扩散过程在若干交叉领域中的理论及应用-概率论与数理统计专业论文.docxVIP

华 中 科 技 大 学 博 士 学 位 论 文 II II 程，用数值计算的方法模拟离子运动的轨道变化。 关键 词： 扩 散过 程 随机 序 参数 估 计 热 盐 环 流 纳 米 药物 McKean-Vlasov随机微分方程 III III Abstract Diffusion process was origin of the study of diffusion phenomenon in physics, and then was attracted attention by mathematical scholars. It has been the frontier and hot on direction of stochastic analysis. How to keep this organic combination of diffusion process and other fields, reflect cross utility and expand the research horizon of diffusion process theory, is a study field which has theoretical significance and practical application value. The main innovative results of this paper are as follows. We discuss stochastic ordering problems of diffusion process in the third chap- ter. Focused on comparing the magnitude and variability of diffusion processes, some properties are intensively demonstrated about strong ordering, increasing convex or- dering, increasing concave ordering and Laplace-Stieltjes transform ordering for d- iffusion processes which are defined as stochastic differential equations respectively. Finally the stochastic ordering was applied to diffusion processes which densities sat- isfied Fokker-Planck equations and the weak comparison theory of partial differential equation is obtained through stochastic ordering method. In the fourth chapter parameter estimation problem of diffusion processes is ana- lyzed from two aspects. On one hand, grey estimation method is borrowed to discuss parameter estimation of stochastic differential equations driven by Brownian motion for the situation of little information and small sample observations. We evolve a whitenization equation through substituting random variable, then corresponding grey differential equation can be expressed which suited for describing few data and un- certainty condition. On other hand, we research on parameter estimation of a class of generalized diffusion process named McKean-Vlasov stochastic differential equation, containi