鞅过程

首先，依据动态资产定价理论，将巨灾期权视作双触发原因期权，运用鞅过程原理、随机过程理论，建立基于地震灾害损失分布的巨灾期权定价公式。

Apply the principle of martingale process and stochastic process theory to establish pricing formula of catastrophe option based on losses distribution of earthquake disasters .

在该测度基础上，构造鞅过程可以对一些固定收益衍生品定价，进一步给出零息债券的欧式期权、利率上限期权的定价公式。

Can used to construct the martingale process to valuate the fixed - income derivatives . It also helps to mark out the pricing formulas of call option in terms of zero - coupon bond and interest - rate caps .

本文研究了当基本价格过程为一类连续半鞅过程时log最优的自融资投资组合的财富过程与等价鞅测度之间的对应关系。

In this paper , a relationship between the optimal growth portfolio and a martingale measure is studied when the underlying asset price processes are modeled by some continuous special semimartingale .

半鞅过程控制中Bolza型代价函数的方向可微性

Directional Differentiability of Loss Functional of Bolza Type in Semimartingale process Controlling

由于所有的金融过程要放在无套利这个基础上来讨论，在原基础上我们采取了一个半鞅过程来逼近一个鞅过程。

Since all of the financial processes should be based on the no-arbitrage assumption , we have taken semi-martingale process method which is based on original one to close the whole process .

经典期权定价理论是建立在有效市场假设基础之上，即市场是无套利的、对数股票价格经过无风险利率折现服从一个鞅过程；这暗示在大多数场合股票价格增量应该是相互独立的。

Classic option pricing theory is built on the basis of efficient market hypothesis , that market has no arbitrage , logarithm stock price after a discount of risk-free rate follows a martingale process ; this suggests the stock price increments in most cases should be mutually independent .

并把Poisson过程、马氏过程、鞅和更新过程等理论广泛的应用到这一系列模型的理论研究中去。

They abroad use the poisson process 、 markov process 、 martingale and renewal process in the research of risk theory .

两参数马氏过程，鞅及平稳过程之间的关系

The Relations of Two-parameter Markov Processes , Martingales and Stationary Processes

此外，还系统地研究了马氏过程、鞅及平稳过程之间的关系。

Moreover we investigate the relations for Markov processes , martingales and stationary processes systematically .

摘要系统研究了严平稳过程，宽平稳过程与鞅及马氏过程的相互关系，得到许多有趣的结果。

In this paper , we have systematically investigated the relations for strictly stationary processes , wide stationary processes , martingales ang Markov processes , many interesting results of interest are obtained .

向前向后鞅分解和马氏过程大偏差

Forward-Backward Martingale Decomposition and Large Deviations for Markov Processes

鞅论是随机过程的一个前沿理论，近年来，它作为一个强有力的研究工具逐渐向各个学科渗透。

Martingale is a front theory in stochastic process , recently , it was gradually applied to various discipline .

在鞅论的发展过程中，鞅空间上的不等式一直是深受关注的研究热点。

In the course of the development of martingale theory , martingale space and inequalities have been a concerned research hot spot .

利用鞅分析、随机过程等理论求出新模型的最优投资与消费策略。

Then we use the theory of martingale analysis and random process to find the optimal investment and consumption strategies of the new model .