Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain process, described by an uncertain differential equation driven by Liu process, and build an uncertain currency model. Then the uncertain currency option processes are discussed. Moreover, European and… (More)
Liu's inference is a process of deriving consequences from uncertain knowledge or evidence via the tool of conditional uncertainty. Using identification functions, this paper derives some expressions of Liu's inference rule for uncertain systems. This paper also discusses Liu's inference rule with multiple antecedents and with multiple if-then rules.
This paper presents an uncertain stock model with periodic dividends based on uncertainty theory. Some option pricing formulae related to the proposed model are investigated and several numerical examples are discussed to illustrate the related formula.
Keywords: Uncertain variable Cross-entropy Minimum cross-entropy principle a b s t r a c t ross-entropy is a measure of the difference between two distribution functions. In order to deal with the divergence of uncertain variables via uncertainty distributions, this paper aims at introducing the concept of cross-entropy for uncertain variables based on… (More)
In many systems, randomness and uncertainty are present simultaneously. Uncertain random variables provide a tool to deal with these inexact phenomena. This paper proposes a concept of risk index to quantify the risk of an uncertain random system. In addition, a risk index theorem is proved in order to calculate the risk index, and is applied to series… (More)
In most cases authors are permitted to post their version of the article (e.g. in Word or Tex form) to their personal website or institutional repository. Authors requiring further information regarding Elsevier's archiving and manuscript policies are encouraged to visit: a b s t r a c t Uncertain logic is a generalization of classical logic for dealing… (More)