What the paper introduced in the case of continuity has been proved that it can be applied to the discussions for g-supermartingale of the nonlinear Doob-Meyer decomposition, to the contingent claims pricing in the incomplete markets and to the utility functions in economic theory. 文章的讨论与结果在连续的情形已证实可应用于g_上鞅的非线性Doob_Meyer分解的讨论,及不完全金融市场的期权定价及经济理论的效用函数的讨论中。
A birth and death process which is the strong limit of a sequence of ( Q,π(?) 纯自无穷流入的生灭过程在[1]中称为(Q,1)过程,它的轨道是一列Doob过程的强极限。
Classic Doob's inequality is one of the most important results in martingale theory and the basis of discussion of the general martingale spaces. 古典的Doob不等式是鞅理论中的一个重要结果,也是讨论一般鞅空间的基础。
The definitions of set-valued order submartingale and increasing process are introduced in this paper. doob decomposition theorems for set-valued order submartingale are obtained. 介绍了集值序下鞅和集值序增过程概念,给出了集值序下鞅的Doob分解定理,并讨论了当X=R1时的情形。
Theorem 2 gives the sufficient and necessary condition of continuous parameter set-valued submartingale existing Doob-Meyer decomposition. 定理2给出了连续参数集值下鞅存在唯一的DoobMeyer分解的充要条件。
The distribution of lifetime for Doob process Doob过程的存活时间分布
Doob stopping theorems for set-valued order submartingale 集值序下鞅的Doob停止定理
Classical Doob's inequality was extended in [ 1] and [ 2]. 文献[1,2]推广了古典的Doob不等式。
With Doob decomposition of B-valued asymptotic martingale, studies the law of large numbers of B-valued asymptotic martingale, some results are obtained. 利用B值渐近鞅的Doob分解定理,研究了B值渐近鞅的大数定律,它们是鞅的有关结论的推广和改进。
Martingale method is employed to investigate a local convergence theorem for countable Mar-kov chains indexed by a generalized Bethe tree by using a martingale and Doob martingale convergence theorem and some special inequalities. 利用鞅方法构造鞅,根据Doob鞅收敛定理和一些特殊的不等式研究了广义Bethe树图上可数状态马氏链场的局部收敛定理。
Chapter 3 discusses the fundamentals inequalities in the rearrangement invariant martingale space, such as the corresponding important Doob's maximal inequality, Burkholder-Gundy-Davis inequality and Rosenthal's inequality. 第三章讨论重排不变鞅空间中的基本不等式,包括Doob极大不等式、Burkholder-Gundy-Davis不等式和Rosenthal不等式。