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国家自然科学基金(11231005): 作品数：18被引量：53H指数：4; 导出分析报告; 相关作者：林路范堃李秀丽朱力行李锋更多>>; 相关机构：山东大学华东师范大学江苏联合职业技术学院北京大学更多>>; 相关期刊：《系统科学与数学》《Science China Mathematics》《Acta Mathematicae Applicatae Sinica》《应用概率统计》更多>>; 相关主题：EXPECTATION英文STOCHASTICNONLINEARRELATED更多>>; 相关领域：理学经济管理更多>>

基于copula函数的纵向数据复合分位数回归及变量选择被引量：3: 《中国科学：数学》2020年第8期1097-1116,共20页王康宁李劭珉林路; 国家自然科学基金(批准号:11901356和11231005);山东省自然科学基金(批准号:ZR2017BA002)资助项目。; 复合分位数回归(composite quantile regression)具有稳健性好和估计效率高的优势,所以其经常被用来替代均值回归.众所周知,纵向数据具有组内相关的特点,如果估计过程中能正确地利用组内相关性,则可以显著地提高估计效率.因此,探讨纵向...; 关键词：复合分位数回归纵向数据 COPULA函数有效性变量选择

沪市公司财务报表信息响应时滞特性研究被引量：3: 《会计研究》2019年第5期82-88,共7页李秀丽; 国家自然科学基金重点项目《金融数学中的若干随机分析问题的研究》(11231005); 本文以沪市A股上市公司2007-2016年的财务报表数据和股票价格变动数据为样本,运用事件研究法与多元回归法对沪市信息响应的时滞特点进行分析。研究发现,资本市场对于利好消息与利空消息的反应是不对称的,其中利好信息对于市场的冲击更明...; 关键词：信息环境财务报表市场反应风险管控

Strong Laws of Large Numbers for Sublinear Expectation under Controlled 1st Moment Condition被引量：2: 《Chinese Annals of Mathematics,Series B》2018年第5期791-804,共14页Cheng HU; supported by the National Natural Science Foundation of China(Nos.11501325,11231005); This paper deals with strong laws of large numbers for sublinear expectation under controlled 1st moment condition. For a sequence of independent random variables,the author obtains a strong law of large numbers under...; 关键词：Sublinear expectation Strong law of large numbers INDEPENDENCE Identical distribution Choquet expectation

G-Brown运动的Strassen定理及Lévy连续模定理的统一形式: 《中国科学：数学》2018年第2期305-318,共14页何萍陈增敬张德飞; 国家自然科学基金(批准号:11231005和11301160);云南省中青年学术技术带头人后备人才(批准号:2015HB061);云南省自然科学基金(批准号:2013FZ116);红河学院科研(批准号:2014HB0204和14bs18)资助项目; Brown运动情形下的Strassen定理和Lévy's连续模定理在概率论中起着重要的作用,Muller在1981年给出了它们的统一形式.本文将Strassen定理和Lévy连续模定理推广到了G-Brown运动情形.该定理可以看作是关于G-Brown运动的Strassen定理和L...; 关键词：次线性期望容度 G-Brown运动 Strassen's定理 Lévy连续模定理

Strong laws of large numbers for sub-linear expectations被引量：26: 《Science China Mathematics》2016年第5期945-954,共10页CHEN ZengJing; supported by National Natural Science Foundation of China(Grant No.11231005); We investigate three kinds of strong laws of large numbers for capacities with a new notion of independently and identically distributed(IID) random variables for sub-linear expectations initiated by Peng.It turns out...; 关键词：capacity strong law of large numbers independently and identically distributed nonlinear expectation

均值波动率回归（英文）被引量：1: 《系统科学与数学》2015年第12期1383-1401,共19页林路李锋朱力行 HARDLE Wolfgang Karl; 国家自然科学基金项目(11171188,11571204,U1404104,11231005);河南省教育厅基础研究计划项目(14A110015);香港研究基金委员会项目;德国科学基金(CRC649)金融风险项目资助课题; 在无风险资产和有风险证券的离散时间资产定价问题中,常用包含相关的随机成分和非随机成分的增量过程模型来表示.受此启发,文章提出了一类融合了非随机和随机成分的半参数回归模型.与经典的回归模型不同,在此模型中均值回归函数包含了...; 关键词：非随机部分随机部分半参数回归均值方差

A Law of Large Numbers Under the Nonlinear Expectation被引量：1: 《Acta Mathematicae Applicatae Sinica》2015年第4期953-962,共10页Miao ZHANG Zeng-jing CHEN; Supported by the National Natural Science Foundation of China(No.11211061 and No.11231005);Natural Science Foundation of Shandong Province(No.ZR2013AQ021); In this paper, we derive a law of large numbers under the nonlinear expectation generated by backward stochastic differential equations driven by G-Brownian motion.; 关键词：law of large numbers nonlinear expectation backward stochastic differential equation

Linear quadratic stochastic integral games and related topics被引量：1: 《Science China Mathematics》2015年第11期2405-2420,共16页WANG TianXiao SHI YuFeng; supported by National Basic Research Program of China(973 Program)(Grant No.2011CB808002);National Natural Science Foundation of China(Grant Nos.11231007,11301298,11471231,11401404,11371226,11071145 and 11231005);China Postdoctoral Science Foundation(Grant No.2014M562321);Foundation for Innovative Research Groups of National Natural Science Foundation of China(Grant No.11221061);the Program for Introducing Talents of Discipline to Universities(the National 111Project of China's Higher Education)(Grant No.B12023); This paper studies linear quadratic games problem for stochastic Volterra integral equations(SVIEs in short) where necessary and sufficient conditions for the existence of saddle points are derived in two different wa...; 关键词：stochastic integral games backward stochastic Volterra integral equations stochastic Fredholm-Volterra integral equations saddle points linear quadratic optimal control problems

Optimal dividend and capital injection problem with a random time horizon and a ruin penalty in the dual model被引量：4: 《Applied Mathematics(A Journal of Chinese Universities)》2015年第3期325-339,共15页ZHAO Yong-xia YAO Ding-jun; Supported by the National Natural Science Foundation of China(11231005);Promotive research fund for excellent young and middle-aged scientists of Shandong Province(BS2014SF006);the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(15KJB110009); In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injec...; 关键词：dual model transaction cost DIVIDEND capital injection HJB equation

Invariance principles for the law of the iterated logarithm under G-framework被引量：8: 《Science China Mathematics》2015年第6期1251-1264,共14页WU PanYu CHEN ZengJing; supported by China Postdoctoral Science Foundation(Grant No.2013M541899);the Natural Science Foundation of Shandong Province of China(Grant Nos.ZR2013AQ021 and ZR2014AM002);National Natural Science Foundation of China(Grant Nos.11471190,11401414 and 11231005);the Natural Science Foundation of Jiangsu Province of China(Grant No.BK20140299); We obtain a general invariance principle of G-Brownian motion for the law of the iterated logarithm(LIL for short). For continuous bounded independent and identically distributed random variables in G-expectation spac...; 关键词：iterated logarithm invariance expectation Brownian continuity union satisfy automatically details

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