摘要
对具有给定的EXi=mi(i=1,2,3)和双峰的随机变量X∈[0,M],得到截尾变量max(0,X-K)的均值的矩界,以及小值概率的上界。这些问题来源于双峰分布下小值概率及欧氏期权等的研究,所用方法基于控制待估函数和测度变换。
Given any bimodal random variable X E [ 0, M ] with EXi = mi （ i = 1, 2, 3 ） and modes fixed, upper bounds are derived on small value probability P（ X 〈 t） and the truncated random variable max（0,X- K） with K 〉 0 given. Motivation comes not only from small value probability but also from questions associated with European call option under mixture of two unimodal distribution. The key techniques are to pass the distribution function to an auxiliary function and then to employ duality theory and change of measures.
出处
《黑龙江大学自然科学学报》
CAS
北大核心
2011年第1期1-3,7,共4页
Journal of Natural Science of Heilongjiang University
基金
Supported by the National Science Foundation of China(10776006)
the Natural Science Foundation of Heilongjiang Province(A2007-04)
关键词
对偶
矩问题
欧氏期权
双峰分布
测度变换
Duality
moment problems
bimodal distribution
European call option
change of measure
