BACKWARD STOCHASTIC DIFFERENTIAL EQUATION WITH RANDOM MEASURES

1. IntroductionPardoux and Peng[1], Peng[2'3] have discussed backward stochastic differential equations(BSDE) driven by Brownian motioll. Tangl4], Tang and Li[5] have considered BSDEdriven by Brownian motion and Poisson process. We will extend many results of them inthis paper.The main reference is [6].Let (fi, F, (R),P) be a filtered probability space, where the filtration (R) satisfies theusual conditions. Define (fi,F) ~ (fi x N x R,X x B(N) x B(R)),P ~ P x B(R), O =O x B(R),…     

A new look at some basic concepts in arbitrage pricing theory

The notion of No Free Lunch with Vanishing Risk (or NFLVR in short) w.r.t. admissible strategies depends on the choice of numeraire. Yan introduced the notion of allowable strategy and showed that condition of NFLVR w.r.t. allowable strategies is independent of the choice of numeraire and is equivalent to the existence of an equivalent martingale measure for the deflated price process. In this paper we establish a version of the Kramkov's optional decomposition theorem in the setting of equivalent martingale measures. Based on this theorem, we have a new look at some basic concepts in arbitrage pricing theory: superhedging, fair price, attainable contingent claims, complete markets and etc.     

络合剂HEDPA的合成及应用

对HEDPA的合成机理、合成工艺、产品性能及应用进行了一系列的研究,成功地选出了合成HEDPA的最佳工艺,经试验,生产的HEDPA用于医药、染整等行业均有令人满意的效果．