Hanoi Center for Financial and Industrial Mathematics

Trung Tm Ton Ti Chnh v Cng Nghip H Ni

NHP MN
TON TI CHNH
QUYN 1
GS. c Thi
GS. Nguyn Tin Dng
H Ni Toulouse, 2011
2
Bn tho ny: Ngy 19 thng 1 nm 2011
c _Hanoi Center for Financial and Industrial Mathematics
Chng 1
Gii tch ngu nhin
Theo ngn ng ton hc, s bin ng theo thi gian ca gi c (nh gi vng, gi
du ha, gi c phiu ca cng ty Intel, v.v.), cng nh ca cc s liu khc (v d nh
mc tng trng kinh t, t l tht nghip, v.v.) c gi l cc qu trnh ngu nhin
(random process), bi v ni chung khng ai c th bit trc c mt cch chnh xc gi
tr ca chng trong tng lai s ra sao. nghin cu cc qu trnh ngu nhin ny, chng
ta s cn dng n mt b phn ca ton hc gi l gii tch ngu nhin (stochastic
culculus). Gii tch ngu nhin tc l gii tch ton hc (cc php tnh gii hn, vi tch
phn, v.v.) p dn vo cc qu trnh ngu nhin, da trn c s ca l thuyt xc sut
thng k.
Trong chng ny chng ta s tm hiu s lc mt s kin thc quan trng nht v
gii tch ngu nhin, cn thit cho ton ti chnh. Bn c mun nghin cu su thm
v gii tch ngu nhin c th tm c cc sch chuyn kho, v d nh quyn sch ca
Karatzas v Shreve [12] hoc quyn sch ca tc gi Nguyn Duy Tin [17].
1.1 Mt s m hnh bin ng gi chng khon
phn ny, chng ta s coi gi S ca mt c phiu (hay ni mt cch tng qut
hn, ca mt chng khon c gi dng) nh l mt qu trnh ngu nhin nhn gi tr
trong tp hp cc s thc dng, v chng ta s xt mt s m hnh h ng lc ngu
nhin mt chiu n gin m t chuyn ng ca S theo thi gian. Ch rng, do ch
c 1 chiu, nn cc m hnh ny tng i th: s tng tc gia cc thnh phn ca th
trng khng a c vo m hnh, v m hnh ch da trn cc phng trnh bc 1,
thay v phng trnh bc 2 nh trong vt l. Tuy l cc m hnh tng i th, nhng
3
4 CHNG 1. GII TCH NGU NHIN
chng vn rt quan trng trong vic phn tch s bin ng gi ca cc c phiu.
Trc ht, chng ta s nh ngha mt cch hnh thc ton hc th no l mt qu
trnh ngu nhin.
1.1.1 Qu trnh ngu nhin
Cc qu trnh bin i theo thi gian, v d nh gi c phiu, lng nc ma trong
thng, s ngi mc bnh cm, v.v., m ta khng th d on c trc mt cch chnh
xc, th c gi l cc qu trnh ngu nhin. m t mt qu trnh ngu nhin
theo ngn ng ton hc, ta cn cc yu t sau:
- Thi gian. Theo qui c, c mt mc thi gian ban u, l 0. Thi gian t c th
l bin i lin tc, t R
+
, hoc ri rc, tc l ta ch xt mt dy cc mc thi im
0 = t
0
< t
1
< t
2
< . . . no . Trong trng hp ri rc, cho n gin, ta s gi s
thm l cc bc thi gian l bng nhau, t l t
i
t
i1
= l mt hng s khng ph
thuc vo i. Nhiu khi, ta s dng dy s nguyn khng m 0, 1, 2, . . . k hiu cc mc
thi gian, thay v dng cc thi im t
0
, t
1
, t
2
, . . .
- Khng gian xc sut. Vi mi mc thi gian t, c mt khng gian
t
tt c cc tnh
hung c th xy ra t thi im ban u cho n thi im t. Khng gian ny l khng
gian xc sut, vi mt o xc sut P
t
i km (tc l xc sut ca cc tnh hung c
th xy ra cho n thi im t). Nu s v t l hai mc thi im no vi s t, th ta
c mt php chiu t nhin

t,s
: (
t
, P
t
) (
s
, P
s
) (1.1)
Khi
t
l mt tnh hung c th xy ra cho n thi im t, th
s,t

t
l tnh hung
nhng ch tnh n thi im s, b qua nhng g xy ra sau thi im s. Cc php chiu

s,t
tha mn cc tnh cht t nhin sau:
a) Ton nh (surjective), tc l mi tnh hung c th xy ra cho n thi im s th phi
c th tip din tr thnh tnh hung c th xy ra cho n thi im t.
b)
t,t
l nh x ng nht trn
t
.
c) Bc cu:
r,s

s,t
=
r,t
vi mi r s t.
d) Bo ton xc sut, c ngha l l nu A (
s
, P
s
) l tp o c (tc l tn ti xc
sut P
s
(A)), th nh ngc ca n trong (
t
, P
t
) c cng xc sut vi n:
P
t
(
1
s,t
(A)) = P
s
(A). (1.2)
Mt dy cc khng gian xc sut (
t
, P
t
) vi cc php chiu
s,t
tha mn cc tnh
1.1. MT S M HNH BIN NG GI CHNG KHON 5
cht pha trn s c gi l mt h lc cc khng gian xc sut (filtered family of
probability spaces).
Cc khng gian xc sut (
t
, P
t
) c th c gp chung li thnh mt khng gian xc
sut (, P) tt c cc tnh hung c th xy ra (cho mi thi gian): mi phn t
ng vi mt h cc phn t
t

t
thch hp vi nhau, c ngha l
s,t

t
=
s
vi mi
s < t. Ta c th vit:
(, P) = lim
t
(
t
, P
t
), (1.3)
vi cc php chiu t nhin

t
: (, P) (
t
, P
t
), (1.4)
cng tha mn cc tnh cht ton nh, bc cu, v bo ton xc sut nh pha trn.
Nhc li rng (xem Chng 1 ca [5]), i km vi mi mt khng gian xc sut l mt
sigma-i s cc tp con o c ca n, tc l cc tp con m nh ngha c xc sut
ca n. Sigma-i s cc tp o c trn (, P) l
T =
_
t
T
t
(1.5)
trong T
t
l nh ngc ca sigma-i s trn (
t
, P
t
) qua php chiu
t
: mt phn t
ca T
t
l mt tp con ca c dng
1
t
(A
t
) trong A
t

t
sao cho tn ti P
t
(A
t
),
v khi ta c
P(
1
t
(A
t
)) = P
t
(A
t
), (1.6)
c ngha l cc nh x
t
bo ton xc sut.
T cc tnh cht trn ca h lc (
t
, P
t
), d thy rng T
s
T
t
vi mi s t. H T
t
cc sigma-i s con ca T vi tnh cht ny v tnh cht T =

t
T
t
c gi l mt
lc (filtration) ca T. B ba (, T
t
, P), trong (, P) l mt khng gian xc sut v
(T
t
) l mt lc ca sigma-i s ca P, c gi l mt khng gian xc sut c lc
(filtered probability space).
- Bin ngu nhin thay i theo thi gian. Nu ta c mt qu trnh lc cc khng gian
xc sut (
t
, P
t
), v vi mi mc thi gian t ta c mt bin ngu nhin S
t
thc vi khng
gian xc sut tng ng l (
t
, P
t
), c ngha l mt hm o c
S
t
:
t
R, (1.7)
(xem Chng 2 ca [5] v cc khi nim c bn v bin ngu nhin), th ta ni rng ta c
mt qu trnh ngu nhin (stochastic process) S trn m hnh xc sut (
t
, P
t
). Hm
S
t
: S
t
:
t
R chnh l hm gi tr ca qu trnh ngu nhin S ti thi im t.
6 CHNG 1. GII TCH NGU NHIN
Ta c th coi S
t
nh l bin ngu nhin trn qua cc php chiu
t
:
S
t

t
: R. (1.8)
cho tin, ta cng s k hiu S
t

t
l S
t
, khi n l hm s trn
t
v o c theo
sigma-i s T
t
. T , ta c nh ngha sau v qu trnh ngu nhin, l nh ngha c
dng trong cc ti liu ton:
nh ngha 1.1. Gi s ta c mt khng gian xc sut c lc (, T
t
, P), v mt h cc
hm s S
t
: R, sao cho S
t
l o c theo sigma-i s T
t
vi mt t (trong tp cc
mc thi gian ca lc). Khi h S
t
c gi l mt qu trnh ngu nhin vi m
hnh xc sut (, T
t
, P) v tng thch (compatible) vi lc T
t
.
Trong nh ngha 1.1, cc khng gian (
t
, P
t
) b b qua. Nhng cho tin, trong
quyn sch ny, khi xt cc qu trnh ngu nhin, ta s lun coi l khng gian xc xut
lc (, T
t
, P) c sinh bi mt h lc cc khng gian xc sut (
t
, P
t
), v mi qu trnh
ngu nhin S u c nh ngha qua mt h cc bin ngu nhin S
t
: (
t
, P
t
) R.
Cc qu trnh ngu nhin nh vy tt nhin u l cc qu trnh ngu nhin tng thch
vi lc T
t
.
Khi ta gi s rng tnh hung xy ra, th qu trnh ngu nhin S tr thnh mt
hm s xc nh theo bin thi gian: t S
t
(). Hm s S

(t) := S
t
() ny c gi l
mt ng i (sample path) ca S, ng vi tnh hung .
Nu s < t, v ta bit l tnh hung
s
xy ra cho n thi im s, th ta bit gi
tr S(s) = S
s
(
s
) ca qu trnh ngu nhin ti thi im s (v cc thi im trc ),
nhng cha thng tin bit gi tr ca S ti thi im t. Ni cc khc, nu t > s
th S
t
cng l bin ngu nhin ti thi im s, tuy bit tnh hung no xy ra cho n
thi im s. Nhng khi bit
s
, th khng gian xc sut ca S
t
khng cn l khng
gian (
t
, p
t
), m l khng gian xc sut c iu kin
(
t
[

s
:=
t

t
[
s,t
(
t
) =
s
, P
t
[

s
) (1.9)
vi xc sut c iu kin P
t
[

s
. Trong trng hp m P
s
(
s
) > 0 th xc sut c iu kin
P
t
[

s
c th c nh ngha theo cng thc thng thng:
P
t
[

s
(A) = P
t
(A[
s
) =
P
t
(A)
P
s
(
s
)
(1.10)
vi mi A o c trong
t
[

s
. Trong trng hp m P
s
(
s
) > 0 th nh ngha xc sut
c iu kin phc tp hn, phi thng qua cc gii hn; chng ta s coi rng cc xc sut
1.1. MT S M HNH BIN NG GI CHNG KHON 7
c iu kin ny tn ti v tha mn cc tnh cht thng dng (xem [5] v xc sut c
iu kin cho bin ngu nhin).
Hon ton tng t nh trn, ta c th nh ngha qu trnh ngu nhin vi gi tr l
vector, hoc tng qut hn, qu trnh ngu nhin trn mt a tp hay mt khng gian
metric no .
1.1.2 M hnh mt bc thi gian
Trong m hnh mt bc thi gian, ta ch quan tm n gi c phiu S
T
ti mt thi
im T trong tng lai, v ta mun d on S
T
. V S
T
c tnh ngu nhin, nn vic d
on S
T
khng c ngha l d on 1 con s duy nht cho S
T
, m l d on theo
ngha xc sut: Ci m chng ta c th lm l, da trn cc thng tin c c, xy
dng mt khng gian xc sut (
T
, P
T
) cc tnh hung c th xy ra n thi im T, v
biu din S
T
nh l mt bin ngu nhin, vi m hnh khng gian xc sut l (
T
, P
T
):
S
T
: (
T
, P
T
) R
+
(1.11)
Nhc li rng (xem Chng 2 ca [5]), mi bin ngu nhin Y : (, P) R trn mt
m hnh khng gian xc sut (, P) cho mt phn b xc sut P
Y
trn R theo cng
thc push-forward:
P
Y
(A) = P(Y
1
(A)) (1.12)
cho mi on thng A R, v ta c th nh ngha cc i lng c trng ca Y , v
d nh cc moment bc k:
M
k
(Y ) =
_

