SUPERMARTINGALE

作品数：8被引量：3H指数：1
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相关领域：理学更多>>
相关作者：任耀峰更多>>
相关机构：中国人民解放军海军工程大学更多>>
相关期刊：《Journal of Donghua University(English Edition)》《Acta Mathematicae Applicatae Sinica》《Probability, Uncertainty and Quantitative Risk》《Chinese Annals of Mathematics,Series B》更多>>
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Optimal stopping in predictable setting
《Probability, Uncertainty and Quantitative Risk》2023年第4期485-498,共14页Siham Bouhadou Astrid Hilbert Youssef Ouknine 
In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping times.We ai...
关键词：Optimal stopping SUPERMARTINGALE Predictable stopping time Admissible family REWARD 
On the Ratio Inequalities for Locally Square Integrable Martingales
《Journal of Mathematical Research and Exposition》2004年第1期64-69,共6页任耀峰 
Science Research Foundation of Naval University of Engineering(E307).
In this paper, we establish some ratio inequalities for locally square inte-grable martingales, and give some extensions of the related results for continuous local martingales.
关键词：stopping time locally square integrable martingale SUPERMARTINGALE ratio inequality. 
Nonlinear Doob—Meyer Decomposition with Jumps被引量：1
《Acta Mathematica Sinica,English Series》2003年第1期69-78,共10页QingQuanLIN 
Concepts of g-supersolution, g-manrtingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to t...
关键词：g SUPERSOLUTION g SUPERMARTINGALE Poisson process Nonlinear Doob Meyer decomposition 
Riesz Decomposition Theorems for Continuous-time Fuzzy Supermartingales
《Journal of Donghua University(English Edition)》2001年第3期20-23,共4页Feng Yuhu(冯玉瑚) 
Compared with discrete- time fuzzy supermartingales, the structure and the properties of trajectories for continuous-time fuzzy supermartingales are more complex. This paper focuses on Riesz decomposition for continuo...
关键词：FUZZY number  FUZZY martingale  FUZZY SUPERMARTINGALE   FUZZY potential  RIESZ decomposition. 
Decomposition Theorems for Semi-order Fuzzy Supermartingales and Submartingales
《Journal of China Textile University(English Edition)》2000年第2期96-99,共4页冯玉瑚 
Based on semi - order fuzzy supermaringales andsubmartingales, the semi- order fuzzy supermartingaleand submartingale theory is developed. The main resultis to generalize the Doob decomposition and the Riesz de-compos...
关键词：Semi - order FUZZY SUPERMARTINGALE submartin-gale Doob DECOMPOSITION RIESZ DECOMPOSITION . 
Semi-order Fuzzy Supermartingales and Submartingales
《Journal of China Textile University(English Edition)》2000年第1期9-13,共5页冯玉瑚 
There are some mathematical models(see Example2.4)and analogous results in standard martingale theorywhich can not be described by the usual fuzzy martingaletheory because of the lack of corresponding semi-orderin the...
关键词：FUZZY number FUZZY random variable semi -order FUZZY SUPERMARTINGALE SUBMARTINGALE Doob’s stop-ping theorem. 
PRICING AND HEDGING OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
《Acta Mathematicae Applicatae Sinica》1999年第2期144-152,共9页王桂兰 
This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplet...
关键词：American contingent claim incomplete market pricing  numeraire SUPERMARTINGALE 
THE STRONG LAW FOR THE P-L ESTIMATE IN THE LEFT TRUNCATED AND RIGHT CENSORED MODEL (I)被引量：2
《Chinese Annals of Mathematics,Series B》1998年第3期341-348,共8页HE SHUYUAN 
For the model with both left truncation and right censoring,suppose all the distributions are continuous. It is proved that the sampled cumulative hazard function Λ n and the product-limit estimate F n are stro...
关键词：Left truncation and right censoring Product-limit estimate Strong law of large numbers Reversed supermartingale 
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