因此,定理三之性质又称平赌性质(martingale property) (martingale是法国民间一种公平的对局)。下一节我们将发现布朗运 … blog.sciencenet.cn|基于10个网页 2. 鞅论特性 3.2.2鞅论特性(Martingale Property) / 803.3 其他模型(Other Models) / 833.3.1 三元树模型(Trinomial Tree Model) / 833.3.2 连... ...
martingale property 鞅性质 请采纳 如果你认可我的回答，敬请及时采纳，~如果你认可我的回答，请及时点击【采纳为满意回答】按钮 ~~手机提问的朋友在客户端右上角评价点【满意】即可。~你的采纳是我前进的动力 ~~O(∩_∩)O，记得好评和采纳，互相帮助 ...
give clues about the future increments of B because of Property (iii). 8 CHAPTER 1. BROWNIAN MOTION 1.3 Properties of Brownian motion paths 1.3.1 Continuity and differentiability Almost every sample path B(t), 0 ≤ t ≤ T 1. is a continuous function of t, 2. is not monotone in ...
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Mathematical Finance 27(1), 194-223.C. Bernard, Z. Cui D.L. McLeish, On the martingale property in stochastic volatility models based on time-homogeneous diffusions, (2014), arXiv:1310.0092v1....
Under the condition of changing premium, the upbound of ruin probability was obtained by sub-martingaleproperty. 在保费收入可以改变的条件下,利用下鞅的收敛性,得到了破产概率的一个上界。 The stationary property, Markoy Property andmartingaleproperty of the optimal solution sets process are discussed. ...
The Martingale Property An additional property that holds for our sequence of partial sums is the Martingale property. It states that the conditional expectation of the sequence of partial sums, Si is simply the current value: E(Si|Sk,k
The martingale property and the strong Markov property of this kind of surplus process are discussed. 讨论了该盈余过程的马尔科夫性和鞅性。 www.dictall.com 8. The principal results include stopping theorem of weak martingale and strong martingale on stopping point and strong stopping point. 介绍各...
Martingale problems, Markov property; 5.5. Overture to stochastic differential geometry; 5.6. One-dimensional SDEs;... LCG Rogers,D Williams - World Scientific 被引量: 340发表: 2000年 A monetary value for initial information in portfolio optimization We study this value for common utility ...
It is shown that for a large collection of independent martingales, the martingale property is preserved on the empirical processes. Under the assumptions of independence and identical finite-dimensional distributions, it is proved that a large collection of stochastic processes are martingales essentially...
(根据条件概率的tower property: \mathbb{E}[\boldsymbol{X}]=\mathbb{E}[\mathbb{E}[\boldsymbol{X} \mid \boldsymbol{Y}]]) 根据数学归纳法,有 \mathbb{E}\left[Z_{n+1}\right]=\mathbb{E}\left[Z_n\right]=\mathbb{E}\left[Z_{n-1}\right]=\cdots=\mathbb{E}\left[Z_1\right]=...