| 首次穿过边界概率及其在金融中的应用 |
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| 引用本文： | 薛明皋,龚朴. 首次穿过边界概率及其在金融中的应用[J]. 经济数学, 2004, 21(4): 283-295 |
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| 作者姓名： | 薛明皋 龚朴 |
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| 作者单位： | 华中科技大学管理学院财务金融系,武汉,430074 |
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| 基金项目： | This work is supporced by PDSFC (2 0 0 30 344 79)，also NSFC(70 2 710 2 8) |
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| 摘 要： | 本文把数学和管理科学有机结合,为数学应用提出问题,得出新结果,推广了J.MichelHarrison(1985)[1]第43页的命题27,并给出了在金融中的应用.
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| 关 键 词： | 概率 投资 鞅 首达时 破产临界值 |
BOUNDARY FIRST CROSSING PROBABILITY AND ITS APPLICATION IN FINANCE |
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| Minggao Xue,Pu Gong. BOUNDARY FIRST CROSSING PROBABILITY AND ITS APPLICATION IN FINANCE[J]. Mathematics in Economics, 2004, 21(4): 283-295 |
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| Authors: | Minggao Xue Pu Gong |
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| Abstract: | The paper combines mathematics with management science in order to put new questions of mathematical application, and get the new results. Proposition(27) in Harrison's(1985) [1] (P.43) is generalized, which can be applied so the investment analysis in finance. |
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| Keywords: | Probability investment martingale first hitting time bankruptcy trigger value. |
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