| 引用本文: | 屈田兴,金治明.关于半鞅的可料表示性.[J].国防科技大学学报,2010,32(1):159-162.[点击复制] |
| QU Tianxing,JIN Zhiming.On the Semi-martingale Predictable Representation[J].Journal of National University of Defense Technology,2010,32(1):159-162[点击复制] |
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| 关于半鞅的可料表示性 |
| 屈田兴, 金治明 |
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(国防科技大学 理学院，湖南 长沙 410073)
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| 摘要: |
| 利用鞅空间H1的泛函表示定理、泛函分析中的Hahn-Banach定理、半鞅向量随机积分的Girsanov定理，获得了半鞅可料表示性的特征。由于使用的是半鞅的向量随机积分,它推广了经典的结论。 |
| 关键词: 半鞅 H1鞅 局部鞅 局部绝对连续的概率测度 鞅变换 可料表示性 |
| DOI： |
| 投稿日期：2009-09-20 |
| 基金项目:国家自然科学基金资助项目(60673090) |
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| On the Semi-martingale Predictable Representation |
| QU Tianxing, JIN Zhiming |
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(College of Science, National Univ. of Defense Technology, Changsha 410073, China)
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| Abstract: |
| The characteristics for semi-martingale predictable representation are obtained (theorem2.2), which is derived from the functional representation theorem in martingale space, the Hahn-Banach theorem in functional analysis, and the Girsanov theorem for the semi-martingale vector stochastic integral. In light of the semi-martingale vector stochastic integral used, this method is a generalization of the classical result． |
| Keywords: semi-martingale H1 martingale local martingale local absolutely continuous probability measure martingale transform predictable representation |
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