摘要
本文给出了广义分数Poisson过程WjH(t)的定义及基本性质,并提出了W(j)H(t)可能在金融中的应用.WjH(t)是宽意义下的自相似过程;对j=3,4,5,WjH(t)是增量平稳过程;WjH(t)的分布具有尖峰、胖尾特征,并且具有长期依赖性.
In this paper, we give the definition and basic properties of generalized fractional Poisson process W^j_H(t) and propose the possible application to finance. W^j_H(t) is a self-similar process in the wide meaning. For j=3,4,5 W^j_H(t) is a stationary increment process. The distribution of W^j_H(t) has the property of high peak and fat tail and has long-rang dependence.
出处
《数学杂志》
CSCD
北大核心
2005年第3期278-282,共5页
Journal of Mathematics
基金
国家重点基础研究计划特别基金资助
关键词
自相似性
长期依赖性
肥尾
增量平稳性
self-similarly
long-rang dependence
fat tail
stationary increasement
