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带跳随机微分方程的一个扩充和应用 被引量：2

An Extension to Moderate Deviations for Stochastic Differential Equation with Poisson Jumps and Applications
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摘要 研究了一类参数为线性增长时带跳随机微分方程的中偏差原理,作为应用,得到了CBI方程的中偏差原理. We give an extension to moderate deviations for stochastic differential equation with jumps when coefficients are linear growing. As an application of the extension, we obtain the moderate deviation principle for CBI equations.
作者 杨青山 刘红
机构地区 东北师范大学数学与统计学院
出处 《数学学报（中文版）》 SCIE CSCD 北大核心 2009年第3期601-604,共4页 Acta Mathematica Sinica：Chinese Series
关键词 大偏差 中偏差 带跳随机微分方程 large deviations moderate deviations stochastic differential equation withjumps
分类号 O211.63 [理学—概率论与数理统计]
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参考文献10

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  • 1刘薇,谢赤,陈东海.最优套期保值比率估计方法:演进与前沿[J].经济社会体制比较,2005(6):71-74. 被引量：1
  • 2Steven E.Shreve,陈启宏,陈迪华(译).金融随机分析[M].上海:上海财经大学出版社,2008:10.
  • 3彭红枫,叶永刚.基于修正的ECM-GARCH模型的动态最优套期保值比率估计及比较研究[J].中国管理科学,2007,15(5):29-35. 被引量：58
  • 4约翰·赫尔.期权、期货和其他衍生品[M].清华大学出版社,2006:70-78.
  • 5Lin S J. Stochastic analysis of Fractional Brownian Motion, Fractional Noises and Application [J].SIAM Review, 1995(10).
  • 6Jelena Randjelovic, Svetlana Jankovic. On the pth moment expo-nential stability criteria of neutral stochastic functional differential equations [J]. Journal of Mathematical Analysis and Applications, 2007.
  • 7谢鸿政,杨枫林.数学物理方程[M].北京:高教出版社,2004,120-123.
  • 8Donald Lien, Yiu Kuen Tse and Albert Tsui. Evaluating Hedging Perfor- mance of the Constant-Correlation GARCH Model [J].Applied Financial Economics, 2002.
  • 9Ghosh, A. Hedging with stock index futures : Estima-tion and forecasting with error correction model [J].Journal of Futures Markets, 1993.
  • 10Chou,W.L,Fan, K.K & Lee, C.F. Hedgingwith the Nikkei index futures : The conventional modelversus the error correction model [J].Quarterly Reviewof Economics and Finance, 1993.

引证文献2

数学学报（中文版）
2009年 第3期

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