| 一种金融投资模型的数值逼近方法 |
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| 引用本文： | 赵玉环.一种金融投资模型的数值逼近方法[J].中国民航学院学报,2006,24(6):59-62. |
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| 作者姓名： | 赵玉环 |
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| 作者单位： | 中国民航大学理学院,天津300300 |
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| 基金项目： | 中国民航大学校科研和教改项目 |
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| 摘 要： | 对一种金融模型，给出了一、二阶的Itoe-Taylor逼近的估计，并对这两种估计证明了其强收敛性，同时给出了收敛的阶数．通过比较得出Itoe-Taylor逼近阶数越高，得到的估计强收敛的阶越高。
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| 关 键 词： | Ito-Taylor展开 Ito随机微分方程 强收敛 |
| 文章编号： | 1001-5000(2006)06-0059-04 |
| 收稿时间： | 2006-04-29 |
| 修稿时间： | 2006-09-25 |
Numerical Approximation Methods for a Kind of Financial Investment Model |
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| ZHAO Yu-huan.Numerical Approximation Methods for a Kind of Financial Investment Model[J].Journal of Civil Aviation University of China,2006,24(6):59-62. |
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| Authors: | ZHAO Yu-huan |
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| Institution: | Science College, CA UC , Tianjin 300300, China |
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| Abstract: | Establishing a Itoe-Taylor approximation with one and two orders for a class of finance model. Our results show that one and two order-Itoe-Taylor approximations are 0.5 and 1.0 strong convergence numerical scheme,respectively. Through comparison, the higher the Itoe-Taylor approximation orders, the higher the orders of the estimated strong convergence. |
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| Keywords: | Itoe-taylor expansions Itoe stochastic differential equation strong convergence |
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