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stochastic differential game
相关语句
  随机微分对策
     The dynamic hedging problem for European options is studied by applying stochastic differential game method, under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility.
     在标的资产价格服从带有随机方差几何布朗运动的非完全市场假设条件下 ,应用随机微分对策方法 ,研究与标的资产有关的欧式期权的动态套期保值策略问题。
短句来源
     The stochastic differential game model for the self financing hedging strategy is estabilished. A dynamic hedging portfolio that yields the minimum mean square replication error is given.
     建立了最优动态套期保值策略的随机微分对策数学模型 ,给出了基于鲁棒控制的均方复制误差最小的自融资动态套期保值策略。
短句来源
     Use Takagi-Sugeno fuzzy model to describe multiple-players non-cooperative nonlinear stochastic differential game systems,and the overall fuzzy model is expressed in the uncertain form. By using the robust sub-optimal H-infinity strategy,the robust control for differential game systems is presented.
     采用Takagi-Sugeno模糊模型描述多人非合作的非线性随机微分对策系统,并将全局模糊模型表示成不确定的形式,采用鲁棒次优H∞控制策略,定义了微分对策系统的鲁棒控制,并设计出稳定的模糊控制器。
短句来源
  相似匹配句对
     stochastic differential equation.
     型随机微分方程。
短句来源
     stochastic integral and differential, Ito?
     第五章按照Merton的思想,用以下Ito?
短句来源
     A Nash equilibria of stochastic differential games
     一种随机微分对策的Nash平衡
短句来源
     Robust Design for Fuzzy Nonlinear Stochastic Differential Games
     模糊非线性随机微分对策的鲁棒设计
短句来源
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  stochastic differential game
This is the first study of pollution management in a stochastic differential game framework.
      
Subgame Consistent Solutions of a Cooperative Stochastic Differential Game with Nontransferable Payoffs
      
Competitive Advertising Under Uncertainty: A Stochastic Differential Game Approach
      
The paper presents a stochastic differential game model of a common-property commercial fishery and determines a feedback Nash equilibrium of the game.
      
Stochastic differential game model of a common property fishery
      
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The dynamic hedging problem for European options is studied by applying stochastic differential game method, under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility. The stochastic differential game model for the self financing hedging strategy is estabilished. A dynamic hedging portfolio that yields the minimum mean square replication error is given. When the volatility is a deterministic function of time, the...

The dynamic hedging problem for European options is studied by applying stochastic differential game method, under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility. The stochastic differential game model for the self financing hedging strategy is estabilished. A dynamic hedging portfolio that yields the minimum mean square replication error is given. When the volatility is a deterministic function of time, the strategy coincides with Black Scholes's delta hedging.

在标的资产价格服从带有随机方差几何布朗运动的非完全市场假设条件下 ,应用随机微分对策方法 ,研究与标的资产有关的欧式期权的动态套期保值策略问题。建立了最优动态套期保值策略的随机微分对策数学模型 ,给出了基于鲁棒控制的均方复制误差最小的自融资动态套期保值策略。当方差为时间的确定性函数时 ,最优动态套期保值策略与用 Black- Scholes套期比表示的 delta套期保值策略是一致的

Robustness of fuzzy uncertain differential games is introduced in the paper.Use Takagi-Sugeno fuzzy model to describe multiple-players non-cooperative nonlinear stochastic differential game systems,and the overall fuzzy model is expressed in the uncertain form.By using the robust sub-optimal H-infinity strategy,the robust control for differential game systems is presented.

研究模糊不确定微分对策的鲁棒性。采用Takagi-Sugeno模糊模型描述多人非合作的非线性随机微分对策系统,并将全局模糊模型表示成不确定的形式,采用鲁棒次优H∞控制策略,定义了微分对策系统的鲁棒控制,并设计出稳定的模糊控制器。

Real option approach is used in the investment under the condition of uncertainty,which ignores the interactions among competitors.The impact of the competition drastically erodes the value of the option to wait and leads to the investment at the very low value threshold.The theory of option games approach for analyzing the investment under uncertainty has become part of the mainstream literature of financial economics and been the combination of the successful theories,namely real options and game...

Real option approach is used in the investment under the condition of uncertainty,which ignores the interactions among competitors.The impact of the competition drastically erodes the value of the option to wait and leads to the investment at the very low value threshold.The theory of option games approach for analyzing the investment under uncertainty has become part of the mainstream literature of financial economics and been the combination of the successful theories,namely real options and game theory.It has a great potential to applications in many real situations and has been adopted by the theorists and practitioners.Considering in the same model,the key factors for investment decisions such as uncertainty,flexibility,and optimization timing and the strategies of capacity expansion and Stochastic Differential Games in continuous-time among competitors are analyzed.

实物期权方法用于不确定条件下投资,忽略竞争者之间的相互作用,竞争导致期权价值侵蚀而使投资者投资阀值降低。期权博弈理论方法已成为金融经济学解决不确定条件下投资估价与决策的主流文献之一,它融合了两个成功的理论——实物期权理论与博弈论,该方法已被越来越多的理论工作者与实践家所采纳.本文对多寡头企业连续时间实物期权投资模型下的能力扩展与随机微分博弈行为及几个关键因素诸如不确定性、最优时机进行分析。

 
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