Y
k
dP =
_
R
y
k
dP
Y
(y). (1.13)
Tuy rng Y l ngu nhin, nhng mt khi ta bit phn b xc sut ca n, th cc
i lng c trng ca n l khng ngu nhin, c xc nh, v cho ta cc thng tin
v Y .
Trong cc i lng c trng, c hai i lng quan trng nht, l k vng v phng
sai. K vng E(Y ) ca Y l:
E(Y ) =
_
R
ydP
Y
(y), (1.14)
v phng sai
2
(Y ) ca Y l:

2
(Y ) =
_
R
(y E(Y ))
2
dP
Y
(y) = E(Y
2
) (E(Y ))
2
. (1.15)
8 CHNG 1. GII TCH NGU NHIN
Cn bc hai ca phng sai, (Y ), c gi l lch chun ca Y. Khi m phng
sai cng nh, th tc l cc gi tr ca Y cng gn gi tr k vng ca n, c ngha l
ngu nhin (bt xc nh) ca Y cng nh. Bi vy phng sai (hay lch chun) chnh
l mt thc o ngu nhin, bt xc nh.
Trong trng hp m bin ngu nhin l gi c phiu S
T
, i lng
=
E(S
T
) S
0
S
0
, (1.16)
trong S
0
l gi c phiu ti thi im 0, chnh l mc li nhun k vng ca c
phiu S cho khong thi gian t 0 n T, cn
=
(S
T
)
S
0
, (1.17)
l mt i lng o bt xc nh ca gi c phiu, theo m hnh d on.
Ta c th coi S nh l mt qu trnh ngu nhin vi ch c 2 mc thi gian 0 v T, v
khng gian xc sut chnh l (
T
, P
T
). H ng lc ngu nhin m t chuyn ng ca S
sau 1 bc thi gian, t 0 n T, c th c vit di dng phng trnh sai phn:
S = S +SE, (1.18)
trong :
S = S
0
l gi c phiu ti thi im 0,
S = S
T
S
0
l thay i gi c phiu t thi im 0 n thi im T,
l mc li nhun k vng, cn c gi l h s drift ( chuyn dch) ca m
hnh,
l h s o bt xc nh ca gi S
T
, hay cn gi l h s volatility ( d
giao ng) ca m hnh,
E = (S
T
E(S
T
))/S
0
l phn ngu nhin chun ha ca m hnh: k vng
ca E bng 0 v lch chun ca E bng 1.
V d 1.1. Gi s mt cng ty cng ngh sinh hc nh, ang tp trung nghin cu mt
loi thuc chng ung th, c gi c phiu ngy hm nay l 10$. Sau gi ng ca th
trng ngy hm nay, cng ty s cng b kt qu nghin cu loi thuc chng ung th
. Gi s ta bit rng s c mt trong hai tnh hung xy ra:
1.1. MT S M HNH BIN NG GI CHNG KHON 9
a) Tnh hung thuc c tc dng, vi xc sut xy ra l 60%, v nu xy ra th gi ca
phiu ngy hm sau s tng ln thnh 16$.
b) Tnh hung thuc khng c tc dng, vi xc sut xy ra l 40%, v nu xy ra th
gi ca phiu ngy hm sau s gim cn 5$.
K vng gi c phiu ca ngy hm sau ca cng ty bng 60% 16 + 40% 5 = 11.6
la, phng sai bng 60%(16 11.6)
2
+ 40%(5 11.6)
2
= 29.04, v lch chun
bng

29.04 5.4. Ta c m hnh chuyn ng gi c phiu 1 bc

S = S +SE, (1.19)
vi cc tham s sau: S
0
= 10, = (E(S
1
) S
0
)/S
0
= 0.16, = (S
1
)/S
0
= 0.54, v E l
mt bin ngu nhin ch nhn hai gi tr, v c k vng bng 0 v lch chun bng 1.
V d 1.2. C phiu Coca-Cola (m chng khon: KO) t gi 80$ vo u nm 1998.
Vi cc cng thc c lng gi tr thc ca c phiu da trn li nhun v tng trng,
vo thii im u nm 1998, c th c lng l gi tr ca KO vo thi im u nm
2003 s khng qu 50$/c phiu. (Xem V d ??). Tm coi n l 50$. V yu t con cng
ca th trng s mt dn i theo thi gian khi m cng ty Coca-Cola khng cn pht
trin nhanh c na nn ta gi thit l gi c phiu s i v gi tr thc sau 5 nm,
trong giai on 1998-2003. Khi , vo u nm 1998, m hnh d on gi KO cho thi
im u nm 2003 ca ta s l:
KO
2003
= 50 +.KO
1998
.E, (1.20)
trong KO
1998
= 80, E l mt bin ngu nhin no chun ha (k vng bng 0,
phng sai bng 1), l mt s no cn c lng. Theo m hnh ny th mc li
nhun k vng cho 5 nm s bng (5080)/80 38%, tc l k vng l gi c phiu s
gim gn 40% sau 5 nm. Ta s tm thi b qua vic chn E v y. (C th tm coi
l E c phn b normal chun tc N(0, 1) da trn nh l gii hn trung tm trong xc
sut, v c lng da trn giao ng lch s (historical volatility) ca KO). Thc
t xy ra l KO
2003
= 40, kh gn vi d bo ca m hnh.
1.1.3 M hnh vi thi gian ri rc
Tng t nh l trong m hnh vi mt bc thi gian, trong cc m hnh vi thi
gian ri rc (h ng lc vi thi gian ri rc) cho gi c phiu, vi gi s l gi c phiu
lun lun dng, ta c th vit chuyn ng ca qu trnh ngu nhin S theo phng
10 CHNG 1. GII TCH NGU NHIN
trnh sai phn
S
n
S
n1
S
n1
=
n
+
n
E
n
, (1.21)
trong
S
n
l gi c phiu ti thi im th n trong tp cc mc thi gian (S
0
> 0 l gi
ti thi im ban u).

n
l mc li nhun k vng ti thi im th n1 cho mt bc chuyn ng ca
gi, cn gi l h s drift ( chuyn dch) ca m hnh,

n
l h s volatility ( giao ng) ca m hnh,
E
n
l phn ngu nhin chun ha ca m hnh: k vng ca E
n
bng 0 v
phng sai ca E
n
bng 1 (hoc l t bng , trong l bc thi gian).
Mc li nhun
n
c xc nh ti thi im n1 khi bit tnh hung
n1

n1
no xy ra, trong
n1
l k hiu khng gian tt c cc tnh hung c th xy ra cho
n thi im th n 1. Bn thn
n
cng c th coi l mt qu trnh ngu nhin (v
khng bit trc c
n
ti thi im 0), nhng c gi l mt qu trnh d on
c (predictable) v bit c
n
ti thi im th n 1, tc l bit trc mt bc
thi gian. Phn b xc sut ca phn sai s ngu nhin
n
E
n
cng c bit ti thi
im n 1, v do
n
cng l mt qu trnh d on c.
Ty tnh hung, m ta c th a thm cc gi thit v iu kin v m hnh. V d,
n gin ha m hnh, ta c th gi s l cc sai s l c lp vi nhau v c cng
phn b xc sut: cc bin ngu nhin
n
E
n
l mt h cc bin ngu nhin c lp c
cng phn b xc sut. Hoc t ra c th gi s l cc bin ngu nhin E
n
l c lp vi
nhau v c cng phn b xc sut (cn i lng volatility
n
c th thay i theo thi
gian). Mt gi thit khc hay c dng, l v l cc hm s theo 2 bin n v S:

n
= (n, S
n1
),
n
= (n, S
n1
). Ni cch khc,
n
v
n
khng ph thuc vo ton b
tnh hung
n1
, m ch ph thuc vo gi S
n1
ti thi im n 1 (nhiu tnh hung
khc nhau c th dn n cng 1 gi ti thi im n 1).
pha di, chng ta s xt m hnh cy nh thc, l mt trng hp n gin ca
m hnh thi gian ri rc. Chnh v n gin, d tnh ton, nn m hnh cy nh thc
ny rt quan trng trong thc t. (Nhiu chng trnh tnh gi option trn cc th trng
chng khon th gii l da trn m hnh cy nh thc).
1.1. MT S M HNH BIN NG GI CHNG KHON 11
1.1.4 M hnh cy nh thc
Ging nh trc, ta k hiu bc thi gian l , v gi thi im n l thi im th
n (thi im th 0 l thi im 0, tc l thi im ban u). Gi ca c phiu ti thi
im th n c k hiu l S(n) hay S
n
. Ta coi S
n
(n Z
+
) l mt qu trnh ngu nhin
vi thi gian ri rc, v ta s vit phng trnh m t chuyn ng ca n.
Ta s gi s l bc thi gian nh n mc, t thi im th n 1 n thi im
th n gi c phiu ch kp thay i 1 ln, ph thuc vo 1 tin xy ra trong khong thi
gian . Tin y s ch l tt (k hiu l g) hoc xu (k hiu l b), v gi c phiu s
thay i, ph thuc vo tin tt hay tin xu, theo cng thc sau:
S
n
=
_
_
_
S
n1
(1 +u
n
) nu tin tt
S
n1
(1 +d
n
) nu tin xu
. (1.22)
Cc i lng u
n
v d
n
khng nht thit phi c nh, m c th ph thuc vo tnh
hung xy ra cho n thi im th n 1 (v c bit vo thi im th n 1 khi
tnh hung c bit). Ni cch khc, chng l cc hm s trn khng gian xc sut
(
n1
, P
n1
) cc tnh hung c th xy ra cho n thi im th n 1 :
u
n
, d
n
:
n1
R. (1.23)
Chng ta s gi s rng S
0
> 0, v cc i lng u
n
v d
n
tha mn cc bt ng thc
u
n
> d
n
> 1, (1.24)
c ngha l gi c phiu lun lun dng, v gi c phiu khi tin tt th cao hn gi c
phiu khi tin xu.
Khng gian xc sut (
n
, P
n
) cc tnh hung c th xy ra n thi im th n l
mt tp hu hn gm c 2
n
phn t: mi phn t c th c k hiu bi 1 dy n ch
ci
n
= (a
1
, . . . , a
n
), trong mi ch ci nhn mt trong hai gi tr g (tin tt) hoc b
(tin xu), v ch ci th i trong dy ng vi tin xy ra t thi im th i 1 n thi
im th i. Ta c th vit:

n

= g, b
n
. (1.25)
M hnh c gi l cy nh thc v mi tnh hung
n1
n thi im n 1 c
r lm hai nhnh, thnh 2 tnh hung n thi im n, k hiu l (
n1
, g) v (
n1
, b).
Ti thi im 0 ban u th cy ch c 1 nhnh, n thi im th 1 th thnh 2 nhnh,
n thi im th 2 th thnh 4 nhnh, v.v.
12 CHNG 1. GII TCH NGU NHIN
Hnh 1.1: Cy nh thc
Xc sut r nhnh t tnh hung
n1
thnh tnh hung (
n1
, g)
n
c k
hiu l p
n
(
n1
), v n c th c tnh theo cng thc xc sut c iu kin:
p
n
(
n1
) = P((
n1
, g)[
n1
) =
P
n
(
n1
, g)
P
n1
(
n1
)
. (1.26)
Ngc li, khi ta bit cc xc sut r nhnh p
n
, th ta cng c th tm li c phn b
xc sut trn
n
theo cng thc sau: vi mi
n
= (a
1
, . . . ,
n
)
n
, ta c
P(
n
) =
n

