吸收边界条件和完美匹配层

证明了一个Maxwell方程的完美匹配层的的充要条件.条件的核心是吸收边界条件.这个判据可以用来检验文献中的各个模型,也可用来设计一些新的模型.最后给出了一些例子.     

商业银行中VaR估值方法的检验

VaR模型,作为商业银行风险管理的重要工具之一,能较为准确地测量资产组合在金融市场正常波动下的市场风险.然而,在实际应用中,VaR模型仍存在一些缺陷,例如,在极端市场情况下,VaR存在较大的估计误差.压力测试,作为VaR模型的一个补充,可以用来测量极端市场状况下的金融市场风险.回溯测试,则可以用来检验VaR模型的准确性.巴塞尔委员会也对VaR模型制定了最低使用标准,文章最后将对此予以简单介绍并对我国商业银行在模型实施上提出一些建议.     

覆盖粗糙模糊集的不确定性度量

在覆盖粗糙模糊集模型下,将粗糙集理论中的粗糙度和粗糙熵的概念引入到此模型中,用来度量模糊集的不确定的程度,并讨论了这些度量的一些性质.     

有随机投资回报的随机保费模型的渐近破产概率(英文)

本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资问报风险模型的结论.     

关于股票价格模型的假设检验

股票模型是人们用来描述股票价格波动特征的重要工具,包括Black-scholes'模型,随机波动率模型和更一般化的指数Lévy过程模型等.同时,一些流行的技术指标(例如布林带,RSI,ROC)被股市交易者广泛使用.交易者将每日(小时,周)实际股价作为计算某个技术指标的样本,通过观察相关频率指导投资.技术指标的有效性已在实际应用中得到充分验证.已有研究成果证明股价模型成立时,一些常用的技术指标有良好的统计性质,从而解释了技术分析的合理性.本文将从另一个角度出发,利用技术指标ROC的历史数据,拒绝股票价格波动服从指数Lévy过程模型的假设.     

一些损失估计的不可容许性结果

在协方差阵为σ~2V的正态线性模型下,本文对任给定的正整数k证明了基于σ~k的一致最小方差无偏估计和最优仿射同变估计的通常损失估计是不可容许的.此处σ>0未知,V已知.本文还导出了一些关于Γ函数的不等式,被用来证明前述结果.     

一类或决策模型及其应用

提出了一类特殊类型的数学规划模型并给出了一种新的分枝定界算法.这类数学模型尽管可以转化为0-1规划模型,但它相对于转化后的0-1规划模型:①决策意义明确,表达形式相对简单;②不需要引入参数M并在求解前确定其上界;③相对于求解转化后的0-1规划模型的分枝定界法,新分枝定界算法在最好情形下计算量最多为原算法的八分之一.作为本模型的一个应用,可以用来解决一些要么不实施要么有一定数量下限限制才可以实施的决策问题.     

具有可用时间限制的两道工序柔性流水车间排序问题

1 引言与符号定义 经典排序问题一般假定机器是一直可用的,但出于定期检修等原因而使得机器并不是在所有时间都可用的情况在实际生产中是比较常见的.机器可用时间限制(LimitedMachine Availability,简记为LMA)模型就是用来刻画某些机器存在不可用时间段情况下的排序问题的.[1]讨论了单机LMA模型的计算复杂性并对一些算法进行了最坏情形分析.[2]研究了平行机环境下的一些LMA模型.继[3]第一个研究了流水车间环境下的LMA模型之后,[4]扩展了其关于复杂性和算法分析的结果。     

凸轮计算

一、问题的提出生产实践中可以碰到很多凸轮.在一些机床里它用来控制某些部件按预定要求运动,以达到加工某些精密零件的目的.在一些精密仪器中它可以用来作二种不同的量之间的换算机构.在内燃机中凸轮则用来控制气缸内的进排气规律或喷油规律.在其他地方也都可以找到它的应用.目前较常见和效果较好的凸轮机构都是以滚轮与凸轮侧面相     

■距离及随机场的失真率函数

本文将距离的概念推广到了随机场情形，证明了该推广定义的合理性，并导出了一些上界和下届估计.特别地，我们证明了有相变情况下２维Ｉｓｉｎｇ模型的两个极端测度μ＋，μ－间的距离大于１／３．我们着重研究了距离和失真率函数之间的关系，得到了一些重要性质．这些性质可以用来证明编码定理．     

Exponential decay for Maxwell equations with a boundary memory condition

We study the asymptotic behavior of the solution of the Maxwell equations with the following boundary condition of memory type:

(0.1)     

On the exponential stabilization of the electromagneto‐elastic system with Wentzell conditions

We consider the stabilization of the electromagneto‐elastic system with Wentzell conditions in a bounded domain of . Using the multiplier method we prove an exponential stability result under some geometric condition. Previous results of this type have recently been obtained for the coupled Maxwell/wave system with Wentzell conditions by H. Kasri and A. Heminna (Evol Equ and Control Theo 5: 235‐250, 2016)     

