| 带跳跃的分数布朗运动的经济模型 |
| |
| 引用本文： | 宋燕燕,王子亭.带跳跃的分数布朗运动的经济模型[J].淮阴工学院学报,2010,19(3):12-14. |
| |
| 作者姓名： | 宋燕燕 王子亭 |
| |
| 作者单位： | 中国石油大学,数学学院,山东,青岛,266555 |
| |
| 摘 要： | 讨论了跳跃幅度为均匀分布和收益函数为一次多项式的分数布朗运动环境下的经济模型。在收益函数R(x)=ax-b的情形下,利用分数次伊藤公式,求得了平均收益的最优解。
|
| 关 键 词： | 分数布朗运动 泊松过程 随机跳跃 |
The Economical Model of the Fractional Brownian Motion with Jumps |
| |
| SONG Yan-yan,WANG Zi-ting.The Economical Model of the Fractional Brownian Motion with Jumps[J].Journal of Huaiyin Institute of Technology,2010,19(3):12-14. |
| |
| Authors: | SONG Yan-yan WANG Zi-ting |
| |
| Affiliation: | ( Faculty of Mathematics,China University of Petroleum ,Qingdao Shangdong 266555,China) |
| |
| Abstract: | This paper mainly discusses the economical model of the Fractional Brownian motion with Poisson jumps. In the case of the reward function R（ x） = ax-b,the average optimum solutions of the reward by Itp formula are obtained. |
| |
| Keywords: | fractional Brownian motion Possion process random jump |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
