標題: 針對補償混合卜松隨機過程或碎形布朗運動的橋
A Bridge with Respect to the Compensated Compound Poisson Process or the Fractional Brownian Motion
作者: 吳姿慧
Wu, Tzu-Hui
吳慶堂
Wu, Ching-Tang
應用數學系所
關鍵字: 補償混合卜松過程;碎形布朗運動;compensated compound Poisson process;fractional Brownian motion
公開日期: 2009
摘要: 由 Föllmer, Wu, Yor, (1999) 中我們知道特定的隨機微分方程式的解會是一個布朗運動。在本論文中,我們討論有哪些隨機微分方程它們的解會是一個補償混合卜松過程。藉此,我們可以製造出新的補償混合卜松過程。同時,我們也討論一些隨機微分方程的解,觀察它們是不是碎形布朗運動。
From Föllmer, Wu, Yor(1999) we know when the Brownian motion with nonzero linear drift is again a Brownian motion. In this thesis, instead of Brownian motion we discuss the case of compensated Poisson processes with nonzero. So we can construct new compensated compound Poisson processes. We also discuss whether the solutions of some particular form of stochastic differential equations are fractional Brownian motions.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079722505
http://hdl.handle.net/11536/45061
Appears in Collections:Thesis


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