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1)  U-processes
U-过程
1.
Two New Tests for Multinormality Based on U-processes with PP Method
基于投影U-过程的多元正态分布的拟合优度检验(英文)
2)  O-U process
O-U过程
1.
Through analysis and comparison,it has been found that both of the models can meet the same stochastic differential equations and the option is of the same price under the model,with Black-Scholes option pricing model given first,and then its pricing formula deduced by martingale approach,and finally option pricing model of O-U process introduced.
我们首先给出Black-Scholes期权定价模型,并用鞅方法导出其定价公式,然后引入O-U过程期权定价模型,通过分析比较发现这两个模型都满足相同的随机微分方程,并且在此两模型下期权具有相同的价格。
2.
They are governed by the following stochastic differential equations:where O_t is an m-dimensional O-U process governed by the following SDE:H,b_1,b_0,C are m×d, d×d, d×1, d×d matrices, (B_t, W_t) is a (d+m) dimensional Brownian motion.
在§l中介绍了以O-U过程为噪音的两类可解线性滤波模型。
3)  O—U process
O—U过程
1.
The first model is a simple one-factor model in which the logarithm of the spot price of the commodity is assumed to follow O—U process which has a mean reverting character.
第二个模型称为双因子模型,它是在单因子模型的基础上加入了新的因子变量—便利收益率,并且假定便利收益率服从带有均值反转特性的O—U过程。
4)  exponential Ornstein-Uhlenback process
指数O-U过程
1.
Pricing lookback options on the stocks driven by exponential Ornstein-Uhlenback process;
股价为指数O-U过程的回顾型期权的定价
5)  exponential Ornstein-Uhlenbeck process
指数O-U过程
1.
Under the hypothesis of stock price submitting to exponential Ornstein-Uhlenbeck process and considering the relation ship between the fluctuation of interest rate and the fluctuation of stock price, this paper focuses on analyzing the effect of the fluctuation of market interest rate on European option price, and then compares the obtained formula with Black-Scholes pricing formula by sample.
本文在股价服从指数O-U过程模型假设下,在考虑到市场利率波动与股价波动的相关性基础上,重点分析了市场利率的波动对欧式期权价值的影响,并通过实例将所得期权定价公式与著名的 Black-Scholes定价公式进行了比较。
6)  O-U type Markov process
O-U型马氏过程
补充资料:《最优过程的数学理论》
      极大值原理的奠基性著作,苏联数学家Л.С.庞特里亚金著。原书第1版1961年在莫斯科出版,出版后受到各国控制理论学者的高度评价。1962年在美国出版英文版。1965年中国翻译出版(上海科学技术出版社)。极大值原理给出了最优控制所满足的最一般的、统一的必要条件,从而成为最优控制理论的基础。全书共分7章。第1章介绍最优控制问题的数学描述、极大值原理及各条件在不同问题中的具体表现,举例说明极大值原理在综合问题中的应用。其中第 9节介绍了极大值原理与动态规划之间的联系和区别。第2章为严格的数学证明。第3章详细阐述应用极大值原理分析和综合线性最速控制系统的方法。第 5章介绍极大值原理与变分法之间的关系和区别。第 4、6、7章分别应用极大值原理来处理各种类型的最优控制问题。
  

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