随机投资收益风险过程的一个标注  

A Note on Risk Process with a Stochastic Return on Investments

作　　者：戴洪帅[1] 唐沧新[2] 

机构地区：[1]广西大学数学与信息科学院,广西南宁530004 [2]广西财经学院信息与统计学院,广西南宁530003

出　　处：《河南科技大学学报（自然科学版）》2014年第1期101-104,8,共4页Journal of Henan University of Science And Technology:Natural Science

基　　金：国家自然科学基金项目(11226141;11061002);广西自然科学基金项目(2012GXNSFBA053010)

摘　　要：构造了一类更广泛的带随机投资收益的风险过程。利用停时定理以及伊藤公式,研究此类过程的生存概率的相关性质。给出了生存概率的积分表示,证明了其连续性。同时,给出了其二次连续可微的条件并得到了其生存概率的连续性满足的积分微分方程。In this paper,a more general risk process with a stochastic return on investments was constructed. By the stopping theorem and Ito formula,the non-ruin probability of this process was discussed. The non-ruin probability is continuous. The conditions that the non-ruin probability is twice continuously differentiable are got. The integro-differential equation is satisfied by the non-ruin probability.

关 键 词：生存概率 随机投资收益 微分积分方程 

分 类 号：O211.6[理学—概率论与数理统计] F224[理学—数学]