论文标题
关于有条件期望的新属性，并在金融中申请
On the new properties of conditional expectations with applications in finance
论文作者
论文摘要
有条件期望的概念在许多领域的概率和统计数据中很重要，例如可靠性工程，经济，金融和精算科学，因为它是随机变量的最佳预测指标，这是另一个随机变量的函数。这个概念在马尔可夫进程的马尔丁尔理论和理论中也至关重要。尽管已经研究并发表了许多关于由随机变量产生的Sigma-emgebra的有条件期望的有趣属性，但它仍然是在许多领域中具有有趣应用的有吸引力的主题。在本文中，我们介绍了一个随机变量的随机变量的有条件期望的一些新属性，并描述了股票市场每股问题问题中有用的应用。还研究了条件期望作为随机变量的配置和依赖性特性。我们还提出了一些具有有趣应用程序的新平等性，并在Martingale理论和马尔可夫过程中得到了结果。关键词：有条件的期望，Sigma代数，每股价格，订单统计，预测冲突的利益冲突声明：我们声明没有利益冲突的情况。
The concept of conditional expectation is important in applications of probability and statistics in many areas such as reliability engineering, economy, finance, and actuarial sciences due to its property of being the best predictor of a random variable as a function of another random variable. This concept also is essential in the martingale theory and theory of Markov processes. Even though, there has been studied and published many interesting properties of conditional expectations with respect to a sigma-algebra generated by a random variable it remains an attractive subject having interesting applications in many fields. In this paper, we present some new properties of the conditional expectation of a random variable given another random variable and describe useful applications in problems of per-share-price of stock markets. The copula and dependence properties of conditional expectations as random variables are also studied. We present also some new equalities having interesting applications and results in martingale theory and Markov processes. Keywords: Conditional expectation, sigma algebra, per-share price, order statistics, prediction Conflicts of interest statement: We declare that have no conflicts of interest.
