跳跃过程

其中风险由复合泊松过程描述，相应的盈余过程（surplusprocess）是一个跳跃过程。

The risk is supposed to satisfy compound Poisson process and the corresponding surplus process is a jump process .

跳跃过程一般是用Poisson过程描述的。

The Jump process is generally describes with the Poisson process .

总投资模型表明，在传统的（GBM）模型中，不确定性增加会对资本形式造成逆向影响，但在跳跃过程的模型中可能会提高。

Aggregate investment simulations indicated that capital formation is adversely affected by increases in uncertainty in the traditional GBM model but can be enhanced in the jump process model .

对这一跳跃过程最优控制问题，我们应用动态规划原理得到了积分-微分（integro-differential）形式的HJB方程。

Applying dynamic program to the optimal control problem of this jump process , we obtain integro differential HJB equation . Since the analytical solution is difficult to get , we will find its numerical solution .

在CKLS模型的基础上，笔者提出了一个加入跳跃过程的单因子利率期限结构模型。

In this paper , based on the model of CKLS , we develop a new one-factor term structure model of interest rates , which allows for jumps in interest rates .

改变了Merton期权定价模型的基本假设，认为股票价格的跳跃过程为一类特殊的复合Poisson过程且无跳时的波动率为时间的函数，建立了股票价格服从跳扩散过程的行为模型。

By changing basic assumption of Merton option pricing model to the assumption that jump process is a kind of special compound Poisson process and volatility without jump is the function of time , it is established that the behavior model of the stock pricing process is jump-diffusion process .

在均值为离散跳跃过程下债券定价的方法

The Method about the Bond-Pricing with Mean Is a Discontinuous Jump Process

向上型相对极值跳跃过程

Relative Extreme Values and Extremum - Times by Jump process : Upward Type

初探人体跳跃过程中的能量利用

A tentative exploration of utilizing energy in jump

基于跳跃过程的复合期权定价模型

Compound Option Model Based on Jump Process

含跳跃过程单因子利率模型的估计&基于中国国债回购利率的实证分析

Estimation for One-Factor Term Structure of Interest Rates With Jumps : Evidence from Government Bond Market

一个舞者在她达到跳跃过程中最高处时伸展她的双腿和双臂，从而创造了一个停在空中的幻觉。

A dancer creates the illusion of floating in the air by lifting her legs and arms as she approaches the peak of the jump .

这个模型假设标的资产的风险率由一个含有漂移项以及跳跃过程的双随机过程决定。

The model assumed that the hazard rate of the underlying asset is decided by a doubly stochastic process with a drift and a jump process .

第二个模型是关于进入与退出投资决策的评价，产品价格服从几何布朗运动-跳跃过程。

The second model is about evaluating entry and exit investment strategies , in which output price follows a combination of a geometric Brownian motion and a jump process .

因此，本文从定量的角度出发，在比较分析现有国内外理论基础上，构建了包含跳跃过程的仿射利率期限结构模型，并估计出了模型参数。

Therefore , based on a comparative study of the existing literatures , the author constructs the affine stochastic volatility interest rate model with jump process by quantitative methods , and estimates parameters of the model .

跳跃过程的发展最初开始于1976年Meaon提出的跳跃模型，它符合了市场受突然的不稳定信息产生跳跃的情况，所以越来越受到经济学家的重视。

The development of jump process start Merton jump model proposed in 1976 , it is consistent with the market information produced by a sudden jump in instability , and it got more and more economists ' attention .

分析了当新技术商品价格服从混合布朗运动/泊松跳跃过程时的企业战略决策，并着重考察了未来突发事件对企业决策的影响。

Under the assumption that the price of new technology commodities follows a mixed Brownian motion / Poisson jump process , the strategic decisions of enterprise are analyzed , and the impact of the future unexpected events on the corporation decision is investigated .

随机组合理论表明通过构造生成函数可以生成新的投资组合，并证明了生成组合的权重表达式以及相应的漂移过程项和跳跃过程项。

The theory of stochastic portfolios shows that the function can generate a dynamic equity portfolio . The expressions for the weights of the generated portfolio , the corresponding drift process and the jump process relate the generated portfolio and the market portfolio .

其中，跳跃过程通过跳跃大小以及跳跃强度来反映违约环境的变化，在传统的静态定价模型中，它反映了资产组合中违约相关性的变化。

And the condition of the default environment is reflected by the jump process with the jump size and the jump intensity , while in the traditional static pricing model , it is reflected by the changes of default correlation in the portfolio .

非时齐跳跃Markov过程序列到扩散过程的弱收敛

Weak convergence of the sequence of inhomogeneous jump Markov processes to diffusion processes

但是在跳跃扩散过程中，如果将λ作为输入参数，则发现BP网络不一定具有可靠，即当λ很大时，网络不能预测。

But in jumps in the diffusion processs , if will take the input parameter λ, then discovered the BP network will not necessarily have reliably , namely will work as when very big , the network will not be able to forecast .

利用这一定理，证明了非负非时齐跳跃Markov过程序列弱收敛于BrownianExcursion和经验分布过程弱收敛于Bown桥。

The conclusion is applied to proved that the sequence of positive inhomogeneous jump Markov processes weakly converge to Brownian Excursion and that empirical processes weakly converge to Brownian bridge .

传统的期权定价主要基于鞅方法和Black-Scholes方程方法，近期大多数文章解决这样一种新的金融资产模型，假定股票价格的基本运动遵循Levy过程和Possion跳跃扩散过程。

The traditional option pricing is mainly based on martingale method and Black-Scholes equation method . Most of the recent literature dealing with the new model of financial assets assumes that the underlying dynamics of stock prices follow a Possion jump spread process and a levy process .

跳跃扩散过程下欧式期权的模糊定价

Fuzzy Pricing about European Call Option under the Process of Jump-diffusion

假定股票价格服从跳跃扩散过程。

It is assumed that the stock price follows the jump_diffusion process .

基于纯粹跳跃利维过程的中外股票收益分布特征研究

Pure Jump Levy Processes for Stock Return Distribution

最后根据水权价格波动的特点，给出水权价格符合跳跃扩散过程的水权期权定价模型。

In the end , a pricing of water rights option model is given .

证明了一个状态为跳跃扩散过程的一般最优控制问题的验证性定理。

A verification theorem for general stochastic optimal control with the state following a jump_diffusion process is showed .

线性风险容忍度效用下线性跳跃扩散过程的零息债券均衡定价

Equilibrium pricing for zero coupon bond when the representative 's utility shows linear risk tolerance under the linear jump diffusion processes

建立了执行价格为随机变量的跳跃扩散过程的期权定价模型，该模型实际上是一种资产交换期权，推导出了期权定价公式。

Establish the option-pricing model when exercise price is random variable . The option-pricing model is options to exchange one asset to another .