σ-代数下条件期望的若干应用  

Some Applications of Conditional Expectation Based on σ-algebra

作　　者：王亚军[1] 张艳[1] Wang Yajun Zhang Yan(China University of Mining and Technolog)

机构地区：[1]中国矿业大学

出　　处：《哈尔滨师范大学自然科学学报》2016年第3期1-3,共3页Natural Science Journal of Harbin Normal University

基　　金：国家自然科学基金(51204177)

摘　　要：条件期望在现代随机数学中有着重要的理论价值,该文介绍了σ-代数和条件期望的一般概念,从数学期望、博弈中的公平性和标准期权的定价三个方面给出了基于σ-代数条件期望的应用.Conditional expectation has important theoretical value in modern stochastic mathematics. In this paper, the general concept of algebraic and conditional expectation is introduced. Three applications of σ - algebra conditional expectation are given, and mathematical expectation, fairness of the game and pricing of the standard option are included.

关 键 词：Σ-代数 条件期望 公平博弈 期权定价 

分 类 号：O211.67[理学—概率论与数理统计]