ASYMPTOTIC BEHAVIOR OF NONOSCILLATORY SOLUTIONS OF A SECOND ORDER FUNCTIONAL DIFFERENTIAL EQUATIONS

ＡＳＹＭＰＴＯＴＩＣＢＥＨＡＶＩＯＲＯＦＮＯＮＯＳＣＩＬＬＡＴＯＲＹＳＯＬＵＴＩＯＮＳＯＦＡＳＥＣＯＮＤＯＲＤＥＲＦＵＮＣＴＩＯＮＡＬＤＩＦＦＥＲＥＮＴＩＡＬＥＱＵＡＴＩＯＮＳ（孟繁伟）曲阜师范大学，邮编：２７３１６５ＭｅｎｇＦａｎｗｅｉ（ＱｕｆｕＮ...     

THE ERRORS ESTIMATION OF THE CHEBYSHEV SPECTRAL－DIFFERENCE METHOD FOR TWO－DIMENSIONAL VORTICITY EQUATION

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一类抛物－椭圆耦合方程组混合初边值问题的二阶收敛差分格式Ⅰ

一类抛物－椭圆耦合方程组混合初边值问题的二阶收敛差分格式Ⅰ孙志忠（东南大学数学力学系）ＡＳＥＣＯＮＤ－ＯＲＤＥＲＤＩＦＦＥＲＥＮＣＥＳＣＨＥＭＥＦＯＲＴＨＥＭＩＸＥＤＩＮＩＴＩＡＬ－ＢＯＵＮＤＡＲＹＶＡＬＵＥＰＲＯＢＬＥＭＯＦＡＣＬＡＳＳＯＦＰＡＲＡ...     

一类抛物－椭圆耦合方程组混合初边值问题的二阶收敛差分格式Ⅰ

一类抛物－椭圆耦合方程组混合初边值问题的二阶收敛差分格式Ⅰ孙志忠（东南大学数学力学系）ＡＳＥＣＯＮＤ－ＯＲＤＥＲＤＩＦＦＥＲＥＮＣＥＳＣＨＥＭＥＦＯＲＴＨＥＭＩＸＥＤＩＮＩＴＩＡＬ－ＢＯＵＮＤＡＲＹＶＡＬＵＥＰＲＯＢＬＥＭＯＦＡＣＬＡＳＳＯＦＰＡＲＡ...     

扩散系数反问题正则化数值方法的收敛性分析

扩散系数反问题正则化数值方法的收敛性分析朝红阳（中山大学计算机科学系）ＣＯＮＶＥＲＧＥＮＣＥＡＮＡＬＹＳＩＳＯＦＡＲＥＧＵＬＡＲＩＺＥＤＮＵＭＥＲＩＣＡＬＭＥＴＨＯＤＦＯＲＳＯＬＶＩＮＧＴＨＥＤＩＦＦＵＳＩＶＥＣＯＥＦＦＩＣＩＥＮＴＩＮＶＥＲＳＥＰＲ...     

UNIQUENESS AND ITERATIVE METHOD OF POSITIVE RADIALLY SYMMETRIC SOLUTIONS FOR SINGULAR ELLIPTIC EQUATIONS

ＵＮＩＱＵＥＮＥＳＳＡＮＤＩＴＥＲＡＴＩＶＥＭＥＴＨＯＤＯＦＰＯＳＩＴＩＶＥＲＡＤＩＡＬＬＹＳＹＭＭＥＴＲＩＣＳＯＬＵＴＩＯＮＳＦＯＲＳＩＮＧＵＬＡＲＥＬＬＩＰＴＩＣＥＱＵＡＴＩＯＮＳ￥ＺｈａｏＺｅｎｇｑｉｎ（赵增勤）（ＱｕｆｕＮｏｒｍａｌＵｎｉｖｅ...     

