Using the dynamic programming approach,the minimal entropy martingale measure is constructed by the utility indifference pricing,the minimal martingale measure and the variance-optimal martingale measures are given.
利用动态规划方法通过效用无差别定价构造了最小熵鞅测度,并给出了极小鞅测度和方差最优鞅测度,验证了这些鞅测度是不同的。
The explicit expressions of some special equivalent martingale measure are given,such as the minimal entropy martingale measure,the minimal reverse relative entropy martingale measure,the variance-optimal martingale measure and the minimal martingale measure.
本文研究了三叉树模型下的等价鞅测度刻划问题,得到了三叉树模型的最小熵鞅测度,逆相对熵鞅测度,方差最优鞅测度和极小鞅测度的精确表达式。
It is now widely accepted that K 1 is formed in the temperature minimum region (TMR) and that the distance of the component K 1 from the line center and the intensity of K 1 is well related to the position and temperature of TMR, respectively.
以往对K 线的研究表明:K1 形成于温度极小区(TMR) ,K1 到线心的距离以及K1 的强度分别与温度极小区的位置和温度密切相关。