| 多维Q-过程的漂移测度和Girsanov变换 |
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| 引用本文： | 邓迎春.多维Q-过程的漂移测度和Girsanov变换[J].湘潭大学自然科学学报,1993,15(4):22-34. |
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| 作者姓名： | 邓迎春 |
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| 作者单位： | 益阳师专数学系 |
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| 摘 要： | 本文引入Q-过程的漂移测度概念,用计数过程恰当地刻划了一般Q-过程,井证明了漂移测度对Q-过程的唯一决定性.同时,用Poisson型计数过程的积分表出了Q-过程的Radon-Nikodym导数,得了类似于扩散过程中的Girsanov变换公式。
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| 关 键 词： | Q-过程 Poisson点过程 计数过程 漂移测度 R-N导数 Girsanov变换 |
THE DRIFT MEASURES AND GIRSANOV TRANSFORMATIONS OF MULTIDIMENSIONAL Q-PROCESSES |
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| Deng Yingchun.THE DRIFT MEASURES AND GIRSANOV TRANSFORMATIONS OF MULTIDIMENSIONAL Q-PROCESSES[J].Natural Science Journal of Xiangtan University,1993,15(4):22-34. |
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| Authors: | Deng Yingchun |
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| Abstract: | In this paper by introducing the concept of drift measures
of Q-processes,we have proved that a Q-process is completely charac-
terized by a counting process and the drift measure uniquely deter-
mines the Q-process.And we obtbin the representations of Radon-Niko-
dym derivative of Q-processes by the calculation of Poisson counting
process,which is simalar to Girsanov transformation formula in diffu-
ssion processes. |
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| Keywords: | Q-process Poisson counting process drift measure R-N derivative Girsanov transformation |
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