隨機微分 的英文怎麼說
中文拼音 [suíjīwéifēn]
隨機微分
英文
stochastic differential-
Solution for bsde with jumps and quasi - continuous
帶跳擬連續倒向隨機微分方程的解The equations of the mean value functions and the covariance functions are established for dynamical systems whose inputs are fuzzy stochastic processes. an existence and uniqueness theorem of ito fuzzy stochastic differential equations is proved, some explicit representations of solutions and the equations of statistical characteristics are deduced for linear fuzzy stochastic differential equations, and numerical methods to nonlinear fuzzy stochastic differential equations are proposed, the conditions for stability and observability of fuzzy linear systems are derived. the kalman filter algorithms of linear fuzzy stochastic systems are brought forward
主要成果包括：提出了模糊隨機變量協方差和反向協方差的概念；研究了二階模糊隨機變量的均方收斂性，並在此基礎上得到了均方模糊隨機分析、平穩模糊隨機過程及其譜分解的若干定理；根據均方模糊隨機分析理論，得到了輸入為模糊隨機過程的線性系統的輸出輸入統計特徵關系方程；證明了ito型模糊隨機微分方程解的存在唯一性，並給出了ito型線性模糊隨機微分方程解的表達式，統計特徵方程以及非線性模糊隨機微分方程的數值解法；得到了模糊線性系統的穩定性和可觀性條件、線性模糊隨機系統統計特徵方程和線性模糊隨機系統的kalman濾波演算法；研究了當觀測值是模糊數據時，線性回歸模型的建立。Under the most elementary conditions for backward stochastic differential equation introduced by peng s., we put forward and prove a general converse comparison theorem
摘要在由彭實戈引入的倒向隨機微分方程的最基本的條件下，提出並證明了一個一般的反比較定理。Under the most elementary conditions for backward stochastic differential equation ( bsde in short ) introduced by peng s g, a new converse comparison theorem for bsdes has been proved in this paper, based on investigating the relations between the generator and the solutions of bsdes
摘要通過研究倒向隨機微分方程的解與其生成元的關系，在由彭實戈引入的倒向隨機微分方程的最基本的條件下，證明了一個反比較定理。By solving the stochastic differential equations describing the noise performance of the cmos gilbert mixer, the time - varying power spectral density of its output noise at high frequencies is given
通過求解描述cmosgilbert型混頻器噪聲性能的隨機微分方程，本文給出了該類型混頻器高頻輸出噪聲的時變功率譜密度。When the parameters of a tagaki - sugeno ( t - s ) fuzzy system are perturbed with random noise, the system turns to be a stochastic t - s system. essentially, it is a nonlinear stochastic differential system. the second part of the dissertation focuses on the stability analysis and control of the stochastic t - s systems
設控制對象是用tag山一sugeno （ t . s ）模糊模型表示的非畢蜂琴攀{當模型參姆到統計特徵已知的瞰嗓桿擾吟一就成為一個瞬娜咚模糊模型，本質上它是一個非線性隨機微分系統。It is proved that the investment decision - making process which is described by general backward stochastic differential equations ( bsdes ) can be approached by discrete investment
摘要證明了一般的倒向隨機微分方程所描述的投資決策過程可用離散的投資決策過程進行逼近，並給出了逼近誤差的估計。Considering a financial market with risky stocks and riskless bond, we describe the stochastic model of stock prices with stochastic volatility
在考慮一個帶有股票和債券的金融市場后，本文提出了一個具隨機波動率的股票價格的隨機微分方程模型Where commodity prices satisfy a sde and the payoff function is a general payoff function with stopping time
其中商品價格滿足一隨機微分方程，收益函數為帶停時的一般收益函數。Relative to sde, the study for the solution of bsde under non - lipschitz condition is absence, especially when the uniqueness of the solution can not be guaranteed, the existence of minimal and maximal solution of bsde are not be studied
相對于正向隨機微分方程，非lipschitz條件下倒向隨機微分方程解的性質的研究尚不夠豐富，特別是條件不能保證方程解唯一時，倒向隨機微分方程最大最小解的存在性尚未見有成果。In chapter two, under non - lipschitz condition, the existence and uniqueness of the solution of the second kind of bsde is researched, based on it, the stability of the solution is proved ; in chapter three, under non - lipschitz condition, the comparison theorem of the solution of the second kind of bsde is proved and using the monotone iterative technique, the existence of minimal and maximal solution is constructively proved ; in chapter four, on the base of above results, we get some results of the second kind of bsde which partly decouple with sde ( fbsde ), which include that the solution of the bsde is continuous in the initial value of sde and the application to optimal control and dynamic programming. at the end of this section, the character of the corresponding utility function has been discussed, e. g monotonicity, concavity and risk aversion ; in chapter 5, for the first land of bsde, using the monotone iterative technique, the existence of minimal and maximal solution is proved and other characters and applications to utility function are studied
首先，第二章在非lipschitz條件下，研究了第二類方程的解的存在唯一性問題，在此基礎上，又證明了解的穩定性；第三章在非lipschitz條件下，證明了第二類bsde解的比較定理，並在此基礎上，利用單調迭代的方法，構造性證明了最大、最小解的存在性；第四章在以上的一些理論基礎之上，得到了相應的與第二類倒向隨機微分方程耦合的正倒向隨機微分方程系統的一些結果，主要包括倒向隨機微分方程的解關于正向隨機微分方程的初值是具有連續性的，得到了最優控制和動態規劃的一些結果，在這一章的最後還討論了相應的效用函數的性質，如，效用函數的單調性、凹性以及風險規避性等;第五章，針對第一類倒向隨機微分方程，運用單調迭代方法，證明了最大和最小解的存在性，並研究了解的其它性質及在效用函數上的應用。Comonotonic theorems of bsdes with deterministic generators
