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一类Cauchy问题解的唯一性及其应用 被引量:1

Uniqueness and Application of the Solutions to a Class of Cauchy Problems
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摘要 利用极值原理和Schauder理论,构造恰当的辅助函数.证明基于Vasicek模型下,市场利率衍生物满足的定解问题的解的存在性和唯一性.最后,阐述其结果在金融数学中的应用. By means of maximum principle, Schauder theorem and by constructing appropriate auxilliary function, the author proves the existence and uniqueness of the solutions to a terminal question in which the derivatives of Vasicek model-based market rate of interest satisfy; and sets forth the application of its results to financial mathematics.
作者 潘坚
机构地区 华侨大学数学系
出处 《华侨大学学报(自然科学版)》 CAS 北大核心 2005年第4期349-352,共4页 Journal of Huaqiao University(Natural Science)
基金 国务院侨务办公室科研基金资助项目(03QZR9)
关键词 VASICEK模型 CAUCHY问题 极值原理 唯一性 Vasicek model, Cauchy problem, maximum principle, uniqueness
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参考文献4

  • 1Hull J.Options futures and other derivatives[M]. 4th ed. New York, Prentice-Hall. 2000. 564-599.
  • 2Vasicek O A. An equilibrium characterization of the term structure [J]. Journal of Financial Economics, 1977, (5):177-188.
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同被引文献4

  • 1王志焕.一类自由边界问题解的渐近性[J].华侨大学学报(自然科学版),2006,27(2):133-136. 被引量:2
  • 2陈亚浙,吴兰成.二阶椭圆型方程与椭圆型方程组[M].北京:科学出版社,2003.
  • 3HULL J C. Option, future, and other derivatives[M]. 5th ed. New Jersey: Prentice-Hall, Pearson Education International, 2003 : 377-397.
  • 4WILLMOTT P. Derivatives: The theory and practice of financial engineering[M]. New York: John Wilely & Sons Ltd, 1999:430-432.

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