Application of martingale theory in enterprise investment decision making
Mean-variance portfolio selection with random parameters:a martingale approach;
Some Laws of Large Numbers for Sequences of NA and B-valued Quasi-martingale Difference;
The stationary property, Markoy Property and martingale property of the optimal solution sets process are discussed.
Empirical likelihood inference for nonparametric function of partial linear models under martingale difference sequenece
The unique equivalent martingale measure of this model is found by using the Girsanov theorem.
In this paper, we discuss the estimate of regression function in nonparametric regression model based on exponential integral martingale difference.
Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process;
Under the condition of changing premium, the upbound of ruin probability was obtained by sub-martingale property.
With the martingale representation theorem and some conclusions for conditional expectation, the optimal strategies for optimal portfolio-consumption problem are derived.
This paper analyzes the binomial model of stock price movement, and on the basis of martingale theory discusses the pricing of path dependent options.
By using the convergence theorem of martingale difference sequence, a class of strong limit theorem for the functional countable homgenous Markov chain is obtained.
The basic theories of pricing interest rate derivatives include winner process, Ito process, martingale, differential equation as well as risk-neutral pricing, no-arbitrage principle and assets pricing theorem etc.
And random walk model and downside martingale model are the extend of expected return model. For the market price's random walk must be in the efficient market, so we often take random walk model in the efficient market.
