半鞅(Semimartingale)是概率论的概念。若一随机过程为一局部鞅和一适应的有界变差过程之和,则称该随机过程为一半鞅。半鞅的概念包含了众多常用的随机过程,扩充了伊藤积分的定义范围,从这个意义上说,半鞅是鞅和局部鞅的扩展。
misc. semimartingale
本文引进了H -值半鞅测度,研究了其基本性质和与之相联系的随机积分。
We also study stochastic integrals with respect to ff-valued semimartingale random measures and introduce the concept of vague convergence of H-valued semimartingale random measures.
我们进行了一个关于半鞅模型(包括流动和非流动资产在内)的效用最大化问题的稳定性分析。
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present.
建立了半鞅向量随机积分的一个结果,能方便处理可料过程在向量随机积分意义下对半鞅的分解随可料过程不同而不同的问题。
It establishes a result which can be easily applied to the problem derived from the different predictable process in the decomposition of semimartingales in the sense of vector stochastic integrals.
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