3.5连续时间金融Markov 链(应用随机过程,陈萍)

PD H F-XC A N GE PD H F-XC A N GE N O W ! y N O W ! bu to k lic C m C lic w k to bu y w .d o c u-tr a c k .c w o .d o c u-tr a c k .c i j qij qi . Markov . o m w w w

PD H F-XC A N GE PD H F-XC A N GE N O W ! y N O W ! bu to k lic C m C lic w k to bu y w .d o c u-tr a c k .c w o .d o c u-tr a c k .c 3.5.6 Kolmogorov ?i ∈ E qi pij (t ′ (t = ∑ qik pkj (t , ?j ∈ E , ?t ≥ 0 pij k ∈E 3.5.14 pkj (h h Q . j∈E lim h→0 Q = qkj ?k ∈ E Kolmogorov ′ (t = ∑ pik (t qkj , ?i ∈ E , ?t ≥ 0 pij k ∈E 3.5.15 . o m w w w

PD H F-XC A N GE PD H F-XC A N GE N O W ! y N O W ! bu to k lic C m C lic w k to bu y w .d o c u-tr a c k .c w o .d o c u-tr a c k .c Kolmogorov P′(t = QP (t P′(t = P (t Q Kolmogorov . 3.5.3 Kolmogorov . CK o m w w w