| Brown Birth and Death Processes and Their Applications to Model of Stock Price |
| Received:September 17, 2002 |
| Key Words:
Brown birth and death process markov skeleton process integral type function model of stock price
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| Fund Project: |
| Author Name | Affiliation | | FENG Guang-bo | College of Business Administration, Hunan University, Changsha 410082, China
College of Economic Management, Hainan University, Haikou 570228, China | | MA Chao-qun | College of Business Administration, Hunan University, Changsha 410082, China | | HOU Zhen-ting | Research Department, Central South University, Changsha 410075, China | | TANG You-rong | Department of Mathematics, University of Defence Technology, Changsha 410073, China |
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| Abstract: |
| The paper explicitly gives the definition of a class of Brown birth and death processes, and has discusses their one dimension distribution, and the distribution and moment of integral-type functional, then obtains the calculation formula. Moreover, the paper shows the application of Brown birth and death processes to the model of stock price. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2005.01.011 |
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