谱负MAP波动理论的一个注记  

A Note on Fluctuation Theory of Spectrally Negative MAP

作　　者：张超权[1] 唐胜达[2] 秦永松[2] 

机构地区：[1]桂林航天工业学院信息工程系,中国桂林541004 [2]广西师范大学数学科学学院,中国桂林541004

出　　处：《湖南师范大学自然科学学报》2014年第2期78-83,共6页Journal of Natural Science of Hunan Normal University

基　　金：国家自然科学基金资助项目(11271088);广西教育厅科研资助项目(201106LX067)

摘　　要：谱负MAP是应用概率论领域的重要内容之一.利用Asmussen-kella鞅推广了谱负MAP(X,J)的波动理论,给出谱负MAP在与之独立且服从Erlang分布的随机时刻点上水平与极值的联合变换所满足的等式,进而由Erlangization方法,给出谱负MAP(X,J)的水平与极值的联合变换的瞬时趋近算法.Spectrally negative MAP is one of the important contents in the probability. The fluctuation theory of the spectrally negative MAP（X, J） is generalized by the means of the Asmussen-kella martingale. The equations that satisfied by the joint transforms of the level and the extremum of the spectrally negative MAP at an independent Erlang distributed time are discussed. Furthermore, by the Erlangization method, the approximation algorithm of trancient joint transform of the level and the extremum of the spectrally negative MAP is obtained.

关 键 词：谱负MAP 波动理论 Erlangization方法 趋近计算式 

分 类 号：O211.5[理学—概率论与数理统计]