Markov process functionals in finance and insurance

作     者：GENG Xian-min LI Liang 

作者机构：College of Sci. Nanjing Univ. of Aeronautics & Astronautics Nanjing 210016 China Dept. of Appl. Math. Nanjing Audit Univ. Nanjing 210029 China 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2009年第24卷第1期

页      面：21-26页

核心收录：

学科分类：080904[工学-电磁场与微波技术] 02[经济学] 07[理学] 0809[工学-电子科学与技术（可授工学、理学学位）] 08[工学] 070103[理学-概率论与数理统计] 0810[工学-信息与通信工程] 0202[经济学-应用经济学] 020208[经济学-统计学] 080402[工学-测试计量技术及仪器] 0804[工学-仪器科学与技术] 0714[理学-统计学（可授理学、经济学学位）] 081001[工学-通信与信息系统] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of China (10671197) 

主　　题：Markov process functional process with independent increments risk process 

摘      要：The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.