一类非线性随机微分方程的统计性质

来源 :数学杂志 | 被引量 : 0次 | 上传用户：gy13006467077

【摘要】

：

本文研究了一类分数布朗运动(fBm)驱动的非线性随机微分方程解的统计性质的问题.利用Lamperti变换的方法,可以把该方程转换为分数布朗运动驱动的线性随机微分方程,从而可以利用高斯过程的相关性质,获得该非线性随机微分方程解的期望和方差.在特殊情况下,该非线性随机微分方程的解是分数Cox-Ingersoll-Ross(fCIR)过程,该方法可以推广到计算分数Cox-Ingersoll-Ross(fCIR)过程的相关统计性质.

【作者】

：

张静刘博文陈晓鹏

【机构】

：

汕头大学理学院数学系,广东汕头515063

【出处】

：

数学杂志

【发表日期】

：

2021年6期

【关键词】

：

OU过程 CIR过程期望方差

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一类非线性随机微分方程的统计性质

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