帶有確定生成元的倒向隨機微分方程的共單調定理Based on the study of strength degradation of material in the fatigue process, a strength degradation model is proposed. a stochastic differential equation, which controls strength degradation, is obtained from the model randomized by markov process. by using the theory of stochastic, the distributions of residual strength at any given lifetime and lifetime of any given residual strength are attained. under a few suitable hypotheses, inverse gaussian distribution of fatigue life is derived, and verified by means of experimental data. the result shows that the model and the method are reasonable
在研究疲勞過程中材料強度退化規律的基礎上，建立了一個強度退化模型.對其進行隨機化處理，得到控制強度退化過程的隨機微分方程.在一定假設條件下，獲得了剩餘強度概率密度函數的封閉解，並推導出疲勞壽命的反高斯分佈形式.給出一種考慮損傷狀態對隨機漲落影響的近似處理方法.與試驗數據的比較結果表明，本文的模型和方法是合理的The aim is to provide a forum to enhance collaboration and interaction among banking executives, corporate managers, institutional investors, market intermediaries, government regulators and academics on major corporate governance issues related to the banking industry
博弈學研究突破可應用於解決世界貿易組織問題港俄學者出版全球首本隨機微分合作博弈典籍The well - posedness of time - delayed forward - backward stochastic differential equations is studied. by the method of continuation, the existence and uniqueness of such equations are proved under some monotonicity conditions
摘要研究了帶時滯正倒向隨機微分方程的適定性問題。應用連續性方法，在一定單調性條件下證明了帶時滯正倒向隨機微分方程解的存在唯一性。Are uncertain and should be regarded as random variables, therefore the reinforced concrete frame is stochastic structure inherently, and then its motive equations converted to combined random differential equations for the uncertain parameters and external random excitation. these equations were solved by order - orthogonal expansion method with pseudo - excitation method, and then the statistic stochastic responses of random structure were obtained. at last, based on the stochastic cumulative damage model with double parameters developed by park, formulas were formulated for calculating structural earthquake damage probability using the structural reliability theory ( mainly jc algorithm ) in extensive random space
首先對受地震激勵的剪切型鋼筋混凝土結構進行建模，用隨機等效線性化方法將二階非線性微分方程組化成一階線性微分方程組（或稱之為狀態方程） ；再考慮材料等參數的隨機性，則狀態方程成為復合隨機微分方程組，將擴階系統方法和虛擬激勵方法推廣並應用於這個復合隨機微分方程組，求出結構的隨機響應量的統計參數；最後採用隨機累積損傷破壞準則，在廣義隨機空間內，用jc演算法求解失效概率，進而求出結構的抗震可靠度。In the 3rd section we introduce how to use mathematical model to study financial problems, whose assets running on mixed jump - diffusion process, first we get the famous non - linear feynman - kac formula by fbsde, then let the solution of the bsde be a investor ' s utility function, and it ' s the so - called recurse utility function. second, we can prove that this utility function is a continue viscosity solution of the variation inequality which we get above, and we get the comparison theory. third we can use the result to financial market to study the optimal consumption and portfolio problem or evaluate the american option
第三章介紹了利用金融資產價格運行基於復合跳躍? ?擴散過程的數理模型來研究金融經濟問題，通過結合運用正倒向隨機微分方程，推導得到著名的非線性feynman - - kac公式，並且將相應的倒向隨機微分方程的解記為投資者的值函數，這也就是通常所說的效用值函數；接著我們可以證明此效用值函數為某一偏微積分變差不等式的連續粘性解，並且得到了比較原則；這些結果可以應用到金融領域用於消費投資組合的選擇或是美式期權的估值。An almost surely continuous property on solutions of backward stochastic differential equation
幾乎處處意義下倒向隨機微分方程解對終值的連續性Therefore, basic methodologies for stochastic seismic and filtering responses of nonlinear structure are studied, the approximate solution methodologies and their practical applications are investigated in the dissertation employing equivalent linearization and moment equations method based on fpk equations and ito stochastic differential equations
因此，本文基於fpk方程和伊藤隨機微分方程，研究了滯后結構物的隨機地震反應和隨機濾波問題的基本方法，並利用等效線性化法和矩方程法，研究了非線性結構隨機地震反應分析和隨機濾波分析的近似解法及它們的工程應用。Underlying the assumption that the stock price accords with the model of the stock price fluctuating sources, by comprehensivily applying the stochasitic differential theory and no - arbitriagc thcory, this paper, under the conditions that the risk - free rate r is constant or ito stochasitic process, successively works out the option pricing about the stock price model with that the short - term profit function is piecewise lecture function arid that one with that the short - term profit function is possion jump process, derivats counterpart partial differential equation of option pricing. the outcome states : 1. when the short - term profit function is unusual flunctuating sources bring out a piecewise lecture function, this amendment on the lognormal distribution model does not improve the option price, because this partial differential equation of option pricing is the same one underlying the lognormal distribution model ( see equation 2. 14 )
本文基於股價符合波動源模型的假設，綜合運用隨機微分理論等數學原理和無套利理論等金融理論，依此對短期收益率函數為分段階梯函數和possion跳躍過程的股價波動源模型分別在無風險利率是常數和隨機過程的條件下作了期權定價，推導出了相應的期權定價偏微分方程，結果表明： 1 、由異常波動源帶來的短期收益率函數是分段階梯函數時，這種對股價對數正態分佈模型的修正不能改善期權價格，因為基於這種模型的期權定價偏微分方程與基於股價對數正態分佈模型的期權定價偏微分方程完全相同（見方程2 . 14 ） 。分享友人