| 多维跳-扩散过程的稳定性 |
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| 引用本文： | 谷晓君,张启敏.多维跳-扩散过程的稳定性[J].宁夏大学学报(自然科学版),2006,27(4):297-300. |
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| 作者姓名： | 谷晓君 张启敏 |
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| 作者单位： | 宁夏大学,教学计算机学院,宁夏,银川,750021 |
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| 摘 要： | 跳-扩散过程被广泛地应用于随机模型中，在金融数学理论中经常用来描述期权的价格．对于多维跳-扩散过程，通过构造适当的Lyapunov函数得到了指数稳定性的充分条件，这是时已有结果的完善和推广．
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| 关 键 词： | 跳-扩散过程 指数稳定 Lyapunov函数 |
| 文章编号： | 0253-2328（2006）04-0297-04 |
| 收稿时间： | 2005-12-16 |
| 修稿时间： | 2005-12-16 |
Stability for Multidimensional Jump-diffusion Processes |
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| Gu Xiaojun,Zhang Qimin.Stability for Multidimensional Jump-diffusion Processes[J].Journal of Ningxia University(Natural Science Edition),2006,27(4):297-300. |
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| Authors: | Gu Xiaojun Zhang Qimin |
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| Institution: | School of Mathematics and Computer Science, Ningxia University, Yinchuan 750021, China |
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| Abstract: | The jump-diffusion process is one of the useful stochastic models which appears frequently in many appliestions. In mathematical finance theory, one of the principal interest is focused on option pricing. The aim of this work is to obtain sufficient conditions for stability of multidimensional jump-diffusion processes in the sense of exponential stability. The technique employed is to construct appropriate Lyapunov functions. This result is an improvement and extension of the existing results. |
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| Keywords: | jump-diffusion processes exponential stability Lyapunov function |
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