martingale 中文意思是什麼

martingale 解釋
n. 名詞 馬頷韁；鞅； 【造船】第二斜桅的下方支索；輸后加倍下注的賭法。

  1. The martingale analysis in the multiresolution analysis under the haar scaling function and its application in the signal processing

    尺度函數下多分辨分析的鞅性及其在信號處理中的應用
  2. Martingale method and a class of strong deviation theorems

    鞅方法與一類強偏差定理
  3. Optimal design of multi - section circular arc limited martingale

    多段圓弧極靴優化設計問題
  4. The martingale approach is applied to prove a class of strong limit theorems

    用鞅方法證明一類強極限定理
  5. Maximum problem of both consumption and termindl wealth by martingale method

    消費和終端財富最大化的鞅方法
  6. A note on moment convergences for b - valued martingale random variables

    值同分佈鞅隨機變元序列矩收斂的注記
  7. On the relationship of optimal growth portfolio and martingale measure

    最優增長投資組合與等價鞅測度之間的關系
  8. A class of stationary impulse stochastic control with state of semi - martingale

    一類半鞅狀態的平穩型脈沖隨機控制
  9. The analysis involves martingale theory, optimal stopping, stochastic control problem and convex analysis. as for the general incomplete financial market, the upper - and lower - hedging prices of arbitrage - free interval are obtained. the quisimartingales decomposition has been proved

    藉助于鞅論，最優停時，隨機控制和凸分析等理論與方法，就一般的非完備金融市場，未定權益的估值得以研究，並且我們求出了上、下保值價格。
  10. In chapter 1, we briefly reviewed the risk theory and its development. and the significance about this paper was expressed. in chapter 2, we introduced classical risk model. in which, making this risk process into a strong markovian process is the preparation of deriving the main results. chapter 3 is the main body of the paper, we derived the results about general ruin probability in a kind of continuous time risk model with deficit - time geometry distribution of claim inter - occurrence time. the martingale approach is a good procedure to get the expression of ruin probability about a class of continuous time risk models with deficit - time geometry distribution of claim inter - occurrence time. we also take advantage of change of measure idea from it

    第二章介紹了經典風險模型，其中用逐段決定馬爾可夫過程理論及補充變量技巧，使一類風險模型的盈餘過程成為齊次強馬爾可夫過程。第三章作為本文的主體部分，在索賠到達間隔服從虧時幾何分佈的連續時間風險模型中，索賠額分佈為一般分佈，它的破產概率可以利用pdmp中的廣義生成運算元得出鞅，通過調節系數的選擇以及在相應測度下的測度變換，使得破產概率的一般解可以表示出來。
  11. In the study of risk theory, a class of continuous time risk process with deficit - time geometry distribution of claim inter - occurrence time was made into a strong piecewise - deterministic markov process with the theory of piecewise - deterministic markov process and by introducing a supplementary variable. martingale approach is one of the most powerful methods of pdmp. the programming process is getting the ruin probability from the martingale construction. we use the idea of change of measure in the programming process and find the result and the function of adjustment coefficient

    本文應用逐段決定馬爾可夫過程理論及補充變量技巧，使索賠到達間隔服從虧時幾何分佈的連續時間風險過程成為齊次強馬爾可夫過程，然後利用pdmp中的鞅方法（用廣義生成運算元得出鞅）推導了鞅的形式，作為該風險模型索賠額分佈為一般分佈下的破產概率的一般表達式，其中用到了測度變換的思想。
  12. This risk process is made into a homogeneous piecewise deterministic markov process by introducing supplementary components from forward markovization technique. then a martingale is found by the martingale approach of piecewise deterministic markov process ( pdmp ). the general expression and the lundberg bound of the ruin probability are derived subsequently. the idea of change of the probability measure and the adjustment coefficient are used to find the lundberg bound

    首先利用向前馬爾可夫技巧使此風險過程成為齊次馬爾可夫過程，然後利用逐段決定馬爾可夫過程（ pdmp ）中的鞅方法，得到本文風險模型中鞅的形式，繼而求得索賠額分佈為一般離散分佈的破產概率的一般表達式，並得到破產概率的lundberg界，這里用到了測度變換的思想，從中可以看出調節系數的重要作用。
  13. On this basis, the paper mainly proves that the value process { v ( t tl h, s ) ; 0 t t } of european continuous - time knock - out double - barrier put option is a martingale in the complete market without transaction costs, and the martingale property of single - barrier put option is given. at the same time, the pricing problem of american knock - out double - barrier put option is also being discussed, and the formula for determining its value at any time t ( 0 t t ) is obtained

