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SUBORDINATOR: 作品数：13被引量：4H指数：2; 导出分析报告; 相关作者：冯敬海更多>>; 相关机构：大连理工大学更多>>; 相关期刊：《高校应用数学学报（A辑）》《Science China Mathematics》《Acta Mathematicae Applicatae Sinica》《Acta Mathematica Scientia》更多>>; 相关基金：国家自然科学基金浙江省自然科学基金安徽省自然科学基金更多>>

Piecewise constant martingales and lazy clocks: 《Probability, Uncertainty and Quantitative Risk》2019年第1期16-42,共27页Christophe Profeta Frederic Vrins; the Fonds de la Recherche Scientifique-FNRS under Grant J.0037.18.; Conditional expectations(like,e.g.,discounted prices in financial applications)are martingales under an appropriate filtration and probability measure.When the information flow arrives in a punctual way,a reasonable a...; 关键词：Time-change process Last passage time MARTINGALE Bounded martingale Jump martingale SUBORDINATOR

Further study on Hunt's hypothesis (H) for Lvy processes被引量：2: 《Science China Mathematics》2016年第11期2205-2226,共22页HU ZeChun SUN Wei; supported by National Natural Science Foundation of China (Grant No. 11371191);Natural Science and Engineering Research Council of Canada (Grant No. 311945-2013); Getoor＇s conjecture that essentially all Levy processes satisfy Hunt＇s hypothesis （H） is a long- standing open problem in potential theory. In the beginning of the paper, we summarize the main results obtained so ...; 关键词：Hunt＇s hypothesis （H） Getoor＇s conjecture Levy process SUBORDINATOR

MOMENTS OF PASSAGE TIMES AND ASYMPTOTIC BEHAVIOR OF INCREASING SELF-SIMILAR MARKOV PROCESSES: 《Acta Mathematica Scientia》2015年第6期1426-1436,共11页胡巍刘禄勤; supported in part by the National Natural Science Foundation of China(11171262;11171263); By using Lamperti＇s bijection between self-similar Markov processes and L@vy processes~ we prove finiteness of moments and asymptotic behavior of passage times for increasing self-similar Markov processes valued in ...; 关键词：self-similar process Markov process Levy process SUBORDINATOR passage time MOMENT

Branching particle systems in spectrally one-sided Levy processes: 《Frontiers of Mathematics in China》2015年第4期875-900,共26页Hui HE Zenghu LI Xiaowen ZHOU; Hui He wanted to thank Concordia University for his pleasant stay at Montreal where this work was done. The authors would like to thank Professor Wenming Hong for his enlightening discussion. They also would like to thank Amaury Lambert for suggesting the time reversal treatment of the model in Section 5. This work was supported in part by the National Natural Science Foundation of China （Grant Nos. 11201030, 11371061）, the Fundamental Research Funds for the Central Universities （2013YB59）, and the Natural Sciences and Engineering Research Council of Canada.; We investigate the branching structure coded by the excursion above zero of a spectrally positive Levy process. The main idea is to identify the level of the Levy excursion as the time and count the number of jumps up...; 关键词：Levy process spectrally one-sided SUBORDINATOR branchingparticle system non-local branching Crump-Mode-Jagers （CMJ） branchingprocess

A risky asset model based on Lvy processes and asymptotically self-similar activity time processes with long-range dependence: 《Science China Mathematics》2013年第11期2353-2366,共14页WANG DingCheng; supported by National Natural Science Foundation of China(Grant No.71271042);the Plan of Jiangsu Specially-Appointed Professors,the Jiangsu Hi-Level Innovative and Entrepreneurship Talent Introduction Plan and Major Program of Key Research Center in Financial Risk Management of Jiangsu Universities Philosophy Social Sciences(Grant No.2012JDXM009); In the paper, using Levy processes subordinated by ＇asymptotically self-similar activity time＇ pro- cesses with long-range dependence, we set up new asset pricing models. Using the different construction for gamma ...; 关键词：activity time asset pricing model asymptotical self-similarities gamma process inverse-gammaprocess L4vy process long-range dependence SUBORDINATOR

Multifractal structure of the product measure of two independent general subordinators'occupation measures: 《Science China Mathematics》2009年第8期1785-1795,共11页KONG LingTao HU XiaoYu; supported by National Natural Science Foundation of China(Grant No.10871200); In this paper, we mainly investigate the multifractal spectrum of the random measure derived from two independent general subordinators.; 关键词：general subordinator occupation measure Hausdor measure multifractal spetrum

A Second-order Fluid Queue with Subordinator Input and Markov-modulated Linear Output: 《Acta Mathematicae Applicatae Sinica》2009年第2期345-352,共8页Jin-zhi Li; Supported by the National Natural Science Foundation of China(No.10726063); We consider an infinite capacity second-order fluid queue with subordinator input and Markovmodulated linear release rate. The fluid queue level is described by a generalized Langevin stochastic differential equation ...; 关键词：Second-order fluid queue SUBORDINATOR Markov chain linear release rate

Polarity for a Class of Levy Processes被引量：2: 《Wuhan University Journal of Natural Sciences》2002年第4期394-398,共5页Wu Chuan ju 1,2 , Liu Lu qin 1 1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Hubei, China 2. College of Urban Construction, Wuhan University of Science and Technology, Wuhan 430070, Hubei, China; Polar set of Markov processes is an important concept in probabilistic potential theory, but it is not easy to judge the polarity of the sets. In this paper, we give some results which can be easily used to examine th...; 关键词：Levy process SUBORDINATOR (essentially) polar set polar function

The Multifractal Analysis of the Occupation Measure of a Lévy Process: 《Wuhan University Journal of Natural Sciences》2000年第3期253-256,共4页Hu Xiao\|yu Institute of Applied Mathematics, Chinese Academy of Sciences, Beijing 100080, China; Supported by the National Natural Science Foundation of China; We introduce the results on the multifractal structure of the occupation measures of a Brownian Motion, a stable process, a general subordinator and a stochastic process derived from random reordering of the Cantor se...; 关键词：occupation measure Levy process Brownian motion stable process SUBORDINATOR

关于Subordinator的指数与维数: 《高校应用数学学报（A辑）》1998年第4期427-432,共6页冯敬海; 浙江省自然科学基金; 设Ｘ（ｔ）是Ｒｄ（ｄ为正整数）中的Ｌｅｖｙ过程，本文首先对前人所定义的Ｘ（ｔ）的各种指数给出了另外一种刻划，事实上它们可以用极限的形式表达．这种刻划使得这些指数的几何意义非常明确．且适合于构造各种各样的例子．若Ｘ（ｔ...; 关键词：HAUSDORFF维数填充维数 LEVY过程 SUBORDINATOR

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