Adomian分解下非齐次Black-Scholes方程的算子级数解  

An operator series solution of non-homogeneous Black-Scholes equation based on Adomian decomposition

作　　者：丁会敏[1] 何传江[1] 殷涛[1] 

机构地区：[1]重庆大学数学与统计学院,重庆401331

出　　处：《云南大学学报（自然科学版）》2013年第6期738-743,共6页Journal of Yunnan University(Natural Sciences Edition)

基　　金：重庆市科委自然科学基金计划资助项目(CSTC;2010BB9218)

摘　　要：研究了带有终值条件并且系数依赖时间和空间的非齐次Black-Scholes方程.在Adomian分解法的基础上,得到它的含有算子形式迭代的一般级数解.We investigate the non - homogeneous Black - Scholes equation with a given final value condi tion, in which the coefficients are time and space - dependent. A general operator series solution for this final val ue problem is obtained via Adomian decomposition. It generalized the main result in the literature.

关 键 词：BLACK-SCHOLES方程 Adomian分解 算子 级数解 

分 类 号：O211.6[理学—概率论与数理统计]