| 右连续信息域下连续半鞅的方差最优鞅测度 |
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| 引用本文： | 李晓春,张谨.右连续信息域下连续半鞅的方差最优鞅测度[J].河南科学,2009,27(6). |
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| 作者姓名： | 李晓春 张谨 |
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| 作者单位： | 1. 河南师范大学数学与信息科学学院,河南,新乡,453007
2. 郑州师范高等专科学校数学系,郑州,450044 |
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| 摘 要： | 在右连续信息域下,对连续半鞅的方差最优鞅测度进行了研究.采用构造密度比过程的方法,得到了密度比过程所满足的倒向随机微分方程.并证明了根据此方程的解构造的测度必定是方差最优鞅测度.这些结论对于自融资投资策略的研究是非常重要的.
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| 关 键 词： | Holder不等式 方差最优鞅测度 密度比过程 倒向随机微分方程 |
The Variance-Optimal Martingale Measure for Continuous Semimatingale on the Right Continuous Information Field |
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| Li Xiaochun,Zhang Jin.The Variance-Optimal Martingale Measure for Continuous Semimatingale on the Right Continuous Information Field[J].Henan Science,2009,27(6). |
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| Authors: | Li Xiaochun Zhang Jin |
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| Institution: | 1.College of Mathematics and Information Science;Henan Normal University;Xinxiang 453007;Henan China;2.Department of Mathematics;Zhengzhou Teachers College;Zhengzhou 450044;China |
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| Abstract: | This paper investigates the variance-optimal martingale measure for continuous semi-martingale on the right continuous information field.We introduce the density-ratio process,build the backward stochastic differential equation for the density-ratio process and prove that the measure constructed by the solution of this equation must be the variance-optimal martingale measure.These results are valuable for the self-financing investment strategy. |
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| Keywords: | Holder inequality variance-optimal martingale measure density-ratio process backward stochastic differential equation |
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