منابع مشابه
Multi-Dimensional Uncertain Calculus with Liu Process
Uncertain calculus deals with the integral and differential of some uncertain processes. So far, uncertain integrals have been defined with respect to Liu process, renewal process, finite variation process, and multiple Liu processes. This paper presents an uncertain integral of a matrix of uncertain processes with respect to multi-dimensional Liu process, and verifies its linearity property. T...
متن کاملSome Extensions of Wiener-Liu Process and Ito-Liu Integral
In this paper, multi-dimensional Wiener-Liu process is proposed. Wiener-Liu process is a type of hybrid process, it corresponds to Brownian motion (Wiener process) in stochastic process and Liu process in fuzzy process. In classical analysis, the basic operations are differential and integral. Correspondingly, Ito-Liu formula plays the role of Ito formula in stochastic process and Liu formula i...
متن کاملExact Construction of Liu Process
Credibility measure was created by Baoding Liu [5, 7] and his Chinese co workers [4] around 2004. Then, Baoding Liu designed a grand view of fuzzy process, hybrid process and uncertain process [6]. In response to his work, Dai [1] sketched how to create standard normal fuzzy process under credibility measure, which he called standard Liu process. Independently Kageyama and Iwamura [3] construct...
متن کاملLipschitz Continuity of Liu Process
Liu process is a type of fuzzy process. It is a fuzzy counterpart of Brownian motion. In this paper, the continuity property of Liu process is studied. It is proved that almost all Liu paths are Lipschitz continuous.
متن کاملFractional Liu Process and Applications to Finance
In this paper, we consider fractional Liu process. First, the membership functions, expected values and variances of arithmetic and geometric fractional Liu process are given. Then we suppose that stock price follows geometric fractional Liu process and formulate fractional Liu’s stock model. Based on this model, European option pricing formulas are obtained.
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ژورنال
عنوان ژورنال: Journal of Uncertainty Analysis and Applications
سال: 2013
ISSN: 2195-5468
DOI: 10.1186/2195-5468-1-3