i=1
P(
i
)
P(
i1
)
, (1.27)
trong
i
= (a
1
, . . . , a
i
),
P(
i
)
P(
i1
)
= p
n
(
i1
) nu a
i
= g v
P(
i
)
P(
i1
)
= 1 p
n
(
i1
) nu
a
i
= b. Chng ta s gi s cc phn b xc sut y l khng suy bin, c ngha l cc
xc sut r nhnh tha mn bt ng thc 0 < p
n
< 1.
Cc i lng u
n
, d
n
v p
n
c th c coi nh l cc qu trnh ngu nhin, v n
khng nhng ph thuc vo n, m cn c th ph thuc vo tnh hung xy ra. Cc qu
trnh ngu nhin ny c gi l d on c, v t thi im th n 1 bit c
cc gi tr ca u
n
, d
n
v p
n
.
V d 1.3. Mt m hnh nh thc hai bc, tc l vi n 2:
S
0
= 100 (gi thi im 0 l 100)
S
1
(g) = 125 (gi thi im 1 l 125 nu tin tt)
S
1
(b) = 105 (gi thi im 1 l 105 nu tin xu)
p
1
= 0.5 (xc sut tin u tin l tt bng 0.5)
S
2
(g, g) = 150 (gi thi im 2 l 150 nu tin u tt tin sau cng tt)
S
2
(g, b) = 115 (gi thi im 2 l 115 nu tin u tt tin sau xu)
1.1. MT S M HNH BIN NG GI CHNG KHON 13
p
2
(g) = 0.4 (nu tin u tt, th xc sut tin th hai cng tt l 0.4)
S
2
(b, g) = 130 (gi thi im 2 l 130 nu tin u xu tin sau tt)
S
2
(b, b) = 90 (gi thi im 2 l 115 nu tin u xu tin sau cng xu)
p
2
(b) = 0.7 (nu tin u xu, th xc sut tin th hai tt l 0.7)
Theo m hnh ny, ti thi im 0, S
2
l mt bin ngu nhin nhn 4 gi tr 150, 115,
130 v 90, vi cc xc sut tng ng l: 0.5 0.4 = 0.2, 0.5 (1 0.4) = 0.3, v
(1 0.5) 0.7 = 0.35, (1 0.5) (1 0.7) = 0.15. Ti thi im 1, th S
2
vn l bin
ngu nhin, nhng n ch cn nhn 2 gi tr, v ph thuc vo tnh hung xy ra cho n
thi im 1. V d, nu tin u tin l tt, th khi S
2
l bin ngu nhin vi hai gi
tr 150 v 115, vi cc xc sut tng ng l 0.4 v 1 0.4 = 0.6.
Mt trng hp c bit ca cy nh thc hay c dng n l khi u
n
= u, d
n
= d
v p
n
= p l nhng hng s, khng ph thuc vo n cng nh l vo cc tnh hung xy
ra. Ta s gi m hnh cy nh thc m trong u
n
, d
n
, p
n
l cc hng s l m hnh cy
nh thc bt bin (invariant binary tree model), phn bit vi m hnh cy nh thc
tng qut. M hnh cy nh thc bt bin tt nhin l tnh ton d hn so vi m hnh
nh thc tng qut v c t tham s hn, v bi vy hay c dng, nhng b li n khng
c chnh xc bng m hnh tng qut.
Hnh 1.2: Cy nh thc bt bin 3 bc
Bi tp 1.1. Vit li phng trnh chuyn ng (1.22) ca m hnh cy nh thc di
dng chun
S
n
S
n1
S
n1
=
n
+
n
E
n
: tnh
n
,
n
v tm phn b xc sut ca E
n
t
cc bin u
n
, d
n
v p
n
.
Bi tp 1.2. i) Chng minh rng, trong m hnh cy nh thc bt bin, vo thi im 0
ban u, S
n
l mt bin ngu nhin nhn n+1 gi tr (1 +u)
i
(1 +d)
ni
S
0
, i = 0, 1, . . . , n
(thay v c th nhn n 2
n
gi tr nh trong m hnh cy nh thc tng qut), v mi
gi tr (1 +u)
i
(1 +d)
ni
S
0
c xc sut l C
i
n
p
i
(1 p)
ni
, trong C
i
n
= n!/(i!(n i)!) l
14 CHNG 1. GII TCH NGU NHIN
nh thc Newton. (Phn b xc sut vi cc xc sut nh vy c gi l phn b nh
thc, xem [5]).
ii) Tnh k vng E(S
n
) ca gi c phiu sau n bc trong m hnh cy nh thc bt bin.
1.1.5 M hnh vi thi gian lin tc
Trong ton hc, cc m hnh vi thi gian lin tc c th c xy dng nh l gii
hn ca cc m hnh vi thi gian ri rc, khi m bc thi gian tin ti 0. i vi cc
qu trnh ngu nhin m t gi c phiu cng vy: mt qu trnh vi thi gian lin tc
c th nhn c bng cch ly gii hn mt qu trnh vi thi gian ri rc, khi m
bc thi gian tin ti 0. Phng trnh m t chuyn ng ca mt qu trnh ngu nhin
trong trng hp thi gian lin tc s l phng trnh vi phn ngu nhin (stochastic
differential equation). M hnh vi thi gian lin tc n gin nht, 1 chiu, m t s
thay i ca gi c phiu, c dng sau:
dS
t
S
t
= (t, S
t
)dt +(t, S
t
)dB
t
, (1.28)
hay cn vit l
dS
t
= (t, S
t
)S
t
dt +(t, S
t
)S
t
dB
t
, (1.29)
trong (t, S
t
) l h s drift, (t, S
t
) l h s volatility, l cc hm s vi hai bin s
thc, c cho bi m hnh, (mi khi bit gi tr ca t v S
t
th cng bit gi tr ca
v ), B
t
l mt qu trnh ngu nhin gi l chuyn ng Brown (Brownian motion).
Chuyn ng Brown B
t
ny c sinh ra bng cch ly gii hn phn ngu nhin trong
m hnh ri rc, khi khi bc thi gian tin ti 0.
Phng trnh trn hiu ngha nh sau:
Khi m thi gian t dch chuyn i mt i lng t = t

t > 0 rt nh, th gi
c phiu cng dch chuyn i mt i lng S
t
= S
t
S
t
, bng tng ca hai phn,
mt phn l d on c ti thi im t, v mt phn l khng d on c. Phn
d on c xp x bng (t, S
t
).S
t
.t, cn phn khng d on c xp x bng
(t, S
t
).S
t
.(B
t
B
t
).
Chng ta s ngha chnh xc chuyn ng Brown, v nghin cu phng trnh vi phn
ngu nhin , trong cc phn pha sau ca chng ny. Cc tnh cht quan trng nht ca
mt chuyn ng Brown B
t
l:
Bc chuyn ng B
t
B
t
t thi im t n thi im t

> t l c lp theo ngha

xc sut vi mi iu xy ra cho n thi im t.
1.1. MT S M HNH BIN NG GI CHNG KHON 15
Phn b xc sut ca bin ngu nhin B
t
B
t
(ti thi im t) l phn b normal
N(0, t

t) vi k vng bng 0 v phng sai bng t

t.
Cc tnh cht trn ca thnh phn chuyn ng Brown B
t
trong phng trnh vi phn
ngu nhin (1.1.5) c th c gii thch mt cch trc gic nh sau:
Bc chuyn ng B
t
B
t
t thi gian t n thi gian t

> t khng ph thuc vo

bt c iu g xy ra cho n thi im t, bi v nhng ci g m ph thuc vo
nhng chuyn xy ra ti t v cc thi im trc th coi l d on c v
c th chuyn sang phn d on c trong m hnh. Phn hon ton khng d
on c ca m hnh l phn khng h ph thuc vo nhng iu xy ra trc
.
Phn khng d on c c th coi l c k vng bng 0, bi v bn thn k vng
l i lng d on c, nu khc 0 c th chuyn sang phn d on c ca
m hnh.
Phn khng d on c trong khong thi gian t = t

t t t n t

c th
chia thnh tng ca N phn khng d on c cho cc khong thi gian c
di t/N t t + (i 1)t/N n t +it/N. Nh vy n l tng ca N bin ngu
nhin, m ta c th coi l c lp (do tnh hon ton khng d on c va nu
trn) v c phn b xc sut tng t nhau. Theo nh l gii hn trung tm (xem
Chng 4 ca [5]) th mt tng nh vy, khi N tin ti v cng, phi tin ti mt
bin ngu nhin c phn b xc sut l phn b normal. Chnh bi vy m phn
khng d on c B
t
B
t
trong m hnh c phn b normal.
xc nh mt phn b xc sut normal, ta ch cn bit k vng v phng sai
ca n. y ta bit k vng bng 0. Cc bin ngu nhin c lp c phng
sai ca tng bng tng ca cc phng sai. V tnh cht cng tnh ca phng sai
theo thi gian (khi chia mt bc chuyn ng ngu nhin B
t
B
t
thnh nhiu
bc nh theo thi gian), nn phng sai ca B
t
B
t
c t bng ng t

t,
sau khi ta chun ha n bng cch a h s volatility vo m hnh.
16 CHNG 1. GII TCH NGU NHIN
1.2 Chuyn ng Brown
Chuyn ng Brown (Brownian motion) l mt lp cc qu trnh ngu nhin mang
tn nh thc vt hc Robert Brown (17731858)
(1)
, ngi quan st chuyn ng ca
cc ht bi (phn hoa) trong nc thy chng i hng lin tc (mi khi va p phi cc
phn t khc th li i hng). N cn c gi l qu trnh Wiener, theo tn nh ton
hc Robert Wiener (18941964), ngi c nhiu cng trnh nghin cu v cc qu trnh
ngu nhin v nhiu
(2)
. T nm 1900, ng Louis Bachelier t c s cho ton ti chnh
hin i bng vic dng chuyn ng Brown m hnh ha cc qu trnh bin ng gi
chng khon trong lun n tin s ca mnh, tuy rng lun n ca ng ta thi khng
c my ai quan tm, v phi n na sau th k 20 ngi ta mi thc s quan tm n
n. Chuyn ng Brown l mt trong nhng lp qu trnh ngu nhin quan trng nht,
v phn ln cc chuyn ng ngu nhin c tnh lin tc trong thc t c th c m
hnh ha da trn chuyn ng Brown v cc php bin i gii tch. y, chng ta s
nh ngha v mt ton hc th no l mt chuyn ng Brown, v nghin cu mt s
tnh cht quan trng nht ca n.
1.2.1 nh ngha chuyn ng Brown
C th nh ngha chuyn ng Brown trn cc khng gian nhiu chiu. Tuy nhin,
trong khun kh quyn sch ny, chng ta s ch nh ngha chuyn ng Brown 1 chiu,
trn tp hp cc s thc R.
nh ngha 1.2. Mt qu trnh ngu nhin B
t
vi thi gian lin tc (tp cc mc thi
gian l R
+
) nhn gi tr thc, tng thch vi mt m hnh xc sut (, T
t
, P), c gi
l mt qu trnh Wiener hay chuyn ng Brown chun tc 1 chiu, nu n tha
mn cc iu kin sau:
i) Xut pht im l 0: B
0
= 0.
ii) B
t
l mt qu trnh lin tc. C ngha l, vi hu ht mi , hm s B

