Appendix F 、Characteristic Functions 数理金融学入门 教学课件.pdfVIP

APPENDIX F Characteristic Functions , . probability measure. probability measure . probability measure Fourier transform . F.1. General properties Recall: X is a random variable with distribution function F . Then μX (x) = P(X ≤ x) = F (x). Moreover, E [X] = Ω X dP = R1 y μX (dy) = ∞ y dF (y). −∞ Definition 1 1 F.1. (1) Suppose that μ is probability measure on (R , B ). Then the characteristic function (ch.f.) of μ is defined by μˆ(t) = R1 eitx μ(dx) = R1 cos(tx) μ(dx) + i R1 sin(tx) μ(dx). (2) Let F be the distribution function on R1 . Then the characteristic function of F is defined by ˆ ∞ itx F (t) = e dF (x). −∞ 335 336 F. CHARACTERISTIC FUNCTIONS (3) Let X be a random variable. Then the characteristic function of X is defined by μˆX (t) = 1 eitx μX (dx) = ∞ eitx dFX (x) = E [eitX ] R −∞ , probability measure, random variable distribution function , . Proposition F.2. (1) μˆ : R1 −→ C is a continuous, complex-valued function. (2) μˆ(0) = 1 |μˆ(t)| ≤ 1 μˆ(−t) = μˆ(t) ∞ (3) If (fn )n≥1 is a sequence of characteristic functions, λn ≥ 0, λn = 1, then