具多重符号拟微分算子的L~2有界性

本文构造了一种新的单位分解,即空间R~(m×n)上的所谓“框形”分解,并综合了文献[1,2]的方法,从而推广了[2]中关于拟微分算子的精密L~2有界性定理,即得到了文献[4]中具 S_(0,0)~(0;0)类和S_(ρ,ρ)~(0;0)类(0相似文献   

关于函数在一点附近单调的条件问题

讨论函数f(x)的单调性是导数应用的重要部分,我们现有的微积分教材皆有如下定理: 定理1.设函数f(x)在区间(a,b)内可导,且f′(x)>0(或f′(x)<0),则f(x)在(a,b)内为增加函数(或减少函数)。利用拉格朗日中值定理来证明定理1是显然的,人人能懂,但是若问,f′(x_0)>0(或f′(x_0)<0)时,f(x)在点x_0处是否单调函数,人们理解就不一致了。为了回答这一问题,看下边定理: 定理2.设函数f(x)在区间(a,b)内一点x_0处可导,且f′(x_0)>0(或f′(x_0)<0),则f(x)在点x_0处为增加函数(或减少函数)。证明:因f(x)在点x_0处可导,即极限     

Weyl型定理的稳定性

称Hilbert空间算子T∈B(H)满足a-Browder定理,如果σ_a(T)\σ_(aw)(T)=π_(00)~a(T),其中σ_a(T)和σ_(aw)(T)分别表示逼近点谱和Weyl本性逼近点谱,π_(00)~a(T)={λ∈isoσ_a(T),0dim N(T-λI)∞}.如果σ_a(T)\σ_(aw)(T)=π_(00)~A(T),称T满足a-Weyl定理.如果对所有的紧算子K,T+K都满足a-Browder定理(a-Weyl定理),则称T关于a-Browder定理(a-Weyl定理)是稳定性的.该文研究了a-Browder定理和a-Weyl定理的稳定性,给出了算子满足a-Browder定理和a-Weyl定理紧扰动的等价刻画.     

应用微分中值定理证题时的确定区间法

应用 Rolle中值定理、L agrange中值定理、Cauchy中值定理证题时的一般步骤是 :(1 )设出辅助函数 ;(2 )确定区间 ;(3 )验证定理条件 ;(4)应用定理结论 .介绍构造辅助函数的文章较多 ,确定区间的文章少见 ,本文重点介绍确定区间 .一、Rolle中值定理例 1　设 f (x)在 [0 ,1 ]上可导 ,且满足关系式 f (1 ) -2∫120xf (x) dx =0 .证明 :在 (0 ,1 )内至少存在一点 ξ,使得 f′ (ξ) =-f (ξ)ξ .分析　从结论 f′(ξ) =-f (ξ)ξ f (ξ) ξf′(ξ) =0 ,易猜出辅助函数为 F(x) =xf (x) ,即是被积函数 .余下的问题是在什么区间上应用 Rolle中…     

正态平稳随机过程各态历经性充分条件的一个证明

<正> 我们已经知道,平稳随机过程x(t),t≥0具有各态历经性,是指其均值μ_x和自相关函数R_x(τ)都是各态历经的,而它们是各态历经的充要条件是由下面的定理1和定理2给出的。定理1(均值的各态历经性定理)平稳随机过程x(t),t≥0的均值具有各态历经性     

具多重符号拟微分算子的 L~2有界性

本文构造了一种新的单位分解,即空间 R~(m×n)上的所谓“框形”分解,并综合了文献[1,2]的方法,从而推广了[2]中关于拟微分算子的精密 L~2有界性定理,即得到了文献[4]中具 S_(0,0)~(0;0)类和 S_(ρ,ρ)~(0,0)类(0<ρ<1)多重符号拟微分算子的 L~2 有界性的精密结果.(见§3定理1,2和§4定理4,5).作为 L~2有界性定理的应用,本文给出了具简单符号的两个拟微分算子复合的余项的一个估计(见§3定理3).     

角函数方法在二阶微分方程边值问题中的应用

利用角函数的方法讨论了下列二阶微分方程x″+g(t,x,x′)=0(1)x″+δsin(x)+h(t)=0(2)x″+g(t,x′)=0(3)在边界条件x(a)=x(b)=0(4)下解的存在性或唯一性问题.得到了边值问题(1)(4)的存在性定理,边值问题(2)(4)和(3)(4)的存在唯一性定理.     