(t) :=
B
t
(), tc l qu o ca B
t
trong tnh hung , l hm lin tc theo bin thi gian t.
iii) Vi mi 0 s < t, bin ngu nhin B
t
B
s
(gi l bc i, hay gia s, ca qu
trnh ngu nhin t s n t) khng ph thuc vo tnh hung xy ra cho ti thi im
s, hay ni cch khc, n c lp vi sigma-i s T
s
. C ngha l, vi mi A T
s
v
(1)
Xem: http://en.wikipedia.org/wiki/Robert_Brown_(botanist)
(2)
Xem: http://en.wikipedia.org/wiki/Norbert_Wiener . Cc nhiu m c m hnh bi chuyn ng
Brown gi l nhiu trng (white noise).
1.2. CHUYN NG BROWN 17
[a, b] R ta c
P(A (B
t
B
s
[a, b])) = P(A).P(B
t
B
s
[a, b]). (1.30)
iv) Vi t > s 0 bt k, phn b xc sut ca B
t
B
s
(bc i trong khong thi gian
t s n t ca chuyn ng) l phn b normal N(0, t s) vi k vng bng 0 v phng
sai bng t s.
Khi ni mt qu trnh no l chuyn ng Brown m khng ni c th thm, chng
ta s lun hiu l chuyn ng Brown chun tc 1 chiu.
Trong nh ngha trn, iu kin i) l chun ha, gi im xut pht ca chuyn
ng l 0. iu kin ii) l tnh cht lin tc ca chuyn ng Brown. ngha ca iu
kin iii) cng kh hin nhin: nhng bc chuyn ng trong tng lai khng h ph
thuc vo nhng g xy ra trong qu kh. iu kin iv) xut pht t tng sau:
bc chuyn ng theo thi gian t s n t, vi di thi gian bng ts, c th chia nh
thnh tng ca N bc chuyn ng c lp, mi bc c gii thi gian l (t s)/N
(vi mi s t nhin N). Khi N tin n v cng, th theo nh l gii hn trung tm
(xem Chng 4 ca [5]), tng ca N bin ngu nhin c lp cng phn b xc sut s
c phn b xc sut tin n mt phn b normal (sau khi chun ha). Bi vy, mt
cch trc gic, phn b xc sut ca B
t
B
s
phi l phn b normal. Vic t phn b
normal y bng N(0, t s) cng l chun ha.
T nh ngha trn, suy ra ngay c rng, nu B
t
l mt chuyn ng Brown v
0 < t
1
< . . . < t
n
th b n bin ngu nhin (B
t
1
, . . . , B
t
n
) c phn b xc sut chung l
phn b normal n chiu (xem Chng 3 ca [5] v phn b normal nhiu chiu).
Bi tp 1.3. Chng minh rng, nu B(t) l mt chuyn ng Brown, th cc qu trnh
B(t), B(t + t
0
) B(t
0
) (trong t
0
> 0 l mt hng s), v aB(t/a
2
) (trong a ,= 0
l mt hng s) cng l cc chuyn ng Brown.
Bi tp 1.4. t Z
t
= a +t +B
t
trong a, , l cc hng s. Tm phn b xc sut
ca cc gia s Z
t
Z
s
, v chng minh rng qu trnh Z
t
cng l qu trnh lin tc v c
gia s c lp, tc l n tha mn cc tnh cht iii) v iv) trong nh ngha chuyn ng
Brown. (Qu trnh Z
t
ny c th c gi l mt chuyn ng Brown khng chun
tc, vi xut pht im l a, h s volatility l v h s drift l ).
Bi tp 1.5. Gi s B
t
l mt chuyn ng Brown, v a > 0 l mt hng s. Xy dng
mt qu trnh ngu nhin W
t
sau, gi l gng phn (reflection) ca B
t
theo a:
- Nu B
s
() < a vi mi s < t, th W
s
() = B
t
(). (Tc l khi cha i ln chm vo n
18 CHNG 1. GII TCH NGU NHIN
a, th qu trnh W
t
trng vi B
t
).
- Nu tn ti s < t sao cho B
s
() = a, th W
t
() = 2a B
t
(). (K t khi bt u chm
vo a, th W
t
l gng phn ca B
t
qua a).
Chng minh rng qu trnh W
t
xy dng nh trn cng l mt chuyn ng Brown.
Bi tp 1.6. Chng minh cng thc xc sut vt ro sau y ca chuyn ng Brown:
P max
0tT
B
t
a = 2
_

a
e
x
2
/2T

2T
dx. (1.31)
Hng dn: vit s kin max
0tT
B
t
a di dng hp khng gian nhau ca hai s kin
B
T
a v W
T
> a, trong W
t
l gng phn ca B
t
qua a nh trong bi tp trc.
1.2.2 Phn b xc sut ca chuyn ng Brown
Gi s S
t
l mt qu trnh ngu nhin ty , tng thch vi mt m hnh xc sut
(, T
t
, P), v gi T l tp cc mc thi gian ca qu trnh ny. (Trng hp T = R
+
l
trng hp thi gian l lin tc, cn trng hp T = 0 = t
0
< t
1
< t
2
< . . . l trng
hp vi thi gian ri rc; mt qu trnh ngu nhin S
t
vi thi gian ri rc cng c th
c coi l qu trnh vi thi gian lin tc bng cch t S
t
= S
t
n
nu t kp gia hai mc
thi gian ri rc t
n
v t
n+1
: t
n
t < t
n+1
). Ta c th coi qu trnh ngu nhin S
t
nh l
mt nh x
S : R
T
(1.32)
t khng gian cc tnh hung vo khng gian R
T
cc hm s thc trn T : nh ca
mt tnh hung theo nh x ny chnh l qu o S

(.) = S
.
() ca S trong tnh hung
. Qu trnh ngu nhin S
t
cng s c k hiu l S hay S(t), nu k hiu nh th tin
hn.
Nu X l mt bin ngu nhin (hay mt vector ngu nhin n chiu), th c mt phn
b xc sut P
X
tng ng trn R (hay trn R
n
), c nh ngha bng push-forward:
P
X
(A) = P(X A) (1.33)
trong A l on thng bt k trn R (hay mt hnh hp bt k trong R
n
). Khi lm
cc php tnh vi cc bin ngu nhin hay cc vector ngu nhin ra cc con s c
ngha, th m hnh khng gian xc sut ban u ni chung khng quan trng, m ci
quan trng chnh l phn b xc sut ca n trn R hay R
n
. Tng t nh vy, khi tnh
ton vi mt qu trnh ngu nhin S
t
, th m hnh phn b xc sut ban u (, T
t
, P)
khng quan trng trng bng phn b xc sut P
S
trn R
T
, nhn c t phn b xc
1.2. CHUYN NG BROWN 19
sut trn qua push-forward ca nh x S, v gi l phn b xc sut ca qu trnh
ngu nhin S
t
trn R
T
: Sigma-i s trn R
T
l sigma-i s Borel B, sinh bi cc
tp con c dng
C
A
t
1
,...,t
n
= f : T R; (f(t
1
), . . . , f(t
n
)) A, (1.34)
trong n N, t
i
l cc phn t ca T v A R
n
l mt tp Borel. Cc tp c dng
nh vy c gi l cc tp hnh tr (cylinder). Xc sut theo P
S
ca tp hnh tr l:
P
S
(C
A
t
1
,...,t
m
) = P(S
t
1
, . . . , S
t
n
) A, (1.35)
Sigma-i s Borel B trn R
T
c mt lc t nhin cc sigma-i s con B

, gi l lc
Borel: vi mi t T , B
t
c sinh bi cc tp hnh tr C
A
t
1
,...,t
n
tha mn iu kin t
i
t
vi mi i = 1, . . . , n.
S tng thch ca mt qu trnh S
t
vi m hnh xc sut(, T
t
, P) tng ng vi
iu kin sau: S

B
t
T
t
, trong B
t
l lc Borel trn R
T
v S

B
t
l nh ngc ca n
trn theo S. Ta c th ly lun S

B
t
lm lc cho m hnh khng gian xc sut ca S
trn , nu lc trn cha c nh. Lc S

B
t
c tnh cht ti u sau: mi lc khc trn
sao cho S l tng thch phi cha lc ny. Ta s gi S

B
t
l lc sinh bi S trn khng
gian xc sut .
Ch rng, mi phn b xc sut trn R
T
, vi sigma i s l sigma-i s Borel sinh
bi cc tp hnh tr, u l phn b xc sut ca mt qu trnh ngu nhin tng thch
S
t
no . Tht vy, ta c th xy dng v d nh sau: t khng gian cc tnh hung
bng chnh R
T
vi phn b xc sut ny, t lc T
t
cc sigma-i s con bng chnh lc
Borel B
t
, v t S
t
() = (t), tc l khi tnh hung xy ra th qu o ca qu trnh
ngu nhin S
t
chnh l hm s . Khng nh ny c gi l nh l Kolmogorov v
s tn ti ca cc qu trnh ngu nhin vi phn b xc sut cho trc.
Trong trng hp m S
t
= B
t
l mt chuyn ng Brown, th theo nh ngha, vi
mi 0 t
0
< t
1
. . . < t
n
t v cc on thng D
i
R, ta c:
P(B
t
i
B
t
i1
D
i
i = 1, . . . n) =
n

i=1
P(B
t
i
B
t
i1
D
i
) =
n

i=1
_
D
i
1

2
e
x
2
/2
dx,
(1.36)
v do xc sut ca cc tp hnh tr trn R
R
+
theo phn b xc sut ca chuyn ng
Brown l:
P
S
(C
A
t
1
,...,t
m
) =
1
(

2)
n
_
A
e
x
2
1
/2
e
(x
2
x
1
)
2
/2
. . . e
(x
n
x
n1
)
2
/2
dx
1
. . . dx
n
(1.37)
20 CHNG 1. GII TCH NGU NHIN
chng t s tn ti v mt ton hc ca chuyn ng Brown, ta c th xy dng
v d hon ton tng t nh trong trng hp tng qut. Ch c iu khc l, l thay
v t = R
R
+
l khng gian tt c cc hm s thc trn na ng thng R
+
, ta t
= C
0
(R
+
, R) [ (0) = 0 l khng gian cc hm s lin tc trn R
+
v c gi tr
bng 0 ti 0, m bo mi qu o u l lin tc. Cc tp hnh tr, v cc sigma-i
s, nh ngha ht nh c, ch thm iu kin l cc phn t u l cc hm lin tc. V
d m hnh chuyn ng Brown ny cho thy, qu o ca mt chuyn ng Brown c
th l mt hm s lin tc bt k. Tuy nhin, nh chng ta s thy, hu ht cc qu o
ca mt chuyn ng Brown tha mn mt s tnh cht c trng nh: khng kh vi ti
bt c im no, v c bin phn v hn.
Ghi ch 1.1. iu kin iii) trong nh ngha ca chuyn ng Brown hay c thay bng
iu kin sau:
iii) Vi mi 0 t
0
< t
1
< . . . < t
n
, b n bin ngu nhin (B
t
1
B
t
0
, B
t
2
B
t
1
, . . . , B
t
n

B
t
n1
) l mt b bin ngu nhin c lp. Ni cch khc, cc bc i ca chuyn ng
Brown l c lp vi nhau.
Mt qu trnh ngu nhin tha mn iu kin iii) pha trn th c gi l mt qu
trnh c gia s c lp (independent increments).
D thy rng iu kin iii) l h qu ca iu kin iii). Trong trng hp m lc T
t
trong m hnh xc sut chnh l lc sinh bi qu trnh ngu nhin, th iu kin iii) tng
ng vi iu kin iii).
1.2.3 i do ngu nhin
Chuyn ng Brown c dng nhiu trong thc t, chnh l v n l gii hn (lin
tc ha) ca cc qu trnh ngu nhin vi thi gian ri rc c dng gi l i do ngu
nhin, khi ta cho di thi gian ca mi bc i tin ti 0. Cc quan st ca Robert
Brown dn n chuyn ng mang tn ng cng chnh l quan st s i do ngu nhin
ca cc ht bi trong nc (tc l thc ra trong cc khong thi gian rt nh, gia 2 ln
va p vo cc phn t khc, th chuyn ng ca mt ht bi l c hng nht nh,
ch khng hon ton v hng (k vng ca gia s bng 0) nh trong nh ngha ca qu
trnh Wiener).
Ni mt cch c th hn, xt mt qu trnh ngu nhin X

vi thi gian ri rc, c

bc thi gian bng > 0. Gi s l X
0
= 0, cc gi s X
n
X
(n1)
l c lp vi nhau
v c cng phn b xc sut, l phn b Bernoulli sau: xc sut X
n
X
(n1)
= a

l
1.2. CHUYN NG BROWN 21
50% v xc sut X
n
X
(n1)
= a

cng l 50%, trong a

l mt hng s dng
c ph thuc vo tham s m chng ta s xc nh sau. Mt qu trnh ngu nhin nh
vy c gi l mt qu trnh i do ngu nhin (random walk) mt chiu, vi di
ca bc thi gian bng v di ca bc i do bng a

(tc l c sau mi khong

thi gian th li dch chuyn ton ton ngu nhin, hoc l sang tri hoc l sang phi,
mt on c di a

). Qu trnh i do ngu nhin ny l mt trng hp c bit ca

m hnh cy nh thc.
Hnh 1.3: Mt s v d th ng i do ngu nhin ( = a

= 1)
Xt qung ng i c X

t
X

s
ca mt qu trnh i do ngu nhin t mt thi
im s = M n mt thi im t = (M +N). Ta c th vit
X

t
X

s
=
N

i=1
Y

M+i
(1.38)
trong Y

M+i
= X

(M+i)
X

(M+i1)
l tng bc i mt. Theo gi thit, cc bc
i Y

N+i
l c lp vi nhau v c cng phn b xc sut l phn b Bernoulli, tc l
X

t
X

s
l tng ca N bin ngu nhin cng phn b xc sut. Khi N ln (tc l nh,
v ta gi s s v t c nh, v t s = N), ta c th s dng nh l gii hn trung tm
nghin cu phn b xc sut ca X

t
X

s
. Trc ht, nhc li nh l gii hn trung
22 CHNG 1. GII TCH NGU NHIN
tm (xem Chng 4 ca [5]; trng hp c bit ca n, cho cc phn b Bernoulli, c
chng minh bi de Moivre v Laplace t th k 18):
nh l 1.1 (nh l gii hn trung tm). Gi s Y
1
, Y
2
, . . . , Y
n
, . . . l mt dy cc
bin ngu nhin c lp c cng phn b xc sut vi k vng bng 0 v lch chun
bng hu hn. t Z
N
=
N

i=1
Y
i

N
. Khi vi mi on thng [a, b] R, ta c:
lim
N
P (a Z
N
b) =
_
b
a
1

2
e
x
2
/2
dx. (1.39)
Ni cch khc, phn b xc sut ca Z
N
tin ti phn b normal chun tc N(0, 1) khi
N tin ti v cng.
Ch rng, trong nh l gii hn trung tm, c i lng

