弱布朗運動及其應用

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	吳慶堂	en_US
dc.contributor.author	Wu Ching-Tang	en_US
dc.date.accessioned	2014-12-13T10:49:34Z	-
dc.date.available	2014-12-13T10:49:34Z	-
dc.date.issued	2009	en_US
dc.identifier.govdoc	NSC98-2115-M009-006	zh_TW
dc.identifier.uri	http://hdl.handle.net/11536/101687	-
dc.identifier.uri	https://www.grb.gov.tw/search/planDetail?id=1881302&docId=310696	en_US
dc.description.abstract	弱布朗運動為一其k 次邊際分佈與布朗運動之k 次邊際分佈相同之隨機過程. Stoyanov 於 1987 年提出此隨機過程並不需為布朗運動的猜測, 而Föllmer-Wu-Yor 則於2000 年解決了這個問題. 在此研究計畫中, 我們主要是想解決一些弱布朗運動的open problems, 例如二次與三次弱布朗運動的quadratic variation 的值的問題. 另外, 弱布朗運動在財務數學上的應用亦是我們有興趣的問題.	zh_TW
dc.description.abstract	A weak Brownian motion of order k is a stochastic process whose k-dimensional marginal is identical with that of a standard Brownian motion. A weak Brownian motion is not necessary to be a Brownian motion. This was a conjecture appeared in Stoyanov (1987) and solved in Föllmer-Wu-Yor (2000). In this project we aim to solve some open problems in the weak Brownian motion, for example, the value of the quadratic variation of weak Brownian motion of order 2 and 3. Furthermore, we want to discuss the applications of the weak Brownian motion in finance.	en_US
dc.description.sponsorship	行政院國家科學委員會	zh_TW
dc.language.iso	zh_TW	en_US
dc.subject	布朗運動	zh_TW
dc.subject	弱布朗運動	zh_TW
dc.subject	邊際分佈	zh_TW
dc.subject	Brownian motion	en_US
dc.subject	weak Brownian motion	en_US
dc.subject	marginal distribution	en_US
dc.title	弱布朗運動及其應用	zh_TW
dc.title	Weak Brownian Motion and Its Applications	en_US
dc.type	Plan	en_US
dc.contributor.department	國立交通大學應用數學系(所)	zh_TW
顯示於類別：	研究計畫

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