搜索结果: 1-3 共查到“经济学 Filtration”相关记录3条 . 查询时间(0.046 秒)
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem
Intensity process compensator filtration expansion approach the Jeulin--Yor theorem
2010/12/13
Let $(X_t)_{t\ge0}$ be a continuous-time, time-homogeneous strong Markov process with possible jumps and let $\tau$ be its first hitting time of a Borel subset of the state space. Suppose $X$ is sampl...