Markov process functionals in finance and insurance  

作　　者：GENG Xian-min LI Liang 

机构地区：[1]College of Sci., Nanjing Univ. of Aeronautics & Astronautics, Nanjing 210016, China [2]Dept. of Appl. Math., Nanjing Audit Univ., Nanjing 210029, China

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2009年第1期21-26,共6页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China (10671197)

摘　　要：The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.

关 键 词：Markov process functional process with independent increments risk process 

分 类 号：O211.6[理学—概率论与数理统计] TN929.5[理学—数学]