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.
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)