查询词典 Brownian motion

The general diffusion process can be obtained as a limiting case, so that we have a unified framework in understanding existing models in option pricing theory, including the geometric Brownian Motion, the model of Constant Elasticity of Varianc, the Residual Volatility and term structure of interest rates. Our model is capable of demonstrating volatility smile and stable relative deviation from real data.

我们建立的一般框架可以统一理解目前已经熟知的几何布朗运动、广义方差常弹性、残余波动率、利率的期限结构等理论模型，也能描写观察到的波动率微笑和稳定的相对偏差。

In chapter Ⅳ, we study forward-backward stochastic differential equations with jumps and with bounded stopping time terminal, which take values in separable Hilbert space, and are drived by cylindrical Brownian motion and Poisson point process.

第四章，研究了取值Hilbert空间的带跳正-倒向随机微分方程，其部分系数不满足李普西茨条件，并且终端时间为有界停时。

In this paper , we combine both Efficient Market Hypothesis and Fractal Market Hypothesis to test our bond markets return distribution , the main results are that the index of Chinese bond market process by fractional Brownian Motion, the orbit is stable Pareto Distribution with α character So, the fractal market hypothesis is more suitable than the efficient market hypothesise

本文结合有效市场假说与分形市场假说理论，通过对我国证券市场中收益率的分布收入研究发现：中国股票市场是以分数布朗运动方式进行的，所形成的运动轨迹呈现出典型的α＜2的稳定帕雷托分布。因此，应该说，"分性市场假说"比"有效市场假说"更适用于中国股票市场。

Some properties and convergence theorems of the Henstock variational integral for stochastic process with respect to canonical Brownian motion are probed.

讨论了关于布朗运动的随机积分用Henstock变差逼近的方法所定义的积分的一些性质和收敛定理。

It was supposed that the dynamic moving process of the stock price and the return was driven by Geometry Brownian Motion and the lognormal distribution respectively. Takinginto account the riskneutral environment, we got a closedform analytical formula for deferred arithmetic asian options by the method of Taylor expansion of the stochastic integral formula within the terminal payoff. Furthermore, with the series definition of the definite integral, we transferred the continuous problem into a discrete one which is simpleenough to figure out. Meanwhile we tested the accuracy of the formula with the Monte Carlo simulation as a benchmark and the result shows that the formula can be utilized to price the related financial derivatives.

在标的价格服从几何布朗运动、收益服从对数正态分布的前提下，通过风险中性定价原理，对到期损益中的随机积分进行任意次Taylor近似，并由级数定义将此连续问题离散化，给出了延期算术平均亚式期权封闭形式的解析定价公式，并与Monte Carlo模拟得到的价格作为标尺对得到的公式进行精确性检验，结果表明，所得公式可以应用到金融实务中对此类衍生品定价中。

Then we give some premiliaries, including stochastic integration for fractional Brownian motion, parameter estimates in the fraction...

第三章是本文的主要部分，给出了分数O-U过程中参数估计的大偏差，并且给出了证明。

Fractal dimensions of images have been calculted using usual methods such as triangular prism method, fractal Brownian motion method, DBC box-counting method and multi-fractal method.

实现了常用的三角棱柱法、分形布朗运动法、DBC计盒法和多重分形法等分维数计算。

The multi-spherical Brownian motion model was used to predict the thermal conductivities of nanofluids.

采用基于多颗粒布朗运动的微对流模型预测了纳米流体的热导率。

Thirdly the traditional Monte Carlo simulation method assumes that the price change follows the Geometric Brownian Motion, so it also cannot deal with data which has fat-tailed character.

三、传统的蒙特卡洛模型假设价格变化服从几何布朗运动，同样不能有效地刻画收益率序列的尖峰厚尾特征。

Resealed range analysis method is one of the good tools for studying fractal Brownian motion of time-series data and natural phenomena self-affine fractal, being applied widely for all time-series. In this paper, this method is used to analyze absolute geomagnetic Z component observations at Tianshui Observatory.

重标极差分析法(R/S， rescaled range analysis method)，是研究分数布朗运动及自然现象的自仿射分形的有力工具之一，对于所有时间序列分析都有着广泛的用途。

If you are unfortunate enough to the lovelorn, please tell me, I will help you out, really, please contact me!

如果你不幸失恋了，请告诉我，我会帮助你摆脱困境，真的，请联系我啦！

China's plan to cut energy intensity by 20 percent and pollutant discharges by 10 percent between 2006 and 2010 is a case in point.

中国计划在2006年到2010间降低20%的能源强度和减少10%的主要污染物排放，就是一个这样的例子。