,410073 |
| 基金项目： | 国家自然科学基金(19871006／A010110) |
| 摘 要： | 本文明确地给出了一类布朗生灭过程的定义,讨论了其一维分布、积分泛函的分布和矩, 得到了递推计算公式,然后讨论了布朗生灭过程对股价模型的应用. |
| 关 键 词： | 布朗生灭过程 马氏骨架过程 积分型泛函 股票价格模型 |
| 文章编号： | 1000-341X(2005)01-0076-08 |
| 收稿时间： | 2002/9/17 0:00:00 |
| 修稿时间： | 2002年9月17日 |
Brown Birth and Death Processes and Their Applications to Model of Stock Price |
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| FENG Guang-bo,MA Chao-qun,HOU Zhen-ting and TANG You-rong.Brown Birth and Death Processes and Their Applications to Model of Stock Price[J].Journal of Mathematical Research with Applications,2005,25(1):76-83. | |
| Authors: | FENG Guang-bo MA Chao-qun HOU Zhen-ting and TANG You-rong |
| Institution: | College of Business Administration, Hunan University, Changsha 410082, China; College of Economic Management, Hainan University, Haikou 570228, China;College of Business Administration, Hunan University, Changsha 410082, China;Research Department, Central South University, Changsha 410075, China;Department of Mathematics, University of Defence Technology, Changsha 410073, China |
| Abstract: | The paper explicitly gives the definition of a class of Brown birth and death processes, and has discusses their one dimension distribution, and the distribution and moment of integral-type functional, then obtains the calculation formula. Moreover, the paper shows the application of Brown birth and death processes to the model of stock price. |
| Keywords: | Brown birth and death process markov skeleton process integral type function model of stock price |
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