Absorbing boundary conditions for electromagnetic wave propagation

In this paper, the theoretical perfectly absorbing boundary condition on the boundary of a half-space domain is developed for the Maxwell system by considering the system as a whole instead of considering each component of the electromagnetic fields individually. This boundary condition allows any wave motion generated within the domain to pass through the boundary of the domain without generating any reflections back into the interior. By approximating this theoretical boundary condition a class of local absorbing boundary conditions for the Maxwell system can be constructed. Well-posedness in the sense of Kreiss of the Maxwell system with each of these local absorbing boundary conditions is established, and the reflection coefficients are computed as a plane wave strikes the artificial boundary. Numerical experiments are also provided to show the performance of these local absorbing boundary conditions

     

The stationarity and invertibility of a class of nonlinear ARMA models

We investigate some probabilistic properties of a new class of nonlinear time series models. A sufficient condition for the existence of a unique causal, strictly and weakly stationary solution is derived. To understand the proposed models better, we further discuss the moment structure and obtain some Yule-Walker difference equations for the second and third order cumulants, which can also be used for identification purpose. A sufficient condition for invertibility is also provided.     

A MCMC approach for modeling customer lifetime behavior using the COM‐Poisson distribution

One of the major challenges associated with the measurement of customer lifetime value is selecting an appropriate model for predicting customer future transactions. Among such models, the Pareto/negative binomial distribution (Pareto/NBD) is the most prevalent in noncontractual relationships characterized by latent customer defections; ie, defections are not observed by the firm when they happen. However, this model and its applications have some shortcomings. Firstly, a methodological shortcoming is that the Pareto/NBD, like all lifetime transaction models based on statistical distributions, assumes that the number of transactions by a customer follows a Poisson distribution. However, many applications have an empirical distribution that does not fit a Poisson model. Secondly, a computational concern is that the implementation of Pareto/NBD model presents some estimation challenges specifically related to the numerous evaluation of the Gaussian hypergeometric function. Finally, the model provides 4 parameters as output, which is insufficient to link the individual purchasing behavior to socio‐demographic information and to predict the behavior of new customers. In this paper, we model a customer's lifetime transactions using the Conway‐Maxwell‐Poisson distribution, which is a generalization of the Poisson distribution, offering more flexibility and a better fit to real‐world discrete data. To estimate parameters, we propose a Markov chain Monte Carlo algorithm, which is easy to implement. Use of this Bayesian paradigm provides individual customer estimates, which help link purchase behavior to socio‐demographic characteristics and an opportunity to target individual customers.     

Vectorization hierarchies of some graph quantifiers

We give a sufficient condition for the inexpressibility of the k-th extended vectorization of a generalized quantifier in , the extension of first-order logic by all k-ary quantifiers. The condition is based on a model construction which, given two -equivalent models with certain additional structure, yields a pair of -equivalent models. We also consider some applications of this condition to quantifiers that correspond to graph properties, such as connectivity and planarity. Received: 15 October 1996     

Furtivity and Masking Problems in Time-Dependent Electromagnetic Obstacle Scattering

In this paper, we consider furtivity and masking problems in time-dependent three-dimensional electromagnetic obstacle scattering. That is, we propose a criterion based on a merit function to minimize or to mask the electromagnetic field scattered by a bounded obstacle when hit by an incoming electromagnetic field and, with respect to this criterion, we drive the optimal strategy. These problems are natural generalizations to the context of electromagnetic scattering of the furtivity problem in time-dependent acoustic obstacle scattering presented in Ref. 1. We propose mathematical models of the furtivity and masking time-dependent three-dimensional electromagnetic scattering problems that consist in optimal control problems for systems of partial differential equations derived from the Maxwell equations. These control problems are approached using the Pontryagin maximum principle. We formulate the first-order optimality conditions for the control problems considered as exterior problems defined outside the obstacle for systems of partial differential equations. Moreover, the first-order optimality conditions derived are solved numerically with a highly parallelizable numerical method based on a perturbative series of the type considered in Refs. 2–3. Finally, we assess and validate the mathematical models and the numerical method proposed analyzing the numerical results obtained with a parallel implementation of the numerical method in several experiments on test problems. Impressive speedup factors are obtained executing the algorithms on a parallel machine when the number of processors used in the computation ranges between 1 and 100. Some virtual reality applications and some animations relative to the numerical experiments can be found in the website http://www.econ.unian.it/recchioni/w10/.     

一般形式的KFVS方法

通过构造一个分布函数 ,利用无碰撞的Boltzmann方程 ,推导出求解一般形式的KFVS方法 ,对一维溃坝进行了模拟 ,并与精确解进行了比较 ,说明了这种方法的进步性和可行性 .