国家自然科学基金(11231005)

作品数：18被引量：54H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>>
-
在结果中检索

检索结果分析

结果分析中...
选择条件：
  • 主题=STOCHASTICx
共 条 记 录，以下是1-3
全选清除导出
参考文献引证文献引用追踪
视图：
排序：
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 
Forward-backward doubly stochastic differential equations and related stochastic partial differential equations被引量：6
《Science China Mathematics》2012年第12期2517-2534,共18页ZHU QingFeng SHI YuFeng 
supported by National Natural Science Foundation of China (Grant Nos. 10771122, 11071145, 10921101 and 11231005);Natural Science Foundation of Shandong Province of China(Grant No. Y2006A08);National Basic Research Program of China (973 Program) (Grant No. 2007CB814900);Independent Innovation Foundation of Shandong University (Grant No. 2010JQ010)
The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations （FBDSDEs）. It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique ...
关键词：forward-backward doubly stochastic differential equations BRIDGE measurable solution stochasticpartial differential equations 
Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk被引量：1
《Science China Mathematics》2012年第11期2335-2346,共12页QIAN LinYi WANG RongMing WANG Shuai 
supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005);Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300);Humanity and Social Science Youth Foundation of Ministry of Education of China (Grant No. 12YJC910006);Doctoral Program Foundation of the Ministry of Education of China (Grant No. 20110076110004);Program for New Century Excellent Talents in University (Grant No. NCET-09-0356);the Fundamental Research Funds for the Central Universities
This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point...
关键词：compound poisson process Levy process stochastic mortality REGIME-SWITCHING equity-indexedannuity 
全选清除导出
共1页<1>
检索报告 对象比较 聚类工具 使用帮助 返回顶部