By Levy-Khinchine theorem, we can actually construct any continuous random process with independent increment from a Wiener process. For doing this, we need the Ito formula for transforming of representation of random variables. To preform Ito formula, since (dW)^2 = dt , we should keep eve...
On Cumulative Sum Procedures and a Stopped Wiener Process Formula.Random variablesSamplingIntervalsLaplace transformationNormal distributionChange detectionProbability distribution functionsFor detecting changes in mu three types of cumulative sum (cusum) procedures are considered. The first one is a class of ...
Brown 运动是特殊的 Gauss 过程 关于 Brown 运动的积分 积分 公式 随机分析中的链式法则the chain rule。 根据形式，首先给出 过程 的定义：(1-dimensional processes)(1-dimensional formula)随机微分方程 解的存在唯一性 强解和弱解 例子：
On second quantizing, one obtains noncommutative Feynman-Kac formulae for perturbed semigroups which are related to the Boson noncommutative Wiener process in the same way as the original Feynman-Kac formula is related to the classical Wiener process. In the case when the original semigroup is t...
A standard Brownian (or a standard Wiener process) is a stochastic process {Wt }t≥0+ (that is, a family of random variables Wt , indexed by nonnegative real numbers t , de?ned on a common probability space (?, F , P )) with the following properties: (1) W0 = 0. (2) With ...
Firstly, by utilizing the martingale theory, this paper transforms the expectation of stochastic integral with respect to Poisson process into the expectation of Lebesgue integral. Then, on the basis of this, we design a filter such that the filtering error system is mean-square asymptotically ...
This paper discusses a continuous time inventory system without backlogging allowed under the condition that the demand follows a Wiener process. We propose the explicit formula of the expected total discounted cost for an infinite time span by applying the familiar technique of optimal stopping problem...
We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process $w(\cdot\wedge\tau)$. Multiple stochastic integrals, that lead to the analogue of the It\^o-Wiener expansions for such measures, are desc
(1999). Stochastic volatility with an Ornstein–Uhlenbeck process: An extension. Review of Finance, 3(1), 23–46. Article Google Scholar Tanaka, K., Yamada, T., & Watanabe, T. (2010). Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit ...
Term structure models driven by Wiener process and Poisson measures: existence and positivity. SIAM Journal of Financial Mathematics, 1:523-554, ... D Filipovi,S Tappe,J Teichmann - 《Siam Journal on Financial Mathematics》 被引量: 0发表: 2010年 On the term structure of forwards, futures ...