一类Φ-Laplacian多点边值问题的可解性

获得了一类Φ-Laplacian多点边值问题((u′) )′=f (t,u,u′) ,0 相似文献   

几个l~0类赋准范空间的共轭空间的表示定理

讨论赋准范空间的共轭空间的表示问题,研究几个l~0类赋准范空间的共轭空间的表示定理,得到代数表示连等式(l~0)~*(A=)(c~0)~*(A=)(c_0~0)~*(A=)(c_(00)~0)~*(A=)c_(00),与拓扑表示定理((c_(00)~0)~*,sw~*)=c_(00)~0.     

一类奇异非线性三点边值问题的正解

应用锥上的不动点定理，建立了奇异非线性三点边值问题(u″(t)+a(t)f(u)=0,0＜t＜1,αu(0)-βu′(0)=0,u(1)-ku(η)=0)正解的一个存在性定理．这里η∈(0,1)是一个常数，a∈C( (0,1),［0,+∞)),f∈C(［0,+∞),［0,+∞))     

Random orthogonal matrix simulation

This paper introduces a method for simulating multivariate samples that have exact means, covariances, skewness and kurtosis. We introduce a new class of rectangular orthogonal matrix which is fundamental to the methodology and we call these matrices L matrices. They may be deterministic, parametric or data specific in nature. The target moments determine the L matrix then infinitely many random samples with the same exact moments may be generated by multiplying the L matrix by arbitrary random orthogonal matrices. This methodology is thus termed “ROM simulation”. Considering certain elementary types of random orthogonal matrices we demonstrate that they generate samples with different characteristics. ROM simulation has applications to many problems that are resolved using standard Monte Carlo methods. But no parametric assumptions are required (unless parametric L matrices are used) so there is no sampling error caused by the discrete approximation of a continuous distribution, which is a major source of error in standard Monte Carlo simulations. For illustration, we apply ROM simulation to determine the value-at-risk of a stock portfolio.     

Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

We introduce a new importance sampling method for pricing basket default swaps employing exchangeable Archimedean copulas and nested Gumbel copulas. We establish more realistic dependence structures than existing copula models for credit risks in the underlying portfolio, and propose an appropriate density for importance sampling by analyzing multivariate Archimedean copulas. To justify efficiency and accuracy of the proposed algorithms, we present numerical examples and compare them with the crude Monte Carlo simulation, and finally show that our proposed estimators produce considerably smaller variances.     

Modelling dynamic portfolio risk using risk drivers of elliptical processes

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it difficult, for example, to find statistically significant temporal structures in the data on the single asset level. By contrast, there is often a broader availability of cross-sectional data, i.e. a large number of assets in the portfolio. This paper proposes a stochastic dynamic model which takes this situation into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative error models (MEMs)-as introduced by Engle [Engle, R.F., 2002. New frontiers for ARCH models. J. Appl. Econom. 17, 425-446]-or by traditional ARMA models. The model is calibrated to Moody’s KMV Credit Monitor asset returns (also known as firm-value returns) given on a monthly basis for 756 listed European companies at 115 time points from 1996 to 2005. This database is used by financial institutions to assess the credit quality of firms. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A characteristic cyclical as well as a seasonal temporal structure of the risk drivers is found across all industry sectors. In addition, each risk driver exhibits idiosyncratic developments. We also identify correlations between the risk drivers and selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at Risk. The proposed methods are general and can be applied to any series of multivariate asset or equity returns in finance and insurance.     

Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: A practical guide

We show how infinite horizon stochastic optimal control problems can be solved via studying their finite horizon approximations. This often leads to analytical solutions for the infinite horizon problem by studying phase diagrams, even in cases where the complexity of the finite horizon case does not permit analytic solutions. Our approach can be applied to many problems in dynamic economics.     

Estimating the term structure of mortality

In modeling and forecasting mortality the Lee-Carter approach is the benchmark methodology. In many empirical applications the Lee-Carter approach results in a model that describes the log central death rates by means of linear trends. However, due to the volatility in (past) mortality data, the estimation of these trends, and, thus, the forecasts based on them, might be rather sensitive to the sample period employed. We allow for time-varying trends, depending on a few underlying factors, to make the estimates of the future trends less sensitive to the sampling period. We formulate our model in a state-space framework, and use the Kalman filtering technique to estimate it. We illustrate our model using Dutch mortality data.     

