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Vasicek-Ornstein-Uhlenbeck过程概率性质研究
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：O211[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]天津科技大学理学院,天津300457, [2]天津科技大学金融工程与风险管理研究中心,天津300222, [3]天津科技大学经济与管理学院,天津300222
  • 相关基金：国家自然科学基金（11201335）
作者： 张立东[1,2], 张祥丽[3], 邱虹[3], 杜子平[2,3]
关键词： Vasicek-Ornstein-Uhlenbeck过程, 拉普拉斯变换, 迭代线性微分方程组, Vasicek-Omstein-Uhlenbeck process, Laplace transform, iterative linear differential equations
中文摘要：

通过构建微分方程计算出Vasicek-Ornstein—Uhlenbeck（VOU）过程的”阶原点距，并利用其各阶原点距给出VOU过程的拉普拉斯变换和特征函数．

英文摘要：

By the method of constructing differential equations, the moments of Vasicek-Ornstein-Uhlenbeck process are calculated, and finally the Laplace transform and the characteristic function are given by virtue of the moments of Vasicek-Omstein-Uhlenbeck process.

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期刊信息
  • 《南开大学学报：自然科学版》
  • 中国科技核心期刊
  • 主管单位:教育部
  • 主办单位:南开大学
  • 主编：田建国
  • 地址：天津南开区卫津路94号
  • 邮编：300071
  • 邮箱：
  • 电话：022-23501681
  • 国际标准刊号：ISSN：0465-7942
  • 国内统一刊号：ISSN：12-1105/N
  • 邮发代号:6-174
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,德国数学文摘,英国动物学记录,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:4822