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Ornstein-Uhlenbeck过程的特征函数

发表时间:2011-07-15  浏览量:1527  下载量:597
全部作者: 陈度华,谢语权
作者单位: 湘潭大学数学与计算科学学院
摘 要: 为把Ornstein-Uhlenbeck过程(O-U过程)很好地利用到工程技术、金融等领域中,比较系统地研究了它的一类非常重要的数字特征——特征函数。根据O-U过程的特点,首先采用求期望与方差的方式计算出一参数和二参数O-U过程正态部分的特征函数,再根据特征函数的定义ψX(λ)=Eexp{i λX}计算在x0为常数和x0服从正态分布2种情况下的特征函数,最后类似地将其推广到多参数一维的情形。
关 键 词: 概率论与数理统计;Ornstein-Uhlenbeck过程;单参数;多参数;一维;特征函数
Title: Characteristic function of Ornstein-Uhlenbeck process
Author: CHEN Duhua, XIE Yuquan
Organization: School of Mathematics and Computational Science, Xiangtan University
Abstract: In order to make full use of Ornstein-Uhlenbeck process(O-U process) in engineering, finance and so on, the characteristic function which is one important kind of the numerical characteristics of O-U process is mainly researched in this paper. According to the features of O-U process, firstly the characteristic function of the normal part of one-parameter and two-parameter O-U process is obtained by the way of calculating mean and variance in this paper, then the characteristic function of whole O-U process is computed based on the definition of characteristic function ψX(λ)=Eexp{i λX}on the condition of x0 is constant and x0 obeys normal distribution. Finally it is generalized to the case of multi-parameter one-dimensional similarly.
Key words: probability and mathematical statistics; Ornstein-Uhlenbeck process; one-parameter; multi-parameter; one-dimensional; characteristic function
发表期数: 2011年7月第13期
引用格式: 陈度华,谢语权. Ornstein-Uhlenbeck过程的特征函数[J]. 中国科技论文在线精品论文,2011,4(13):1203-1206.
 
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