N xut hin. s dng

nh l gii hn trung tm cho X
t
X
s
, ta s t Y

M+n
= Y
n
/
_
N/(t s) =

Y
n
, hay
Y
n
= Y

M+n
/

t. Ta s coi l cc bin Y

M+n
/

t c cng phn b xc sut v phn b ny

khng ph thuc vo . Nhc li rng, phn b xc sut ca Y

M+n
l phn b Bernoulli,
nhn hai gi tr a

, vi xc sut 50% cho mi gi tr. Ni rng phn b xc sut ca

Y

M+n
/

t khng ph thuc vo c ngha l a

t l hng s khng ph thuc vo .

cho tin, ta s t
a

t. (1.40)
Khi lch chun ca Y

M+n
/

t ng bng 1, v ta c X

t
X

s
=

N
i=1
Y

M+i
=

t sZ
N
. Nh vy, ta c h qu sau ca nh l gii hn trung tm:
nh l 1.2. Gi X

t
l qu trnh i do ngu nhin 1 chiu vi bc thi gian bng
v bc dch chuyn bng

. Gi s t > s > 0 l hai mc thi gian bt k. Khi phn
b xc sut ca X

t
X

s
tin ti phn b normal N(0,

t s) khi m tin ti 0.
Trong nh l trn, t v s khng nht thit phi chia ht cho (bng nhn vi
mt s nguyn), v mi qu trnh ngu nhin X
t
vi thi gian ri rc u c th c
coi l qu trnh ngu nhin vi thi gian lin tc, qua mt cng thc ni suy. V d, nu
t
n
< t < t
n+1
, trong t
n
v t
n+1
l hai mc thi gian lin tip ca qu trnh ri rc,
th ta c th t X
t
= X
t
n
(coi n l bt bin trn tng khc thi gian), hoc l t
X
t
=
t
n+1
t
t
n+1
t
n
X
t
n
+
tt
n
t
n+1
t
n
X
t
n+1
( bin n thnh qu trnh ngu nhin lin tc tuyn
tnh tng khc). nh l trn ng vi c hai cch t .
nh l trn cho thy cc qu trnh i do ngu nhin X

t
(vi bc thi gian bng
v bc dch chuyn bng

) tin ti (theo ngha phn b xc sut) chuyn ng Brown
1.2. CHUYN NG BROWN 23
chun tc khi tin ti 0, v n cng gii thch v sao ta yu cu rng gia s B
t
B
s
ca
chuyn ng Brown phi c phn b xc sut l phn b N(0,

t s). V l qu trnh
i do ngu nhin X

t
c bc dch chuyn

tin ti 0 khi tin ti 0, nn, mt cch
trc gic, gii hn ca X

t
khi tin ti 0 phi l qu trnh lin tc (tc l hu ht mi
ng i u l lin tc). Do vy m ta c iu kin lin tc trong nh ngha ca chuyn
ng Brown.
1.2.4 Mt s tnh cht ca chuyn ng Brown
Mt trong nhng tnh cht quan trng nht ca chuyn ng Brown l tnh cht
martingale. pht biu tnh cht ny bng cng thc ton hc, ta cn khi nim k
vng theo sigma-i s con: Nu X l mt bin ngu nhin trn khng gian xc sut
(, T, P), v ( l mt sigma-i s con ca T, th k vng ca X theo ( (nu tn ti),
theo nh ngha, l mt bin ngu nhin Y trn khng gian xc sut (, (, P), (tc l
hm Y : R l hm o c khng nhng theo T m cn o c theo () sao cho
vi mi tp con A o c theo ( (tc l A () ta c
_
A
XdP =
_
A
Y dP. (1.41)
hiu ngha ca ng thc (1.41), hnh dung l P(A) > 0, nhng A nh sao cho
Y l hng s (hoc gn nh l hng s) trn A. Chia c hai v ca ng thc cho P(A),
ta c
E(X[A) = Y (A), (1.42)
trong v tri l k vng c iu kin ca X trong iu kin A, v v phi l gi tr
(trung bnh) ca Y trong (tp) tnh hung A. V A ( l ty , nn ta ni rng k vng
ca X theo ( bng Y , v ta vit
E(X[() = Y. (1.43)
nh l 1.3. (Tnh cht martingale). Vi mi 0 s t ta c
E(B
t
[T
s
) = B
s
, (1.44)
hay cn c th vit l:
E(B
t
B
s
[T
s
) = 0, (1.45)
tc l k vng (c iu kin) ca mi bc i B
t
B
s
(d tnh hung xy ra cho n thi
im s) u bng 0.
24 CHNG 1. GII TCH NGU NHIN
nh l trn chng qua l h qu trc tip ca cc iu kin ii) v iii) trong nh ngha
chuyn ng Brown.
nh l 1.4. Gi s B
t
l mt chuyn ng Brown. Khi tn ti mt tp con

trong khng gian cc tnh hung, c xc sut bng 1, sao cho vi mi tnh hung

th qu o B

(t) := B
t
() tha mn cc tnh cht sau:
i) Vi mi a R, c v hn cc thi im t R
+
sao cho B

(t) = a.
ii) Vi mi > 0, tp hp cc khng im ca B

(tc l cc im t sao cho B

(t) = 0)
trn on thng [0, ] l mt tp v hn.
iii) B

khng n iu theo t trn bt c on thng no.

iv) B

khng kh vi ti bt c im no theo t.
Ni cch khc, hu ht cc qu o ca mt chuyn ng Brown tha mn cc tnh cht
trn.
Chng minh. i) Ta s gi s a > 0 (cc trng hp khc chng minh tng t). D thy
rng, nu B
t
l chuyn ng Brown v > 0 l hng s, th
1

2
t
cng l chuyn ng
Brown. (Xem bi tp 1.3). Tnh cht ny gi l tnh cht scaling (phng to thu nh)
ca chuyn ng Brown. Do tnh cht scaling nn ta c
P(B
t
< x[B
s
< y) = P(B

2
t
< x[B

2
s
< y) (1.46)
vi mi hng s x, y, , s v t tha mn > 0, 0 < s < t. Trng hp ring ca ng thc
trn l
P(B
4
n < 2
n
a[B
4
n1 < 2
n1
a) = P(B
4
n+1 < 2
n+1
a[B
4
n < 2
n
a) = c, (1.47)
vi c l mt s nh hn 1, ln hn 0, v khng ph thuc vo n Z. Bi vy
P(B
4
n < 2
n
0 n N) = P(B
1
< a)
N

n=1
P(B
4
n < 2
n
a[B
4
n1 < 2
n1
a) = c
N
P(B
1
< a)
(1.48)
tin ti 0 khi N tin ti v cng, v do vy P(B
4
n < 2
n
a n Z
+
) = 0. C ngha
l, vi hu ht mi tnh hung , tn ti t nht mt s nguyn khng m n sao cho
B

(4
n
) 2
n
a a. V (vi hu ht mi ) B

l hm lin tc theo t, c gi tr bng 0

ti 0 v gi tr ln hn hoc bng a ti mt thi im no , nn n cng phi nhn a
lm gi tr ti thi im no (theo nh l gi tr trung gian cho hm lin tc). Nh
vy ta chng minh c rng, trong hu ht mi tnh hung , th tn ti t nht 1
thi im sao cho gi tr ca B

ti thi im bng a. Tng t nh vy, ta c th

chng minh rng, vi mi M R
+
, hu nh chc chn rng qu o ca chuyn ng
1.2. CHUYN NG BROWN 25
Brown c nhn gi tr bng a ti mt thi im ln hn M. V M l ty , nn t suy
ra hu nh chc chn rng qu o ca chuyn ng Brown c nhn gi tr bng a ti v
hn cc thi im. Tht vy, gi A
k,M
l tp cc tnh hung tha mn iu kin: trn
on thng [0, M[ c t nht k thi im m gi tr ca B

bng a. V hu nh chc chn

rng trn na ng thng [M, [ c t nht 1 thi im m gi tr ca B

bng a, nn
P(A
k+1,
) P(A
k,M
) vi mi M. Do P(A
k+1,
) lim
M
P(A
k,M
) = P(A
k,
), v
theo qui np, ta c P(A
k,
) P(A
0,
) = 1, tc l P(A
k,
) = 1. V tp cc tnh hung
tha mn iu kin c v s thi im m gi tr ca qu o l a l tp

k=1
A
k,
,
nn tp ny cng c xc sut bng 1.
ii) Tng t nh pha trn, do tnh cht scaling nn P(B
4
n

< 2
n
n Z
+
) = 0,
do hu nh chc chn rng tn ti n Z
+
sao cho B
4
n

2
n
> 0. Tng t nh
vy, hu nh chc chn rng tn ti m Z
+
sao cho B
4
m

2
m
< 0. V (vi hu ht
mi ) qu o B

l lin tc v nhn c gi tr m ln gi tr dng trn on thng

na m ]0, ], nn n phi c t nht mt khng im trn on thng ]0, ] ny. V l
ty , nn t suy ra l hu ht mi qu B

o phi c v hn khng im trong on

[0, ], cng bng l lun tng t nh l trong chng minh tnh cht i).
iii) Chng minh ht nh l chng minh tnh cht ii). (Ch cn chng minh cho cc
on thng c iu u v im cui l s hu t l , v tp hp cc on thng nh
vy l tp m c).
iv) Tnh khng kh vi ti bt c im no cng c chng minh bng tnh cht
scaling ca chuyn ng Brown v nhng l lun tng t nh trong chng minh cc tnh
cht i) v ii). Chng ta s b qua chng minh ca tnh cht iii) y. (N l mt tnh
cht th v, nn c a vo tham kho, ch chng ta cng s khng cn dng n
n trong quyn sch ny).
1.2.5 Bin phn v bin phn bnh phng
Theo nh ngha, bin phn ca mt hm s f trn mt on thng [a, b] l i lng
V
b
a
(f) = sup
n

i=1
[f(x
i
) f(x
i1
)[ ; n N, x
0
= a < x
1
< . . . < x
n
= b. (1.49)
Nu i lng bng + th ta ni rng f c bin phn v hn trn on [a, b], cn
nu n nh hn + th ta ni rng f c bin phn hu hn trn on [a, b]. V d,
26 CHNG 1. GII TCH NGU NHIN
nu f l hm kh vi lin tc, th n c bin phn hu hn, bng
V
b
a
(f) =
_
b
a
[f

