Extended Wiener Measure by Nonstandard Analysis for Financial Time Series

作     者：Shuya Kanagawa Ryoukichi Nishiyama Kiyoyuki Tchizawa 

作者机构：Epartment of Mathematics Tokyo City University Tokyo Japan Department of literature Ryukoku University Kyoto Japan Institute of Administration Engineering Ltd. Tokyo Japan 

出 版 物：《Applied Mathematics》 (应用数学（英文）)

年 卷 期：2018年第9卷第8期

页      面：975-984页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Time Series Black-Sholes Model S-Continuity Nonstandard Analysis Delta-Function 

摘      要：We propose a new approach to construct an extended Wiener measure using nonstandard analysis by E. Nelson. For the new definition we construct non-standardized convolution of probability measure for independent random variables. As an application, we consider a simple calculation of financial time series.