ADMISSIBILITY OF LINEAR ESTIMATE OF REGRESSION COEFFICIENTS IN GROWTH CURVE MODEL UNDER MATRIX LOSS

ＡＤＭＩＳＳＩＢＩＬＩＴＹＯＦＬＩＮＥＡＲＥＳＴＩＭＡＴＥＯＦＲＥＧＲＥＳＳＩＯＮＣＯＥＦＦＩＣＩＥＮＴＳＩＮＧＲＯＷＴＨＣＵＲＶＥＭＯＤＥＬＵＮＤＥＲＭＡＴＲＩＸＬＯＳＳＷＡＮＧＸＵＥＲＥＮ（王学仁）（ＤｅｐａｒｔｍｅｎｔｏｆＳｔａｔｉｓｔｉｃｓ，...     

HOPF BIFURCATION AND OTHER DYNAMICAL BEHAVIORS FOR A FOURTH ORDER DIFFERENTIAL EQUATION IN MODELS OF INFECTIOUS DISEASE

ＨＯＰＦＢＩＦＵＲＣＡＴＩＯＮＡＮＤＯＴＨＥＲＤＹＮＡＭＩＣＡＬＢＥＨＡＶＩＯＲＳＦＯＲＡＦＯＵＲＴＨＯＲＤＥＲＤＩＦＦＥＲＥＮＴＩＡＬＥＱＵＡＴＩＯＮＩＮＭＯＤＥＬＳＯＦＩＮＦＥＣＴＩＯＵＳＤＩＳＥＡＳＥＪＩＮＧＺＨＵＪＵＮ（井竹君）（Ｉｎｓｔｉｔ...     

BOUNDARY VALUE PROBLEMS FOR SECOND ORDER SELFADJOINTFUNCTIONAL DIFFERENTIAL EQUATION

ＢＯＵＮＤＡＲＹＶＡＬＵＥＰＲＯＢＬＥＭＳＦＯＲＳＥＣＯＮＤＯＲＤＥＲＳＥＬＦＡＤＪＯＩＮＴＦＵＮＣＴＩＯＮＡＬＤＩＦＦＥＲＥＮＴＩＡＬＥＱＵＡＴＩＯＮ￥ＷｅｎｇＰｅｉｘｕａｎ（翁佩萱）（ＳｏｕｔｈＣｈｉｎａＮｏｒｍａｌＵｎｉｖｅｒｓｉｔｙ，华南师范...     

AN ITERATIVE ALGORITHM FOR DETERMINING TIME－DEPENDENT COEFFICIENT OF TWO DIMENSIONAL LINEAR WAVE EQUATION

ＡＮＩＴＥＲＡＴＩＶＥＡＬＧＯＲＩＴＨＭＦＯＲＤＥＴＥＲＭＩＮＩＮＧＴＩＭＥ－ＤＥＰＥＮＤＥＮＴＣＯＥＦＦＩＣＩＥＮＴＯＦＴＷＯＤＩＭＥＮＳＩＯＮＡＬＬＩＮＥＡＲＷＡＶＥＥＱＵＡＴＩＯＮ（苏超伟）西北工业大学，邮编：７１００７２ＳｕＣｈａｏｗｅｉ（Ｎ...     

Markov process functionals in finance and insurance

The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained： the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given.     

Pricing catastrophe options with counterparty credit risk in a reduced form model

In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.     

Ergodic and adaptive control of hidden Markov models

A partially observed stochastic system is described by a discrete time pair of Markov processes. The observed state process has a transition probability that is controlled and depends on a hidden Markov process that also can be controlled. The hidden Markov process is completely observed in a closed set, which in particular can be the empty set and only observed through the other process in the complement of this closed set. An ergodic control problem is solved by a vanishing discount approach. In the case when the transition operators for the observed state process and the hidden Markov process depend on a parameter and the closed set, where the hidden Markov process is completely observed, is nonempty and recurrent an adaptive control is constructed based on this family of estimates that is almost optimal.     

A new aspect of a risk process and its statistical inference

We introduce a new aspect of a risk process, which is a macro approximation of the flow of a risk reserve. We assume that the underlying process consists of a Brownian motion plus negative jumps, and that the process is observed at discrete time points. In our context, each jump size of the process does not necessarily correspond to the each claim size. Therefore our risk process is different from the traditional risk process. We cannot directly observe each jump size because of discrete observations. Our goal is to estimate the adjustment coefficient of our risk process from discrete observations.     

