条件期望公式相关论文
A NEW DETERMINISTIC FORMULATION FOR DYNAMIC STOCHASTIC PROGRAMMING PROBLEMS AND ITS NUMERICAL COMPAR
A new deterministic formulation,called the conditional expectation formulation,is proposed for dynamic stochastic progra......
首先证明一个条件数学期望公式,然后建立股票价格的跳过程为Poisson过程,跳跃高度为常数时股票价格过程的随机微分方程,在风险中性......