A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates

With the decline in the mortality level of populations, national social security systems and insurance companies of most developed countries are reconsidering their mortality tables taking into account the longevity risk. The Lee and Carter model is the first discrete-time stochastic model to consider the increased life expectancy trends in mortality rates and is still broadly used today. In this paper, we propose an alternative to the Lee-Carter model: an AR(1)-ARCH(1) model. More specifically, we compare the performance of these two models with respect to forecasting age-specific mortality in Italy. We fit the two models, with Gaussian and t-student innovations, for the matrix of Italian death rates from 1960 to 2003. We compare the forecast ability of the two approaches in out-of-sample analysis for the period 2004-2006 and find that the AR(1)-ARCH(1) model with t-student innovations provides the best fit among the models studied in this paper.     

Cyclic orders: Equivalence and duality

Cyclic orders of graphs and their equivalence have been promoted by Bessy and Thomassé’s recent proof of Gallai’s conjecture. We explore this notion further: we prove that two cyclic orders are equivalent if and only if the winding number of every circuit is the same in the two. The proof is short and provides a good characterization and a polynomial algorithm for deciding whether two orders are equivalent. We then derive short proofs of Gallai’s conjecture and a theorem “polar to” the main result of Bessy and Thomassé, using the duality theorem of linear programming, total unimodularity, and the new result on the equivalence of cyclic orders.     

Twistor fibrations over Hermitian symmetric spaces and harmonic maps

Given a twistor space over a Hermitian symmetric space of compact type we construct a map onto a twistor space over another inner symmetric space of compact type. This map is holomorphic and preserves the superhorizontal distributions. We describe an application to harmonic maps.     

Effective graph resistance

This paper studies an interesting graph measure that we call the effective graph resistance. The notion of effective graph resistance is derived from the field of electric circuit analysis where it is defined as the accumulated effective resistance between all pairs of vertices. The objective of the paper is twofold. First, we survey known formulae of the effective graph resistance and derive other representations as well. The derivation of new expressions is based on the analysis of the associated random walk on the graph and applies tools from Markov chain theory. This approach results in a new method to approximate the effective graph resistance. A second objective of this paper concerns the optimisation of the effective graph resistance for graphs with given number of vertices and diameter, and for optimal edge addition. A set of analytical results is described, as well as results obtained by exhaustive search. One of the foremost applications of the effective graph resistance we have in mind, is the analysis of robustness-related problems. However, with our discussion of this informative graph measure we hope to open up a wealth of possibilities of applying the effective graph resistance to all kinds of networks problems.     

The feasibility pump

In this paper we consider the NP-hard problem of finding a feasible solution (if any exists) for a generic MIP problem of the form min{c^Tx:Ax≥b,x_j integer ∀j ∈ }. Trivially, a feasible solution can be defined as a point x* ∈ P:={x:Ax≥b} that is equal to its rounding , where the rounded point is defined by := x*_j if j ∈ and := x*_j otherwise, and [·] represents scalar rounding to the nearest integer. Replacing “equal” with “as close as possible” relative to a suitable distance function Δ(x*, ), suggests the following Feasibility Pump (FP) heuristic for finding a feasible solution of a given MIP.We start from any x* ∈ P, and define its rounding . At each FP iteration we look for a point x* ∈ P that is as close as possible to the current by solving the problem min {Δ(x, ): x ∈ P}. Assuming Δ(x, ) is chosen appropriately, this is an easily solvable LP problem. If Δ(x*, )=0, then x* is a feasible MIP solution and we are done. Otherwise, we replace by the rounding of x*, and repeat.We report computational results on a set of 83 difficult 0-1 MIPs, using the commercial software ILOG-Cplex 8.1 as a benchmark. The outcome is that FP, in spite of its simple foundation, proves competitive with ILOG-Cplex both in terms of speed and quality of the first solution delivered. Interestingly, ILOG-Cplex could not find any feasible solution at the root node for 19 problems in our test-bed, whereas FP was unsuccessful in just 3 cases.