M-P逆在线性随机方程中的应用

Application of Moore-Penrose Inverse in Linear Stochastic Equation

本文证明了可料过程的M-P逆仍然可料。利用M-P逆讨论了线性随机方程可料解的结构,由此求出了扩散模型中的所有等价鞅测度,并给出了最小逆熵鞅测度。

This paper proves that the M-P inverse predictable process is still predictable. By employing the M-P inverse,we discussed the structure of predictable solutions of the linear stochastic equation. All equivalent martingale measures and the minimal reverse entropy martingale measure in a diffusion model are obtained.