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随机时滞种群系统解的吸引性和有界性
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作者 朱德馨 张启敏 《青岛科技大学学报(自然科学版)》 CAS 2009年第1期61-65,共5页
研究了与年龄相关的随机时滞种群系统模型,运用Lyapunov第二方法和It公式,得到了随机时滞种群系统方程吸引性和有界性的一些结论,给出了保证强解吸引和有界的充分条件.
关键词 随机时滞种群系统 吸引性 有界性 ito's公式
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Global Stability of A Stochastic Predator-prey Model with Stage-structure
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作者 BAI Hong-fang XU Rui 《Chinese Quarterly Journal of Mathematics》 2017年第4期425-431,共7页
In this paper, a stochastic predator-prey model with stage structure for predatorand ratio-dependent functional response is concerned. Sufficient conditions for the globalasymptotic stability of positive equilibrium a... In this paper, a stochastic predator-prey model with stage structure for predatorand ratio-dependent functional response is concerned. Sufficient conditions for the globalasymptotic stability of positive equilibrium are established. Some numerical simulations arecarried out to illustrate the theoretical results. 展开更多
关键词 STOCHASTIC PREDATOR-PREY model STAGE-STRUCTURE global stability ito's FORMULA
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On the Effects of Different Interpretations of Stochastic Differential Equations
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作者 Claudio Floris 《Applied Mathematics》 2019年第11期876-891,共16页
This paper addresses the problem of the interpretation of the stochastic differential equations (SDE). Even if from a theoretical point of view, there are infinite ways of interpreting them, in practice only Stratonov... This paper addresses the problem of the interpretation of the stochastic differential equations (SDE). Even if from a theoretical point of view, there are infinite ways of interpreting them, in practice only Stratonovich’s and It&ocirc;’s interpretations and the kinetic form are important. Restricting the attention to the first two, they give rise to two different Fokker-Planck-Kolmogorov equations for the transition probability density function (PDF) of the solution. According to Stratonovich’s interpretation, there is one more term in the drift, which is not present in the physical equation, the so-called spurious drift. This term is not present in It&ocirc;’s interpretation so that the transition PDF’s of the two interpretations are different. Several examples are shown in which the two solutions are strongly different. Thus, caution is needed when a physical phenomenon is modelled by a SDE. However, the meaning of the spurious drift remains unclear. 展开更多
关键词 Stochastic Differential Equations White Noise Processes ito's Interpretation Stratonovich's Interpretation
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带有Fractional Brownian Motion和Markovian调制的随机资产积累的最优逼近控制
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作者 崔世崇 《成都大学学报(自然科学版)》 2015年第4期357-363,共7页
给出了一类带有分数布朗运动(Fractional Brownian Motion,FBM)和马尔科夫过程(Markov Process,MP)的随机资产积累模型,讨论了该系统的最优逼近控制存在的问题,得到了相应的伴随方程哈密顿函数.应用Ekeland变分原理、Ito's公式及常... 给出了一类带有分数布朗运动(Fractional Brownian Motion,FBM)和马尔科夫过程(Markov Process,MP)的随机资产积累模型,讨论了该系统的最优逼近控制存在的问题,得到了相应的伴随方程哈密顿函数.应用Ekeland变分原理、Ito's公式及常用不等式证明了这类带有随机的资产积累系统的最优逼近控制存在的必要条件. 展开更多
关键词 FRACTIONAL BROWNIAN Motion MARKOV Process 最优逼近控制 最大值原理 Ekeland变分 ito's公式
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两类投资连结型保单的定价问题 被引量:11
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作者 王玉梅 胥会平 《复旦学报(自然科学版)》 CAS CSCD 北大核心 2002年第5期530-534,共5页
运用金融经济学的基本思想讨论两类投资连结型保单的定价模型,并对两种模型分别采用偏微分方程方法和推广的期望贴现(GEDV)方法求得解析解.
关键词 投资连结型保单 ito's引理 偏微分方程 GEDV方法 金融经济学 定价模型 期望贴现方法
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