    在此基礎上，本文主要證明了在不存在交易成本的完全市場條件下連續時間歐式觸銷式雙障礙賣權貼現到0時刻的價值過程{ v （ t _ l _ h ， s _ （ t _ l _ h ） ） ； 0 t t ） }為鞅，並且給出了對應單障礙賣權價值過程的鞅性質。
  14. Provided that stock price process is a jump - diffusion process, the rate of return and the volatility are functions of time, the pricing formula of exponential european jump option can be obtained with the principle of equivalent martingale measure

    摘要假定股票價格過程服從跳躍擴散過程，且無風險利率，股票收益率、波動率均為時間函數，利用等價鞅測度方法得出了支付函數為冪型的歐式期權定價公式。
  15. Using equivalence martingale probability measure given permission to be installed once and twice with the european style options pricing formula, and focus on exploring the options pricing technically allowed to be loaded with a european - style options for the manager incentive options with the standard incentive comparative analysis

    利用等價鞅概率測度給出允許再裝一次和兩次的歐式再裝期權的定價公式，並著重從期權定價技術上探討允許再裝一次的歐式再裝期權用於經理激勵與標準期權的激勵比較分析。
  16. In the first chapter, we narrate the characteristic of convertible bond, give some clues about development and actuality of the market and its pricing theory ; in the second chapter, we introduce modeling idea and some material problems in the model in detail, draw the yield curve which is very important to the model by spline method ; in the third chapter, we first explain the basic idea and convergent speed of monte carlo method, then, give the mathematical description for financial market, prove equivalence of non - arbitrage market, existence of risk neutral probability measure in the market and the price process of underlying asset is a martingale ; in the forth section, we introduce how to simulate stock price path by monte carlo method in detail, based on foregoing result, we prove the path is a martingale, thereby, the model is logical

    本文第一章先對可轉債的特點、市場發展和現狀及其定價理論的發展和現狀作一概述;第二章詳細介紹了建模思想和模型中的一些具體問題，利用spline方法繪出了在模型中具有重要作用的收益曲線;第三章首先敘述了montecarlo方法的基本思想和有關其收斂速度的一些性質，然後從數學的角度給出了對金融市場的描述，證明了市場無套利、市場存在風險中性概率測度及標的資產價格過程為鞅的等價性;在第四節中，對用montecarlo方法模擬的帶跳股價路徑作了詳細介紹，並利用前兩節的結論證明了模擬的帶跳股價路徑為一個鞅過程，從而保證了模型在理論上的合理性。
  17. In this paper, the notion of likelihood ratio, as a measure of deviation between a sequence of the arbitrary random variables and a sequence of independent random variables with different distributions, is introduced. a class of strong deviation theorems represented by inequalities are given on a subset of the sample space by constructing a negative supermartingale and using martingale convergence theorem

    本文通過引進似然比作為相依隨機變量序列相對于服從不同分佈的獨立隨機變量序列的偏差的一種度量，並通過構造一個非負上鞅，利用鞅收斂定理給出了樣本空間的一個子集上的一類用不等式表示的強偏差定理。
  18. Q ( t ) ) dt + ( t ) dwtq ], and the interest rate of the riskless asset 、 the volatility rate and the dividend rate of stock are non - random functions of time, the pricing formula of two - points reset option is obtained by using martingale and stochastic analysis knowledge 。 following the thought of merton, chapter five depicts the asset price motion with ito

    Q （ t ） ） dt + （ t ） dwtq ] ，且無風險利率、股息率以及波動率為時間的非隨機函數，並藉助鞅和隨機分析知識給出了兩點重設型期權的定價公式。第五章按照merton的思想，用以下ito
  19. By the exponential of martingale, the strong consistency and uniform strong consistency in finite closed interval are be obtained, which improve the results in [ 5 ]

    利用軟的某種指數不等式，得到了其加權核估計的強相合以及在有限閉區間內一致強相合的性質，並在某種意義上推廣了[ 5 ]的結果。
  20. On the assumption of continuous dividend of shares award, we ' ll establish such a model in the way that continuous dividend rates is attached to shares option pricing in jump process and work out the formula of average relationship between the rising and falling option and european rising option pricing all through martingale theory and stochastic analysis

    摘要假定在股票支付連續紅利率的情況下，我們將建立支付連續紅利率服從跳過程的股票期權定價模型，並利用鞅論和隨機分析的方法給出歐式看漲期權定價模型及看漲和看跌期權的平價關系式。
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