| 农产品价格的随机模型及风险度量 |
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| 引用本文： | 聂荣,钱克明,张小洪. 农产品价格的随机模型及风险度量[J]. 数学的实践与认识, 2004, 34(11): 108-112 |
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| 作者姓名： | 聂荣 钱克明 张小洪 |
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| 作者单位： | 1. 中国农科院农业经济研究所,北京,100081
2. 清华大学经济管理学院,北京,100084 |
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| 基金项目： | 国家农业政策开放实验室首期项目 (WBIAE2 0 0 3 0 9) |
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| 摘 要： | 在连续时间模型的假设条件下 ,研究了农产品价格服从伊藤随机过程的数学期望及方差问题 .首先利用 Fok ker-Planck方程及偏微分方程 ,经过变形对由该扩散随机过程所描述的价格均值及风险进行了估计 ;然后给出了假设 Ito随机过程为稳态条件下的转移概率密度 ps的表达式 ,利用 ps求出相应的价格与风险值 .该模型也可用于风险投资等领域的研究 .
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| 关 键 词： | 伊藤随机过程 转移概率密度 风险度量 扩散方程 |
| 修稿时间： | 2003-12-30 |
Stochastic Model and Risk Measuring on the Farm-produce''''s Price |
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| NIE Rong,QIN Ke-ming,ZHANG Xiao-hong. Stochastic Model and Risk Measuring on the Farm-produce''''s Price[J]. Mathematics in Practice and Theory, 2004, 34(11): 108-112 |
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| Authors: | NIE Rong QIN Ke-ming ZHANG Xiao-hong |
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| Affiliation: | NIE Rong1,QIN Ke-ming1,ZHANG Xiao-hong2 |
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| Abstract: | We study the continuous-time model on the expectation and variance of farm-product′s price, which follows an ITO stochastic process. First, we estimate the mean and risk of the price through some transformations of Fokker-Planck Equation, and then, we obtain the expression of transition probability density under the assumption that the ITO stochastic process is stationary. The results can be extended to other research fields, such as risk-investment, evaluation of assets, etc. |
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| Keywords: | Ito stochastic processes transition probability density risk measuring diffusion equation |
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