| 截尾变量均值和概率的矩界(英文) |
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| 引用本文： | 刘国庆,王敏慧.截尾变量均值和概率的矩界(英文)[J].黑龙江大学自然科学学报,2010,27(1). |
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| 作者姓名： | 刘国庆 王敏慧 |
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| 作者单位： | 1. 哈尔滨工业大学数学系,哈尔滨,150001
2. 哈尔滨师范大学文理学院,哈尔滨,150300 |
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| 基金项目： | the Natural Science Foundation of China，黑龙江省自然科学基金 |
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| 摘 要： | 对给定随机变量Xi∈0,M](i=1,2)具有EXi=μi,EX2i=μ2i+σi2(i=1,2)和EX1X2=μ1μ2+σ12,得到了截尾变量max(0,X1-X2)的均值的矩界,还得到了概率的上界。这些问题来源于欧氏期权,欧氏互换期权等的研究。所用方法基于用二次函数控制待估函数。
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| 关 键 词： | 对偶 矩问题 欧氏期权 欧氏互换期权 凸优化 |
Bounds on probability and mean for truncated random variables |
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| LIU Guo-qing,WANG Min-hui.Bounds on probability and mean for truncated random variables[J].Journal of Natural Science of Heilongjiang University,2010,27(1). |
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| Authors: | LIU Guo-qing WANG Min-hui |
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| Abstract: | Given any random variables Xi∈0,M]with E X_i=μ_i, E X_i~2 =μ_i~2+σ_i~2(i = 1,2) and E X_1X_2 =μ_1μ_2+σ_(12), various bounds are derived on the mean of the truncated random variable max (0,X_1-X_2). Also explicit upper bound on probability is presented. These results are motivated by questions associated with European exchange option and European call option. The techniques are based on domination by quadratic functions. |
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| Keywords: | duality moment problems European call option European exchange option convex optimization |
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