国家自然科学基金(11231005)

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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 
Risk-minimizing Hedging Strategy for an Equity-indexed Annuity under a Regime Switching Model
《Acta Mathematicae Applicatae Sinica》2015年第1期101-110,共10页Lin-yi QIAN Wei WANG Rong-ming WANG 
Supported by National Natural Science Foundation of China(11231005,11301189);Humanity and Social Science Youth Foundation of Ministry of Education of China(12YJC910006,12YJC910009);Doctoral Program Foundation of the Ministry of Education of China(20130076120007,20110076110004);Shanghai Municipal Natural Science Foundation(12ZR1408300);Program of Shanghai Subject Chief Scientist(14XD1401600);the 111 Project(B14019);Zhejiang Provincial Natural Science Foundation of China(LQ12A01006)
The equity-indexed annuity （EIA） contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the E...
关键词：equity-indexed annuity regime switching  risk-minimization 
A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients被引量：3
《Acta Mathematicae Applicatae Sinica》2014年第4期965-976,共12页Qing-feng ZHU Yu-feng SHI 
Supported by the National Natural Science Foundation of China(Nos.11371226,11071145,11301298,11201268 and 11231005);Foundation for Innovative Research Groups of National Natural Science Foundation of China(No.11221061);the 111 Project(No.B12023);Natural Science Foundation of Shandong Province of China(ZR2012AQ013)
In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations （BDSDEs） with coefficients left-Lipschitz in y （may be discontinuous） and Lipschitz in z is studied. Als...
关键词：backward doubly stochastic differential equations backward stochastic integral comparisontheorem 
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