(t)[dt. (1.50)
Tng qut hn, mi hm s f tha mn iu kin Lipschitz (tc l tn ti mt hng s K
sao cho [f(x)f(y)[ K[xy[ vi mi x v y s c bin phn hu hn: V
b
a
(f) K(ba).
Nh ta thy trong mc trc, chuyn ng Brown l khng kh vi. Hn na, n
cn c bin phn v hn:
nh l 1.5. Gi s B
t
l mt chuyn ng Brown. Khi hu ht mi qu o B

ca
B
t
u c bin phn v hn trn mi on thng [a, b] (0 a < b).
Chng minh. N l h qu trc tip ca nh l 1.6 di y, bi v nu mt hm lin
tc c bin phn hu hn trn mt on thng no , th bin phn bnh phng ca
n trn on bng 0, trong khi i vi chuyn ng Brown, bin phn bnh phng l
khc 0 trn mi on thng.
Theo nh ngha, bin phn bnh phng (quadratic variation) ca mt hm s f
trn mt on thng [a, b] l gii hn:
QV
b
a
(f) = lim
0
n

i=1
[f(x
i
) f(x
i1
)[
2
, (1.51)
trong a = x
0
< x
1
< . . . < x
n
= b l mt phn hoch ca on [a, b], v =
max
i
(x
i
x
i1
) l mn (mesh) ca phn hoch, nu nh gii hn tn ti. (Nu gii
hn khng tn ti, th ta c th thay lim bng limsup, nhng i vi chuyn ng Brown,
vn ny khng t ra, v nh ta s thy, gii hn ny tn ti cho hu khp mi qu
o ca chuyn ng Brown).
D thy rng, nu hm s tha mn iu kin Lipschitz, th n c bin phn vnh
phng bng 0. Tng qut hn, nu mt hm s l lin tc v c bin phn hu hn, th
bin phn bnh phng ca n bng 0. (Khng nh ny dnh cho bn c nh l mt
bi tp).
i vi chuyn ng Brown, th bin phn bnh phng l khc 0 nhng hu hn trn
cc on thng thi gian. Hn na, n bng ng di ca on thng:
nh l 1.6. Gi s B
t
l mt chuyn ng Brown. Khi hu ht mi qu o B

ca
n c bin phn bnh phng trn on thng [a, b] bt k bng ng b a :
QV
b
a
(B

) = b a. (1.52)
1.2. CHUYN NG BROWN 27
Chng minh. Chng ta s chng minh khng nh sau y, hi yu hn nh l 1.6 mt
cht, nhng cho thy bn cht vn : vi hu ht mi tnh hung ta c
lim
N
N

i=1
(B

(i/N) B

((i 1)/N))
2
= 1. (1.53)
t Y
N,i
=
1
N
(B

(i/N) B

((i 1)/N))
2
. Khi cc bin ngu nhin Y
N,i
u c phn
b xc sut bng phn b xc sut ca (B
1
)
2
, tc l phn b ki bnh phng
2
1
(vi
1 bc t do xem chng 4 ca [5] v phn b ki bnh phng). Nhc li rng, phn b

2
1
c k vng bng 1. Ta cn chng minh rng
lim
N
1
N
N

i=1
Y
N,i
= 1
hu khp mi ni. Th nhng y chnh l lut s ln (dng mnh) p dng vo phn
b
2
1
, v cc bin ngu nhin Y
N,1
, . . . , Y
N,N
c lp vi nhau v c cng phn b xc
sut
2
1
. (Xem Chng 3 ca [5] v dng mnh ca lut s ln cch chng minh ca n
tnh hung y hi khc nhng chng minh vn th). Bi vy ta c iu phi chng
minh.
C nh l ngc li sau y ca Paul Lvy
(3)
, cho thy v tr quan trng ca chuyn
ng Brown trong l thuyt cc qu trnh ngu nhin:
nh l 1.7 (Lvy). Mi qu trnh martingale
(4)
vi thi gian lin tc, tha mn tnh
cht lin tc (tc l hu ht mi qu o u lin tc), v c bin phn bnh phng hu
hn, u l chuyn ng Brown sau mt php bin i thi gian.
C th xem chng minh ca nh l Lvy ny trong Chng 2 ca quyn sch [12]
ca Karatzas v Shreve.
Bi tp 1.7. Th chng minh trc tip nh l 1.5 m khng cn dng nh l 1.6
1.2.6 Chuyn ng Brown hnh hc
Gi ca c phiu khng th m (thm ch ta s coi n l lun dng, tuy trong thc t
n c th v 0 khi cng ty ph sn), nn n khng th l chuyn ng Brown, bi v cc
(3)
Paul Lvy (18861971) l nh ton hc Php ni ting v cc cng trnh v xc sut, xem:
http://en.wikipedia.org/wiki/Paul_Pierre_Lvy
(4)
Mt qu trnh S
t
c gi l martingale nu E([S
t
[) < vi mi t, v tha mn tnh cht martingale
E(S
t
[T
s
) = S
s
. iu kin E([S
t
[) < l hin nhin i vi cc qu trnh thc t, c cho thm vo
trong nh ngha cho cht ch v mt ton hc.
28 CHNG 1. GII TCH NGU NHIN
qu o ca chuyn ng Brown xung m bao nhiu cng c. Th nhng, nu ta ly
log ca gi c phiu, th n c th m, v c th hnh dung l chuyn ng theo thi gian
ca log ca gi c phiu di tc ng ca cc lc ngu nhin nh hng tc thi trn
th trng tng t nh l chuyn ng Brown. Bi vy, khi nim chuyn ng Brown
hnh hc sau s quan trng trong vic m t s bin ng ca gi c phiu:
nh ngha 1.3. Nu B
t
l mt chuyn ng Brown chun tc, v a, b, l cc hng s
( > 0), th qu trnh ngu nhin exp(a+bt+B
t
) c gi l mt chuyn ng Brown
hnh hc (geometric Brownian motion). Ni cch khc, mt qu trnh ngu nhin G
t
c gi l mt chuyn ng Brown hnh hc khi v ch khi ln G
t
l mt chuyn ng
Brown (khng nht thit chun tc).
Mt bin ngu nhin X ch nhn gi tr dng c gi l c phn b xc sut log-
normal nu nh ln X c phn b xc sut normal. T nh ngha trn, ta c ngay h
qu sau: nu G
t
l mt chuyn ng Brown hnh hc, v t > s, th G
t
/G
s
c phn b xc
sut log-normal.
Ch rng, tuy chuyn ng Brown B
t
l martingale, nhng exp(B
t
) khng phi l
martingale. Tht vy, ta c
E(exp(B
t
)) =
1

2t
_

e
x
e
x
2
/2t
dx =
1

2t
_

e
t/2
e
(xt)
2
/2t
dx = e
t/2
(1.54)
tng theo thi gian, ch khng bt bin, v do n khng th l martingale. Tuy nhin,
ng thc trn cng cho thy E(exp(B
t
t/2)) = 1 l bt bin theo thi gian. Hn na,
ta c:
nh l 1.8. (nh l v nh ngha). Nu B
t
l chuyn ng Brown th qu trnh ngu
nhin exp(B
t
t/2) l martingale. Qu trnh ngu nhin exp(B
t
t/2) ny c gi l
chuyn ng Brown hnh hc chun tc.
Chng minh. Pha trn ta kim tra rng E(G
t
[T
0
) = G
0
= 1, trong G
t
= exp(B
t

t/2) l chuyn ng Brown hnh hc chun tc. Vic kim tra ng thc E(G
t+s
[T
s
) = G
s
vi mi s 0, t > 0 hon ton tng t, da trn tnh cht ca chuyn ng Brown B
t
.
Tht vy, khi s c nh, th G
t+s
/G
s
= exp(B
t+s
B
s
t/2) cng l mt chuyn ng
Brown hnh hc chun tc, v B
t+s
B
s
cng l mt chuyn ng Brown hnh hc, do
ta c ng thc trn.
Bi tp 1.8. Gi s l mt hng s ty . Chng minh rng qu trnh exp(B
t

2
t
2
),
trong B
t
l chuyn ng Brown chun tc, l mt qu trnh martingale.
1.3. VI PHN CA CC QU TRNH NGU NHIN 29
1.3 Vi phn ca cc qu trnh ngu nhin
Tng t nh i vi cc hm s, chng ta cng mun lm cc php vi tch phn i
vi cc qu trnh ngu nhin, c th tm li c cc qu trnh ngu nhin t vi phn
ca n, qua vic tnh tch phn, gii cc phng trnh vi phn ngu nhin (theo bin thi
gian). Tuy nhin, do cc qu trnh ngu nhin ni chung khng kh vi theo bin thi gian
(chuyn ng Brown l mt v d tiu biu), nn cc php tnh vi tch phn ca chng
phc tp hn v mt k thut so vi gii tch thng thng.
1.3.1 Vi phn ca chuyn ng Brown hnh hc
hiu vi phn ngu nhin, trc ht chng ta xt mt v d c th: vi phn ca
exp(B
t
), trong B
t
l mt chuyn ng Brown chun tc.
Nhc li rng, nu f(t) l mt hm kh vi theo t, th ta c cng thc sau:
d exp(f) = exp(f)df = exp(f)f

dt, (1.55)
trong f

= df/dt l o hm ca f theo t. Th nhng, B

t
khng kh vi theo t, v khi
thay f(t) bng B
t
th cng thc trn khng ng na ! hiu ti sao, chng ta quay
tr li nh ngha th no l vi phn.
Vi phn df ca mt hm s (hay nh x) f l mt k hiu ton hc, ch thay
i ca f khi cc bin ca n thay i ( y ch c 1 bin, l bin thi gian t): khi t thay
i mt i lng t, th f thay i mt i lng l f = f(t + t) f(t), v t l
thay i gia f v t bng
f
t
=
f(t + t) f(t)
t
. (1.56)
Trong trng hp m t l trn tin ti m s no khi t tin ti 0, th s c
gi l o hm ca f theo t, thng k hiu l f

(t), v ta vit
df
dt
= f

(t) = lim
t0
f(t + t) f(t)
t
, (1.57)
hay
df = f

dt. (1.58)
ng thc cui cng c ngha l khia m t thay i th f cng thay i, vi tc c thay
i bng f

ln tc thay i ca t.
Vi phn dB
t
cng l khi nim o thay i ca B
t
khi m t thay i. Th nhng,
v B
t
khng kh vi ti bt c im no, nn khng th vit dB
t
di dng H
t
dt (trong
30 CHNG 1. GII TCH NGU NHIN
H
t
l mt qu trnh ngu nhin). Bi vy, cch n gin l ta s nguyn dB
t
, v hiu
n nh l mt k hiu ton hc ch mt bin ng v cng nh dng chuyn ng
Brown. V chuyn ng Brown l qu trnh ngu nhin n gin nht, quan trng nht,
c nghin cu k nht, trong cc loi qu trnh ngu nhin lin tc khng kh vi, nn
ta s s dng dB
t
nh mt vi phn c s tng t nh dt, v tm cch biu din vi phn
ca cc qu trnh ngu nhin khc di dng t hp tuyn tnh H
t
dt + F
t
dB
t
ca dt v
dB
t
nu c th (trong H
t
v F
t
l hai qu trnh ngu nhin). Khi vit
dG
t
= H
t
dt +F
t
dB
t
(1.59)
th c ngha l
G(t + t) G(t) = H
t
.t +F
t
.(B(t + t) B(t)) +, (1.60)
trong l i lng rt nh so vi t, c th b qua: /t tin ti 0 khi t tin ti 0.
Phn F
t
dB
t
l phn khng kh vi (theo ngha thng thng) v c k vng bng 0 (v k
vng ca (B(t + t) B(t)) bng 0) ca dG
t
, v phn H
t
dt l phn kh vi. Tt nhin,
nu c th vit dG
t
= H
t
dt +F
t
dB
t
, th H
t
v F
t
c xc nh duy nht theo G
t
, v tng
ca mt phn kh vi v mt phn khng kh vi khng th bng 0 tr khi c hai phn
bng 0.
p dng tng trn vo trng hp G
t
= exp(B
t
). Ta c:
exp(B
t
)
exp(B
t
)
=
exp(B(t + t)) exp(B(t))
exp(B(t))
= exp(B(t + t) B(t)) 1
= exp(B
t
) 1 = B
t
+
(B
t
)
2
2!
+
(B
t
)
3
3!
+. . .
Nhc li rng, bin phn bnh phng ca B
t
trn mt on thi gian t bng chnh
t. Do , (B
t
)
2
xp x bng t khi m t nh (tri ngc vi trng hp kh vi: nu
f kh vi th (f)
2
rt nh so vi t, c th b qua). Cc i lng (B
t
)
n
vi n t 3
tr ln rt nh so vi t, c th b qua. Bi vy ta c
exp(B
t
)
exp(B
t
)
= B
t
+
t
2
+, (1.61)
trong /t tin ti 0 khi t tin ti 0 (trong hu khp mi tnh hung), t ta suy
ra cng thc vi phn sau:
d exp(B
t
)
exp(B
t
)
= dB
t
+
dt
2
, (1.62)
hay cn c th vit l:
d exp(B
t
) =
1
2
exp(B
t
)dt + exp(B
t
)dB
t
. (1.63)
1.3. VI PHN CA CC QU TRNH NGU NHIN 31
Mt cch hon ton tng t, d dng kim tra rng
d exp(B
t

t
2
) = exp(B
t

t
2
)dB
t
, (1.64)
c ngha l vi phn ca chuyn ng Brown hnh hc chun tc bng chnh n nhn vi
vi phn ca chuyn ng Brown chun tc. Ch rng, trong v bn phi ca ng thc
trn khng c s tham gia ca dt, ch c s tham gia ca dB
t
l phn c k vng bng 0,
v iu ny cng gii thch ti sao exp(B
t

