逐段扩散过程的可料特征与若干性质.pdf

河北工业大学 硕士学位论文 逐段扩散过程的可料特征与若干性质 姓名：张帅琪 申请学位级别：硕士 专业：应用数学 指导教师：刘国欣  Gerber 1970 Poisson ? Poisson ?? ? ? Ito ?? ? ? Ito Ito i  THE PREDICTABLE COMPENSATOR OF THE PIECEWISE DIFFUSION PROCESS AND SOME PROPERTIES ABSTRACT In this paper, we mainly studies the predictable compensator of the piecewise di?usion process and some properties. The compound Poisson model with di?usion, ?rstly proposed by Ger- ber in 1970, is the further expansion of the compound Poisson model. De- veloping the compound Poisson model further with considering the models in ?nance, we get piecewise di?usion process. First of all, we propose the de?nition of the piecewise di?usion process. Then, we obtain some expec- tation and condition expectation of some random variables. After that, we compute the predictable compensator of the random measure. Moreover, we get Ito formulation of the piecewise di?usion process. This paper includes four chapters. The ?rst chapter is the introduc- tion. In the second chapter, the de?nition of the piecewise di?usion pro- cess is proposed. Furthermore, we introduce the de?nition of the Stieltjes version of exponentials and logarithms. Some expectation and condition expectation is calculated in the third chapter-the main body of this paper. Moreover, we get t