An overview of Brownian and non-Brownian FCLTs for the single-server queue

We review functional central limit theorems (FCLTs) for the queue-content process in a single-server queue with finite waiting room and the first-come first-served service discipline. We emphasize alternatives to the familiar heavy-traffic FCLTs with reflected Brownian motion (RBM) limit process that arise with heavy-tailed probability distributions and strong dependence. Just as for the familiar convergence to RBM, the alternative FCLTs are obtained by applying the continuous mapping theorem with the reflection map to previously established FCLTs for partial sums. We consider a discrete-time model and first assume that the cumulative net-input process has stationary and independent increments, with jumps up allowed to have infinite variance or even infinite mean. For essentially a single model, the queue must be in heavy traffic and the limit is a reflected stable process, whose steady-state distribution can be calculated by numerically inverting its Laplace transform. For a sequence of models, the queue need not be in heavy traffic, and the limit can be a general reflected Lévy process. When the Lévy process representing the net input has no negative jumps, the steady-state distribution of the reflected Lévy process again can be calculated by numerically inverting its Laplace transform. We also establish FCLTs for the queue-content process when the input process is a superposition of many independent component arrival processes, each of which may exhibit complex dependence. Then the limiting input process is a Gaussian process. When the limiting net-input process is also a Gaussian process and there is unlimited waiting room, the steady-state distribution of the limiting reflected Gaussian process can be conveniently approximated. This revised version was published online in June 2006 with corrections to the Cover Date.     

A modified insurance risk process with uncertainty

An insurance risk process is traditionally considered by describing the claim process via a renewal reward process and assuming the total premium to be proportional to the time with a constant ratio. It is usually modeled as a stochastic process such as the compound Poisson process, and historical data are collected and employed to estimate the corresponding parameters of probability distributions. However, there exists the case of lack of data such as for a new insurance product. An alternative way is to estimate the parameters based on experts’ subjective belief and information. Therefore, it is necessary to employ the uncertain process to model the insurance risk process. In this paper, we propose a modified insurance risk process in which both the claim process and the premium process are assumed to be renewal reward processes with uncertain factors. Then we give the inverse uncertainty distribution of the modified process at each time. On this basis, we derive the ruin index which has an explicit expression based on given uncertainty distributions.     

Bivariate step processes and random evolutions

A random evolution process constructed from regular step processes with a common state space and indexed on an evolution rule space is shown to be a regular step process on the product space. Conversely, it is shown that under mild conditions, any regular step process on a product space is equivalent to a random evolution process. Conditions are given on the cardinality of the spaces and on the parameters of the process that are sufficient for the process to have various recurrence and ergodicity properties. Applications to birth-death processes are given.     

违约风险的交换期权的定价模型与解法

含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程：且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.     

Existence,uniqueness and ergodicity of Markov branching processes with immigration and instantaneous resurrection

We consider a modified Markov branching process incorporating with both state-independent immigration and instantaneous resurrection.The existence criterion of the process is firstly considered.We prove that if the sum of the resurrection rates is finite,then there does not exist any process.An existence criterion is then established when the sum of the resurrection rates is infinite.Some equivalent criteria,possessing the advantage of being easily checked,are obtained for the latter case.The uniqueness criterion for such process is also investigated.We prove that although there exist infinitely many of them,there always exists a unique honest process for a given q-matrix.This unique honest process is then constructed.The ergodicity property of this honest process is analysed in detail.We prove that this honest process is always ergodic and the explicit expression for the equilibrium distribution is established.     

Conditional law of risk processes given that ruin occurs

A risk process that can be Markovised is conditioned on ruin. We prove that the process remains a Markov process. If the risk process is a PDMP, it is shown that the conditioned process remains a PDMP. For many examples the asymptotics of the parameters in both the light-tailed case and the heavy-tailed case are discussed.