t
2
) li l martingale (vi phn ca n lun c
k vng bng 0, nn cc bc chuyn ng cng u c k vng bng 0).
Bi tp 1.9. Tnh vi phn ca mt chuyn ng Brown hnh hc ty exp(a +bt +B
t
),
trong a, b, l cc hng s, t suy ra rng cc nghim ca phng trnh vi phn
ngu nhin
dS
t
S
t
= dt +dB
t
,
trong v l cc hng s, chnh l cc chuyn ng Brown hnh hc.
1.3.2 B It
Mt trong nhng cng thc quan trng m chng ta dng trong phn tch pha trn
v vi phn ca chuyn ng Brown hnh hc l:
(dB
t
)
2
= dt, (1.65)
Cng thc ny c th hiu l
lim
t0+
(B
t
)
2
t
t
= 0, (1.66)
v n ng vi cng thc bin phn bnh phng ca chuyn ng Brown. Ngoi cng thc
(dB
t
)
2
= dt, cn c vit l dB
t
.dB
t
= dt, chng ta cn c cc cng thc sau, tng i
hin nhin, cho vic tnh vi phn cc qu trnh ngu nhin:
dt.dB
t
= dt.dt = 0. (1.67)
Cc cng thc ny c hiu tng t nh trn, tc l cc i lng (t).(B
t
) v (t)
2
l rt nh so vi t (thng ca chng chia cho t tin ti 0 khi t tin ti 0), c th
b qua trong cc php tnh ton vi phn.
Cc cng thc trn l c s ca cng thc sau, cho php chng ta tnh vi phn ca
cc qu trnh ngu nhin c dng hm s f(t, B
t
) theo hai bin t v B
t
trong B
t
l
chuyn ng Brown:
32 CHNG 1. GII TCH NGU NHIN
nh l 1.9. Nu F
t
= f(t, B
t
) trong f(t, x) l mt hm kh vi lin tc theo bin t
v kh vi lin tc 2 ln theo bin x, th
dF
t
=
f(t, B
t
)
t
dt +
f(t, B
t
)
x
dB
t
+
1
2

2
f(t, B
t
)
x
2
dt. (1.68)
Chng minh ca cng thc trn hon ton tng t nhng chng minh ca cng thc
vi phn ca exp(B
t
). So vi trng hp kh vi, th thnh phn cn thm vo trong cng
thc l
1
2

2
f(t, B
t
)
x
2
dt, v l do chnh l bi v (dB
t
)
2
= dt. Tht vy, theo khi trin
Taylor-Lagrange, ta c
f(t, B
t
) = f(t + t, B(t + t)) f(t, B
t
) =
= [f(t + t, B(t + t)) f(t, B(t + t))] + [f(t, B(t + t)) f(t, B
t
)] =
=
f(t, B
t
+ t)
t
t +
1
+
f(t, B
t
)
x
B
t
+
1
2

2
f(t, B
t
)
x
2
(B
t
)
2
+
2
,
trong
1
v
2
u rt nh (c th b qua) so vi t, t suy ra cng thc trn.
V d 1.4. Ta c d(tB
3
t
) = (B
3
t
+ 3tB
t
)dt + 3tB
2
t
dB
t
, bi v (tx
3
)/t = x
3
, (tx
3
)/x =
3x
2
, v
2
(tx
3
)/x
2
= 6tx.
Mt cch tng qut hn, ta c cng thc sau, gi l cng thc It, hay b It:
nh l 1.10 (B It). Gi s f(t, x) l mt hm s kh vi lin tc theo bin t v
kh vi lin tc 2 ln theo bin x, v X
t
l mt qu trnh It tha mn dX
t
=
t
dt +
t
dB
t
trong B
t
l chuyn ng Brown. Khi ta c:
df(t, X
t
) =
_
f
t
+
t
f
x
+

2
t
2

2
f
x
2
_
dt +
t
f
x
dB
t
(1.69)
Trong nh l trn c khi nim qu trnh It. Mt qu trnh ngu nhin X
t
c gi
l mt qu trnh It nu n l qu trnh ngu nhin vi thi gian lin tc, v vi phn
ca n c th vit c di dng (hay ni cch khc, n tha mn phng trnh vi phn
dng):
dX
t
=
t
dt +
t
dB
t
, (1.70)
trong
t
v
t
l cc cc qu trnh ngu nhin tng thch (hoc l cc hm s theo t)
tha mn iu kin
E(
_
t
0
[
s
[
2
ds) < +, E(
_
t
0
[
s
[
2
ds) < + (1.71)
1.4. TCH PHN IT 33
vi mi t 0. Cc qu trnh ngu nhin tng thch tha mn iu kin ny c gi l
cc qu trnh ngu nhin c bnh phng kh tch (tc l c tch phn bnh phng
hu hn), hay cn gi l thuc lp H
2
.
Chng minh ca nh l 1.10 hon ton tng t nh chng minh cng thc (1.68).
iu kin bnh phng kh tch c dng kim sot cc i lng nh khi tnh gii
hn tm vi phn.
Bi tp 1.10. Chng minh cng thc (1.69) trong trng hp
t
v
t
l cc hm s lin
tc (khng ngu nhin) theo t.
1.4 Tch phn It
Nu ta bit o hm f

(t) ca mt hm s kh vi f(t), th ni chung ta c th tm li

c f t f

bng cch ly tch phn:

f(t) = f(0) +
_
t
0
f

(s)ds. (1.72)
Tng t nh vy, nu ta bit vi phn ca mt qu trnh It
dX
t
=
t
dt +
t
dB
t
, (1.73)
th v nguyn tc, ta cng phi tm li c qu trnh ngu nhin X
t
t cc qu trnh
ngu nhin
t
v
t
bng cch ly tch phn:
X
t
= X
0
+
_
t
0

s
ds +
_
t
0

s
dB
s
. (1.74)
Vn l nh ngha cc tch phn trn sao cho thch hp. Tch phn
_
t
0

s
ds c th
c nh ngha theo cch c in (theo nh ngha tch phn Riemann). Tuy nhin, nh
chng ta s thy, vic nh ngha tch phn
_
t
0

s
dB
s
phc tp hn, do B
t
c bin phn
v hn. Trong phn ny, chng ta s bn cch nh ngha tch phn
_
t
0

t
dB
t
theo Kioshi
It (19152008), mt trong nhng cha ca gii tch ngu nhin, v tch phn ny c
gi l tch phn It.
1.4.1 Tch phn RiemannStieltjes
Nhc li rng, nu f v g l hai hm s trn mt on thng [0, t] R, th tch phn
_
t
0
fdg, (1.75)
34 CHNG 1. GII TCH NGU NHIN
c nh ngha nh sau, v gi l tch phn RiemannStieltjes: t
U

(f, g) =
n

i=1
sup
x
i
[a
i1
,a
i
]
f(x
i
)(g(a
i
) g(a
i1
)) (1.76)
v
L

(f, g) =
n

i=1
inf
x
i
[a
i1
,a
i
]
f(x
i
)(g(a
i
) g(a
i1
)), (1.77)
trong l mt phn hoch ca on thng [0, 1] cho bi mt dy cc s 0 = a
0
a
1

. . . a
n
= t, ri t
_
t
0
fdg = lim
mesh()0
L

(f, g) = lim
mesh()0
U

(f, g). (1.78)

nu nh cc gii hn tn ti v bng nhau. ( y mesh() = sup
i
(a
i
a
i1
) l k
hiu nh ca phn hoch ). Nu tch phn RiemannStieltjes tn ti, th mi tng
c dng

n
i=1
f(x
i
)(g(a
i
) g(a
i1
)), trong x
i
[a
i1
, a
i
] c th chn ty , u tin
ti
_
t
0
fdg khi nh mesh() ca phn hoch tin ti 0, bi v tng b kp gia
U

(f, g) v L

(f, g). Trng hp c bit, khi m g(t) = t, th nh ngha trn trng vi

nh ngha tch phn Riemann
_
t
0
f(s)ds.
Nu chng hn g l mt hm kh vi lin tc, v f l hm b chn v lin tc tng
khc, th tch phn Riemann-Stieltjes
_
t
0
fdg tn ti, v ta c cng thc chuyn i sau:
_
t
0
fdg =
_
t
0
fg

ds, (1.79)
trong g

l o hm ca g.
Nu chng hn f v g khng phi l hm s, m l cc qu trnh ngu nhin, sao
cho f lin tc v g c bin phn phu hn, th ta vn c th nh ngha c tch phn
RiemannStieltjes
_
t
0
fdg nh trn. (Bn thn tch phn cng s l mt qu trnh ngu
nhin, v ta nh ngha n cho tng tnh hung v tng mc thi gian). Th nhng khi
m g = B
t
l mt chuyn ng Brown, th nh ngha tch phn RiemannStieltjes ni
chung khng cn p dng c na, nh v d n gin sau y cho thy.
V d 1.5. Gi s ta mun nh ngha tch phn
_
t
0
B
s
dB
s
, trong B
t
l mt chuyn
ng Brown. Lm theo phng php RiemannStieltjes, ta vit
U

(B, B) =
n

i=1
sup
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)), (1.80)
L

(B, B) =
n

i=1
inf
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)), (1.81)
1.4. TCH PHN IT 35
trong 0 = a
0
a
1
. . . a
n1
a
n
= t l mt phn hoch ca on thng [0, t],
ri xt hiu U

(B, B) L

(B, B). D thy rng, vi mi i ta c

sup
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)) inf
t
i
[a
i1
,a
i
]
B(t
i
)(B(a
i
) B(a
i1
)) (B(a
i
) B(a
i1
))
2
,
(1.82)
bi vy
U

(B, B) L

(B, B)
n

i=1
(B(a
i
) B(a
i1
))
2
. (1.83)
V phi ca bt ng thc trn, khi mesh() tin ti 0, chnh l bin phn bnh phng
ca chuyn ng Brown trn on thng thi gian [0, t]. Th nhng, ta bit rng, bin
phn bnh phng ca chuyn ng Brown trn on thng [0, t] bng t, ln hn 0. Do
, U

(B, B) L

(B, B) khng tin ti 0 khi mesh() tin ti 0, v bi vy khng th

nh ngha c tch phn
_
t
0
B
s
dB
s
theo kiu RiemannStieltjes, v U

(B, B) v L

(B, B)
khng th c cng gii hn khi mesh() tin ti 0.
V d n gin trn cho thy, v bin phn bnh phng ca B
t
khc 0, nn chng ta
khng th nh ngha c tch phn
_
t
0
B
s
dB
s
theo kiu RiemannStieltjes. Do chng
ta cn mt nh ngha tch phn khc, gi l tch phn It.
1.4.2 nh ngha tch phn It
Chng ta s nh ngha cc tch phn It c dng
_
t
0

s
dB
s
, (1.84)
trong B l mt chuyn ng Brown chun tc, v l mt qu trnh ngu nhin c
bnh phng kh tch, tc l E
_
_
t
0
[(s)[
2
ds
_
< vi mi t R
+
.
Trc ht, ta s nh ngha tch phn It cho cc qu trnh s cp. Mt qu trnh ngu
nhin
t
c gi l s cp (elementary), hay cn gi l n gin (simple), trn on
thng thi gian [0, t] nu nh tn ti mt phn hoch c nh 0 = t
0
< t
1
< . . . < t
n
= t
ca on thng [0, t], sao cho trn mi on thng na m [a
i1
, a
i
[ th (s, ) l hng s
theo thi gian (trong hu ht mi tnh hung ), tc l (s, ) = (a
i1
, ) vi mi
a
i1
s < a
i
. Vic nh ngha tch phn It cho cc qu trnh s cp c suy ra trc
tip t tnh cht cng tnh ca tch phn v ng thc hin nhin cn phi ng:
_
b
a
dB
s
= B
b
B
a
. (1.85)
36 CHNG 1. GII TCH NGU NHIN
Nu l mt qu trnh s cp theo phn hoch 0 = t
0
< t
1
< . . . < t
n
= t ca on
thng [0, t], th ta c:
_
t
0
(s)dB(s) =
n

i=1
_
t
i
t
i1
(s)dB(s) =
n

i=1
_
t
i
t
i1
(t
i1
)dB(s) =
n

i=1
(t
i1
)(B(t
i
)B(t
i1
)),
hay vit gn li l
_
t
0
(s)dB(s) =
n

i=1
(t
i1
)(B(t
i
) B(t
i1
)). (1.86)
ng thc trn chnh l nh ngha tch phn It trong trng hp m
s
l mt qu
trnh s cp. D thy rng, nh ngha ny khng ph thuc vo phn hoch on thng
[0, t] so cho qu trnh ngu nhin l s cp theo phn hoch . Hn na, c th thy
rng, khi m
s
l qu trnh s cp, th tch phn RiemannStieltjes cng c ngha, v
trng vi tch phn It.
Khi m l mt qu trnh ngu nhin tng qut tha mn cc iu kin nu
trn, tch phn It c nh ngha bng cch ly gii hn, thng qua mt dy cc qu
trnh s cp hi t n . S tn ti ca dy ny c cho bi nh l sau:
nh l 1.11. C nh mt s T > 0 ty . Gi s l mt qu trnh ngu nhin tng
thch c bnh phng kh tch. Khi tn ti
n
cc qu trnh ngu nhin (n N) tng
thch v c bnh phng kh tch, v s cp trn on thng [0, T], sao cho
lim
n
E
__
T
0
[
n
(t) (t)[
2
dt
_
= 0. (1.87)
Dy qu trnh ngu nhin
n
tha mn iu kin ca nh l trn c gi l hi t
n theo chun L
2
[0, T]. Theo nh ngha, chun L
2
[0, T] ca l:
||
L
2
[0,T]
:=

