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There are 13 papers published in subject: > since this site started. |
Results per page: | 13 Total, 2 Pages | << First < Previous 1 2 |
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1. Multidimensional g-expectations and Risk Measures | |||
xu yuhong | |||
Mathematics 02 October 2008 | |||
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Abstract:This paper proposes a notion of multidimensional g-expectations which provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem of multidimensional backward stochastic differential equations, necessary and sufficient conditions are given for the constancy, monotonicity and positivity properties of multidimensional g-expectations; we also prove that a multidimensional risk measure introduced by multidimensional g-expectation is concave if and only if the generator g satisfies a concave-like condition. | |||
TO cite this article:xu yuhong. Multidimensional g-expectations and Risk Measures[OL].[ 2 October 2008] http://en.paper.edu.cn/en_releasepaper/content/24507 |
2. Unified characteristic numbers and solutions of equations for birth and death processes with barriers | |||
Yang xiangqun ,Wang hesong | |||
Mathematics 09 January 2007 | |||
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Abstract:The state 0 of a birth and death process with state space E={0,1,2,…} is a barrier which can be divided into four kinds: reflection ,absorption , leaping reflection ,quasi-leaping reflection. For the first, second and fourth barriers , the characteristic numbers of different forms have been introduced respectively .In this paper the unified characteristic numbers for birth and death processes with barriers were introduced , the related equations were solved and the solutions were expressed by unified characteristic numbers. This paper is a basic work solving probability construction problem of birth and death processes with leaping reflection barrier and quasi-leaping reflection barrier. | |||
TO cite this article:Yang xiangqun ,Wang hesong. Unified characteristic numbers and solutions of equations for birth and death processes with barriers[OL].[ 9 January 2007] http://en.paper.edu.cn/en_releasepaper/content/10637 |
3. The multi-dimensional weak convergence of moving average processes and its application | |||
Lin Zhengyan,Li Degui | |||
Mathematics 28 February 2006 | |||
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Abstract:Letting X_i=\sum\limits_{k=0}^{\infty}a_{k}\varepsilon_{i-k}, where {a_k} is a sequence of real numbers and {\varepsilon_{i}, -\infty<i<\infty} is a doubly infinite sequence of i.i.d. random variables, the multi-dimensional weak convergence of partial sum processes of {X_i, i\geq1} is studied. We consider the case of \theta=1 in Mielniczuk (1997) | |||
TO cite this article:Lin Zhengyan,Li Degui. The multi-dimensional weak convergence of moving average processes and its application[OL].[28 February 2006] http://en.paper.edu.cn/en_releasepaper/content/5427 |
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