| 摘要: |
| 从经济学角度对随机过程的含义进行了解释，从投资者的期望收益率独立于证券价格这一现象对证券价格按连续时间连续样本轨道的随机过程变动进行解释；若假设影响证券价格变动的信息按泊松过程到达，则可以对证券价格遵循连续时间不连续样本轨道的随机过程变化作出解释。可以用类似于连续时间随机过程的经济解释分析离散时间随机过程的经济含义。 |
| 关键词: 证券价格 连续时间随机过程 离散时间随机过程 经济含义 |
| DOI： |
| 分类号: |
| 基金项目:国家教委“十五”攻关项目(01JB790026) |
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| The micro-economic connotation of stochastic processes |
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| Abstract: |
| This paper studies the economic connotation of stochastic processes used in financial research.If the investor’s expected return is independent to securities,price is generated by Poisson process,then the securitie’s price is discontinuous.The explanation for continuous time case can be used to the discrete time case too. |
| Key words: the securities’s price continuous time stochastic process discrete time stochastic process economic connotation |
