We study dynamic measure of risk problem in incomplete market when stock appreciation rates are uncertainty. We also study a related stochastic game problem.
本文讨论不完全市场中股票收益率不确定时的动态风险度量问题和一个相关的随机对策问题。
Mixed Poisson Random Measure is its accurate description. The record values form a Poisson Measure and the record times are asymptotically Poisson stochastic process.
混合泊松随机测度正是其一个精确刻划，记录值可形成泊松随机测度，而记录时间可用泊松随机过程很好地逼近。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价。
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