E
__
T
0
[(t)[
2
dt
_
. (1.88)
Khng gian cc qu trnh ngu nhin tng thch c chun L
2
[0, T] hu hn l mt
khng gian Hilbert (sau khi ta coi rng hai qu trnh ngu nhin l bng nhau, nu chun
L
2
[0, T] ca hiu ca chng bng 0). nh l trn tng t nh nh l mi hm s c
bnh phng kh tch u c th c xp x bng cc hm s dng bc thang mt cch
chnh xc ty theo chun L
2
. Ta s b qua chng minh ca n y.
Khi ta tm c mt dy qu trnh ngu nhin
n
s cp trn on [0, T] v hi
t n theo chun L
2
[0, T], th vi mi t T ta c th nh ngha tch phn It bng
1.4. TCH PHN IT 37
gii hn sau:
_
t
0
(s)dB(s) := lim
n
_
t
0

n
(s)dB(s). (1.89)
Gii hn y cng c hiu theo chun L
2
[0, T] : nu t F
n,t
=
_
t
0

n
(s)dB(s) v F
t
=
_
t
0
(s)dB(s), th ni rng F
n,t
tin ti F
t
c ngha l lim
n
E
_
_
T
0
[F
n
(t) F(t)[
2
dt
_
= 0.
chng t rng nh ngha trn c ngha, ta phi chng minh l gii hn v phi ca
cng thc trn tn ti (tc l dy cc tch phn It F
n,t
=
_
t
0

n
(s)dB(s) l mt dy
Cauchy theo chun L
2
[0, T]), v khng ph thuc vo s la chn dy
n
. Cc khng nh
ny c suy ra t mt ng thc gi l ng c It (xem nh l 1.12). Chng ta s
b qua chng minh y.
Trong trng hp m qu trnh l lin tc bn tri v b chn a phng (locally
bounded tc l tp hp cc tnh hung sao cho qu o chy ra v cng trong khong
thi gian hu hn c xc sut bng 0 cc qu trnh ngu nhin m chng ta quan tm
n trong sch ny u b chn a phng), ta c th xy dng dy qu trnh s cp
n
trn [0, T] hi t n theo chun L
2
[0, T] nh sau: t

n
(t) = ([nt/T]T/n) (1.90)
vi mi t T, trong [nt/T] l k hiu phn nguyn ca s nt/T, c ngha l nu
kT/n t < (k + 1)T/n th
n
(t) = (kT/n), hay ni cch khc, gi tr ca
n
trn on
thng [kT/n, (k + 1)T/n[ l bt bin theo t v bng gi tr ca ti im u ca on
thng , tc l im kT/n. (Ch l ta khng th ly gi tr ca ti im cui hay
cc im khc ca on thng [kT/n, (k + 1)T/n[ lm gi tr ca
n
trn on thng
, v nu ly nh vy th qu trnh
n
ni chung s khng phi l mt qu trnh tng
thch). Theo cch chn
n
ny, ta c cng thc
_
T
0

t
dB
t
= lim
n
n1

k=0
(
kT
n
)(B(
(k + 1)T
n
) B(
kT
n
)). (1.91)
V d 1.6. Ta s chng minh rng
_
t
0
B
s
dB
s
=
B
2
t
2

t
2
, (1.92)
vi mi t, trong B
t
l chuyn ng Brown. Tht vy, theo cng thc (1.91) ta c
_
t
0
B
s
dB
s
= lim
n
n1

k=0
B(
kT
n
)(B(
(k + 1)T
n
) B(
kT
n
))
= lim
n
1
2
_
(B(t))
2

n1

k=0
(B(
(k + 1)T
n
) B(
kT
n
))
2
_
.
38 CHNG 1. GII TCH NGU NHIN
Hnh 1.4: Mt qu o ca chuyn ng Brown B
t
v tch phn It
_
t
0
B
s
dB
s
Theo tnh cht bin phn bnh phng ca chuyn ng Brown, ta c
lim
n
n1

k=0
(B(
(k + 1)T
n
) B(
kT
n
))
2
= t,
t ta c cng thc tch phn cn chng minh. Ch rng, nu F
t
c bin phn bnh
phng bng 0 v F
0
= 0, th ta c
_
t
0
F
s
dF
s
= F
2
t
(nh ngha tch phn mt cch tng
t, hoc theo nh ngha RiemannStieltjes), trong khi trong cng thc (1.92) c thm
thnh phn t/2 v phi. V d n gin ny cho thy nh hng ca bin phn bnh
phng vo gi tr ca tch phn It.
1.4.3 Mt s tnh cht c bn ca tch phn It
Tng thch: Tch phn It l mt qu trnh tng thch vi lc sigma-i s ban u.
Tuyn tnh: Tng t nh tch phn thng thng, tch phn It c tnh cht tuyn
tnh: nu a v b l hai hng s th
_
t
0
(a
s
+b
s
)dB
s
= a
_
t
0

s
dB
s
+b
_
t
0

s
dB
s
. (1.93)
Lin tc: Nu mt qu trnh ngu nhin F
t
vit c di dng tch phn It F
t
=
_
t
0

s
dB
s
, th hu ht mi qu o ca F
t
l lin tc.
1.4. TCH PHN IT 39
Tch phn It l php tnh ngc ca vi phn: Tng t nh tch phn thng thng,
tch phn It tha mn tnh cht c bn sau, lin h gia php tnh vi phn v php tnh
tch phn: nu F
t
=
_
t
0

s
dB
s
, trong
s
l mt qu trnh ngu nhin c tch phn bnh
phng hu hn, th dF
t
=
t
dB
t
, v ngc li, nu dF
t
=
t
dB
t
, th F
t
= F
0
+
_
t
0

s
dB
s
.
Tng qut hn, nghim ca phng trnh vi phn ngu nhin
dX
t
=
t
d
t
+
t
dB
t
(1.94)
l
X
t
= X
0
+
_
t
0

s
d
s
+
_
t
0

s
dB
s
. (1.95)
V d, nghim ca phng trnh dX
t
= B
t
dB
t
l X
t
= X
0
+
_
t
0
B
s
dB
s
= X
0
+B
2
t
/2t/2.
Tnh ngc li, theo b It, d dng thy rng d(B
2
t
/2 t/2) = B
t
dB
t
.
ng c It: ng c It l mt cng thc gii tch cho php nh gi chun ca cc
qu trnh ngu nhin (c dng chng hn trong vic chng minh s hi t ca mt dy
qu trnh ngu nhin nh ngha theo tch phn It).
nh l 1.12 (ng c It). Nu l mt qu trnh ngu nhin c bnh phng hu hn
th ta c
E
_
__
t
0

s
dB
s
_
2
_
= E
__
t
0
[
s
[
2
ds
_
(1.96)
vi mi t 0.
Vic chng minh ng c trn l mt bi tp dnh cho bn c trong trng hp m
l mt qu trnh c s. Trng hp tng qut suy ra t trng hp cc qu trnh c s
bng php ly gii hn.
Mt h qu trc tip ca ng c It l: tch phn It F
t
=
_
t
0

s
dB
s
cng l mt qu
trnh c bnh phng kh tch (nu gi s l
s
c bnh phng kh tch).
Bin phn bnh phng: Ta c ng thc sau cho bin phn bnh phng ca tch
phn It:
QV
t
0
(F) =
_
t
0
[
s
[
2
ds (1.97)
Tng t nh ng c It, chng minh ca cng thc trn trong trng hp m
t
l
mt qu trnh c s tng i hin nhin v suy ra trc tip t bin phn bnh phng
ca chuyn ng Brown.
Tnh cht martingale:
40 CHNG 1. GII TCH NGU NHIN
nh l 1.13. Tch phn It F
t
=
_
t
0

s
dB
s
l mt qu trnh martingale (a phng),
c ngha l
E(F
t
[T
t
) = F
s
(1.98)
vi mi T > t.
Chng minh. Trong trng hp m l mt qu trnh s cp, th nh l trn kh hin
nhin, v E(B
t
B
t

T
t
) = B
t
B
t
= 0 vi mi t

, t

> t. Trng hp tng qut suy ra

t trng hp ring ny bng cch ly gii hn trong nh ngha tch phn It.
Khng nh ngc li cng ng, v n c bit di tn gi nh l biu din
martingale: Nu M
t
l mt qu trnh martingale, lin tc, tng thch vi lc sigma-i
s sinh bi chuyn ng Brown B
t
, v c bnh phng kh tch, th n vit c di
dng tch phn It.
Cng thc tch phn tng phn. Trong tch phn
_

t
dB
t
, thnh phn B
t
c gi l
integrator (bi ly tch phn). nh ngha tch phn It p dng ng khng nhng
ch cho integrator l chuyn ng Brown, m cn cho cc integrator tng qut hn, c
dng semi-martingale. Theo nh ngha, mt qu trnh ngu nhin X
t
c gi l semi-
martingale nu n vit c di dng tng ca hai thnh phn, X
t
= A
t
+ M
t
, trong
A
t
c bin phn hu hn, cn M
t
l martingale a phng (tc l tha mn tnh cht
martingale (1.98)). Tng t nh trng hp tch phn RiemannStieltjes c in, ta c
cng thc tch phn tng phn sau: nu X
t
v Y
t
l hai semimartingale th
X
t
Y
t
= X
0
Y
0
+
_
t
0
X
s
dY
s
+
_
t
0
Y
s
dX
s
+ [X, Y ]
t
, (1.99)
trong X
s
l k hiu gii hn bn tri, tc l X
s
= lim
rs
X
r
, v [X, Y ]
t
l k hiu
qu trnh hip bin phn bnh phng ca X v Y , nh ngha nh sau
[X, Y ]
t
= lim
mesh()0
n

i=1
(X
a
i
X
a
i1
)(Y
a
i
Y
a
i1
), (1.100)
(vi gi s l gii hn tn ti), trong = 0 = a
0
a
1
. . . a
n
= t l k hiu
mt phn hoch ca on thng [0, t]. S khc nhau gia cng thc tch phn tng phn
cho tch phn Riemann-Stieltjes v cng thc tch phn tng phn cho tch phn It nm
chnh thnh phn hip bin phn bnh phng ny.
V d 1.7. Trong trng hp c bit, khi Y
t
= X
t
l cng mt qu trnh ngu nhin, th
[X, Y ]
t
= [X, X]
t
chnh l qu trnh bin phn bnh phng ca X
t
, v ta c cng thc
1.4. TCH PHN IT 41
sau:
_
t
0
X
s
dX
s
=
1
2
(X
2
t
X
2
0
[X, X]
t
). (1.101)
Bi tp 1.11. Tnh cc tch phn It sau:
a)
_
t
0
B
2
s
dB
s
b)
_
t
0
B
s
dB
2
s
c)
_
t
0
exp(B
s
)d(B
s
+s)
42 CHNG 1. GII TCH NGU NHIN
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44 TI LIU THAM KHO
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