| 区间值马氏过程及区间值鞅 |
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| 引用本文： | 袁征.区间值马氏过程及区间值鞅[J].安阳师范学院学报,2013(5):22-24. |
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| 作者姓名： | 袁征 |
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| 作者单位： | 安阳工学院土木与建筑工程学院,河南安阳455000 |
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| 摘 要： | 本文首先在概率空间（Ω,A,P）上研究了几个相关σ代数,通过二维随机变量的σ代数与随机区间的σ代数等价性,得到了区间值马氏过程与二维马氏过程的等价性.进而研究了区间值鞅的一些性质并证明了区间值鞅的停时定理.通过对区间值鞅的研究,使复杂问题简单化,它在金融领域有很重要的实际意义.
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| 关 键 词： | 二维马氏过程 区间值鞅 停时定理 |
Interval-valued Markov Processes and Interval Valued Martingale |
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| YUAN Zheng.Interval-valued Markov Processes and Interval Valued Martingale[J].Journal of Aayang Teachers College,2013(5):22-24. |
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| Authors: | YUAN Zheng |
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| Institution: | YUAN Zheng (School of Civil and Architectural Engineering ,Anyang Institute of Technology, Anyang 455000, China ) |
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| Abstract: | Firstly, this paper discusses a few related algebra on σ in the probability space （Ω,A,P）, the e-quivalency of the Markov process and the two dimensional Markov process can be determined by studying the equivalency between the two dimensional random variable algebra cr and random interval variable algebra σ. On that basis, this paper furthermore explores some properties of the interval valued martingale and then proves the stopping theorem of interval valued martingale. The study of the interval valued martingale is very meaningful in financial field because it can simplify complex problems. |
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| Keywords: | Dimensional Markov process Interval valued martingale Stopping Theorem |
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