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  
Fund Project:
Author NameAffiliation
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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