This paper develops a continuous time model by means of the BSDE methodology, in order to price risky assets in terms of the real probability measure.
本文利用倒向随机微分方程研究了连续时间下基于可交易证券的风险资产定价模型。
In this paper, a direct procedure for estimating the parameters of a continuous-time model of a dynamical stochastic system is presented.
本文提出一种在频率域内直接估计随机动态系统的连续时间模型参数的快速迭代算法。
In this paper, a direct procedure for estimating the parameters of a continuous-time model of a dynamical stochastic system is presented.
本文提出一种在频率域内直接估计随机动态系统的连续时间模型参数的快速迭代算法。
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