【摘要】 在连续时间模型的假设条件下 ,研究了农产品价格服从伊藤随机过程的数学期望及方差问题 .首先利用 Fok ker-Planck方程及偏微分方程 ,经过变形对由该扩散随机过程所描述的价格均值及风险进行了估计 ;然后给出了假设 Ito随机过程为稳态条件下的转移概率密度 ps的表达式 ,利用 ps求出相应的价格与风险值 .该模型也可用于风险投资等领域的研究 .更多还原

【Abstract】 We study the continuous-time model on the expectation and variance of farm-product′s price, which follows an ITO stochastic process. First, we estimate the mean and risk of the price through some transformations of Fokker-Planck Equation, and then, we obtain the expression of transition probability density under the assumption that the ITO stochastic process is stationary. The results can be extended to other research fields, such as risk-investment, evaluation of assets, etc.更多还原