As we all known, Brownian motion is an important type of stochastic process. 我们大家都知道,布朗运动是一类很重要的随机过程。
The concept of varying-time dimension is presented and the original fractional Brownian motion model is extended to be a locally self-similarity stochastic process. 提出了时变维数的概念,对原有分数布朗运动模型加以拓展,使其成为具有局部自相似性的随机过程。
The Pricing Model of Equity Warrants Based on Fractional Brownian Motion and Jump Process 基于分数布朗运动和跳过程的股本权证定价模型
The impulse consumption control strategy of the problem is governed by a mixed process-geometrical Brownian motion and a Poisson process. 讨论了一类随机控制问题,其脉冲消费控制策略受控于一混合过程&几何布朗运动和泊松过程。
Brownian motion which is considered as a stochastic process of continuous state space and time parameters is a basic 、 simple and the most important stochastic processes. 布朗运动作为具有连续时间参数和连续状态空间的一个随机过程,是一个最基本、最简单同时又是最重要的随机过程。
Under the assumption that the price of new technology commodities follows a mixed Brownian motion/ Poisson jump process, the strategic decisions of enterprise are analyzed, and the impact of the future unexpected events on the corporation decision is investigated. 分析了当新技术商品价格服从混合布朗运动/泊松跳跃过程时的企业战略决策,并着重考察了未来突发事件对企业决策的影响。
Based on the conclusion that securities market is a complex nonlinear system characteristic, this paper has discussed the description of non-equilibrium state securities market, and the application of fractal Brownian motion in explaining the market dynamics process. 在金融市场为复杂非线性系统这一结论的基础上,探讨了一般非均衡状态下的金融市场的描述方式并引入分数布朗运动来解释市场变动的动力学过程。
Brownian motion model of the fission process 裂变的布朗运动模型
This paper introduces a new modification to Black Scholes option pricing model for pricing biases correction by bringing gamma process into Brownian motion as the time change process. 本文针对BlackScholes期权定价的定价偏差,介绍了一种对该模型的改进模型,它是通过将gamma过程作为时变过程嵌入BlackScholes期权定价模型中的布朗运动来实现的。
By using fractional Brownian motion envelope process and additional maximum delay constrain, the algorithm overcomes the shortcoming of those packet-loss-probability based methods which can not guarantee the packet maximum delay. 该算法采用分形布朗运动包络过程对自相似业务进行分析,通过增加最大延时约束条件,克服了原先基于分组丢失概率的有效带宽计算方法不能保证业务最大延时要求的不足。
The asymptotic formula of moment generating function for occupation time of transient Brownian motion and symmetric stable process discussed by Dembo and Peres etc. Dembo和Peres等学者讨论了非常返布朗运动和对称稳定过程的逗留时的矩母函数的极限表达式,并将所得结果用于解决逗留时的粗重分形谱问题。
The movement for the value of the underlying asset of R& D real options is neither purely a geometric Brownian motion, nor simply a jump process, but a combination of the both. R&D现实期权标的资产价值的运动既不是纯粹的几何布朗运动,也不是纯粹的跳跃运动,而是二者的结合。
The model of European option pricing for a given stochastic differential equation driven by the Brownian motion and Poisson process is obtained and the solution of the model is given out by using Ito formula and the method of stochastic differential. 针对布朗运动和泊松过程共同驱动下股票价格的随机微分方程,利用Ito公式和随机积分的方法,得到了该形式下欧式期权定价的模型,并给出了模型的求解。
The second model is about evaluating entry and exit investment strategies, in which output price follows a combination of a geometric Brownian motion and a jump process. 第二个模型是关于进入与退出投资决策的评价,产品价格服从几何布朗运动-跳跃过程。
Therefore, people have proposed some self-similar traffic models to portray the characteristic of the network, the most frequently used one is Fractional Brownian Motion ( FBM) process model. 因而人们提出了一些自相似流量模型来刻画网络特征,最常用的是分形布朗运动(FBM)模型。
A Levy process can be written as a linear combination of time t. a Brownian motion and a pure jump Levy process. Levy过程可以分解为时间变量、布朗运动和纯跳Levy过程的线性组合。
Fractional Brownian Motion ( FBM) is the most important stochastic process in the modern non-linear time series analysis, which can not only express many non-linear phenomena in nature, but also be the best stochastic process to describe real terrain so far. 分形布朗运动(FBM)是现代非线性时序分析中的重要随机过程,它能有效地表达自然界中许多非线性现象,也是迄今为止能够描述真实地形的最好的随机过程。
Brownian motion is a significant model of FDT, the main research is the energy conversion of thermal fluctuations and transport process of micro-particles far from equilibrium. 布朗运动作为涨落耗散理论的重要模型,主要研究远离平衡态时热涨落能量的转化和微观粒子的输运过程。
Finally, s-tochastic Volterra equation with the kernel of fractional Brownian motion is studied to illustrate the effectiveness of our results. ( 2) The numerical solutions of doubly perturbed stochastic delay differential equa-tions driven by Levy process is considered. 最后,以具有分数布朗运动核的随机Volterra方程为例验证了所得结果的有效性。(2)考虑了由Levy过程驱动的具有双干扰的随机时滞微分方程的数值解。
The stock price follows a geometry Brownian motion, while the EPS is a mean reverting process. 股票价格服从几何布朗运动,而公司业绩服从由布朗运动驱动的均值回归过程。
Comparing and analyzing the parameter estimation and data fitting under geometric Brownian motion and Brownian motion process respectively, we can conclude that describing the degradation process by geometric Brownian motion is better than that by Brownian motion process. 对比分析几何布朗运动与布朗运动过程的参数估计和数据拟合,得出利用几何布朗运动描述退化过程要优于用布朗运动描述退化过程。
Study the accelerated degradation model based on geometric Brownian motion process and the parameter drift of it, then make statistical analyses for the parameters and storage reliability evaluation. 3. 研究基于几何布朗运动的加速退化模型,研究该模型下的参数漂移。并对模型参数进行统计分析与贮存可靠性评估。