解变分不等式问题的混合方法

By using Fukushima‘s differentiable merit function,Taji,Fukushima and Ibaraki have given a globally convergent modified Newton method for the strongly monotone variational inequality problem and proved their method to be quadratically convergent under certain assumptions in 1993. In this paper a hybrid method for the variational inequality problem under the assumptions that the mapping F is continuously differentiable and its Jacobian matrix F(x) is positive definite for all x∈S rather than strongly monotone and that the set S is nonempty, polyhedral,closed and convex is proposed. Armijo-type line search and trust region strategies as well as Fukushima‘s differentiable merit function are incorporated into the method. It is then shown that the method is well defined and globally convergent and that,under the same assumptions as those of Taji et al. ,the method reduces to the basic Newton method and hence the rate of convergence is quadratic. Computational experiences show the efficiency of the proposed method.     

Jacobi polynomials used to invert the laplace transform

Given the Laplace transform F(s) of a function f(t), we develop a new algorithm to find an approximation to f(t) by the use of the classical Jacobi polynomials. The main contribution of our work is the development of a new and very effective method to determine the coefficients in the finite series expansion that approximation f(t) in terms of Jacobi polynomials. Some numerical examples are illustrated.     

Option Pricing for Time-Change Exponential Levy Model Under Memm

The purpose of this article is to study the rational evaluation of European options price when the underlying price process is described by a time-change Levy process. European option pricing formula is obtained under the minimal entropy martingale measure （MEMM） and applied to several examples of particular time-change Levy processes. It can be seen that the framework in this paper encompasses the Black-Scholes model and almost all of the models proposed in the subordinated market.     

Fast Wavelet Transform for Toeplitz Matrices and Property Analysis

Fast wavelet transform algorithms for Toeplitz matrices are proposed in this paper. Distinctive from the well known discrete trigonometric transforms, such as the discrete cosine transform （DCT） and the discrete Fourier transform （DFT） for Toeplitz matrices, the new algorithms are achieved by compactly supported wavelet that preserve the character of a Toeplitz matrix after transform, which is quite useful in many applications involving a Toeplitz matrix. Results of numerical experiments show that the proposed method has good compression performance similar to using wavelet in the digital image coding. Since the proposed algorithms turn a dense Toeplitz matrix into a band-limited form, the arithmetic operations required by the new algorithms are O（N） that are reduced greatly compared with O（N log N） by the classical trigonometric transforms.     

Beurling-Ahlfors扩张的伸张函数的估计

In this paper, we prove that the control function of the dilatation function of Beurling-Ahlfors extension is convex. Using the quasi-symmetric function ρ, we get a relatively sharp estimate of the dilatation function: D(x,y)≤17/32 (ρ(x, y) 1) (ρ(x y/2, y/2) ρ(x - y/2, y/2) 2) , which improves the results before. We also show that the above result is asymptotically precise.     

Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions

In this paper we first consider a risk process in which claim inter-arrival times and the time untilthe first claim have an Erlang (2) distribution.An explicit solution is derived for the probability of ultimateruin,given an initial reserve of u when the claim size follows a Pareto distribution.Follow Ramsay,Laplacetransforms and exponential integrals are used to derive the solution,which involves a single integral of realvalued functions along the positive real line,and the integrand is not of an oscillating kind.Then we showthat the ultimate ruin probability can be expressed as the sum of expected values of functions of two differentGamma random variables.Finally,the results are extended to the Erlang(n) case.Numerical examples aregiven to illustrate the main results.     

SOME TOPICS ON WAVELET ANALYSIS

A review of the advance in the theory of wavelet analysis in recent years is given.     

Singularities of the radon transform of a class of piecewise smooth functions in <Emphasis Type="Italic">R</Emphasis><Superscript>2</Superscript>

A class of piecewise smooth functions in R2 is considered.The propagation law of the Radon transform of the function is derived.The singularities inversion formula of the Radon transform is derived from the propagation law.The examples of singularities and singularities inversion of the Radon transform are given.     

CONSTRUCTION OF REAL-VALUED MULTIVARIATE WAVELETS

In this paper, we give a method to construct multivariate wavelets for skew-symmetric scaling function. Such wavelets have some desirable properties, e.g., they are real-valued and orthogonal if the scaling function is real-valued and orthonormal respectively.     

HOLOMORPHIC HARMONIC ANALYSIS ON COMPLEX REDUCTIVE GROUPS

The authors define the holomorphic Fourier transform of holomorphic functions on complex reductive groups, prove some properties such as the Fourier inversion formula, and give some applications. The definition of the holomorphic Fourier transform makes use of the notion of K-admissible measures. The authors prove that K-admissible measures are abundant, and the definition of holomorphic Fourier transform is independent of the choice of K-admissible measures.