离散模型下的美式期权定价

本文考虑离散时间金融市场模型中由效用函数U(x)所产生的报酬序列(U1 (Srn))n的最优停止问题.其中U(x)是由股票价格产生的效用.     

CARA效用函数下美式期权的定价

考虑当期权持有者的效用为CARA效用函数U(x)=-e<'-λx>时的关式期权定价问题.运用最优停止理论得到其在有限离散时间金融市场模型下的最佳实施期,并给出相应美式期权的定价公式.     

一类反应扩散差分方程组及有关的离散生态模型

§1.前言基于生物学中的离散模型,文章[1—5]研究了反应扩散差分方程的性质。反应扩散差分方程组,可由如下定解问题 LU=F(x.U),xΩ,t∈[0,T],Ω■R~n, U(x,t)=H(x,t),x∈■Ω,t∈(0,T],(1.1) U(x.0)=U~0(x),x∈Ω=Ω∩■Ω,     

关于素环广义导子和对称双导的几点备注

设R是素环,I是R的非零理想,如果R容许一个非单位映射的左乘子使得对所有x,y∈I满足δ(x°y)=x°y或δ(x°y) x°y=0,那么R可交换.此外,如果R是2-扭自由的素环,U是平方封闭的李理想,γ是伴随导子非零的广义导子,B:R×R→R是迹函数为g(x)=B(x,x)的对称双导,当下列条件之一成立时U为中心李理想(1)γ同态作用于U(2)2[x,y]-g(xy) g(yx)∈Z(R)(3)2[x,y] g(xy)-g(yx)∈Z(R)(4)2(x°y)=g(x)-g(y)(5)2(x°y)=g(y)-g(x)对所有的x,y∈U.     

谈二维随机变量的函数的分布函数

设二维随机变量 (X,Y)的概率密度为 f (x,y) ,二维随机变量的函数是 U =U(x,y) ,则U的分布函数为FU(u) =P{ U≤ u} = Gf (x,y) dxdy,G:u(x,y)≤ u,(-∞ 0 .将此…     

含有溶质的流体在两层多孔介质中的渗流问题

本文讨论含有溶质的流体在两层多孔介质中的渗流问题，即（θ（x，U）t=（K（x，U）Ux-K（x，U））x，（x，t）∈GT，（θ（x，U）V（x，t）t=（DθVx）x-（V（KUx-K））x，（x，t）∈GT，U（x，0）=U0（x），V（x，0）=V0（x），0≤x≤2，U（0，t）-h0（t），U（2，t）=h2（t），0≤t≤T，V（0，t）=g0（t），V（2，t）=g2（t），0≤t≤T。其中θ（x,U)=θ1(x,U)，当（x,t)∈D1=｛0≤x≤1,0≤t≤T｝；θ（x,U)=θ2(x,U)当（x,t）∈D2＋1｛1＜x≤2，0≤t≤T｝。K（x,U)=K1(x,U)当（x,t)∈D1;K(x,U)=K2(x,U)，当(x,t)∈D2。θi，Ki分别是Di上的介质含水率及水力传导率，V是溶质的浓度，此外还要求U，V，K（x,U)(Ux-1)及DθVx V(KUx-K)在x=1连续。     

非参数回归模型中回归函数的估计的渐近性质

§1.引言 考虑下列的回归模型:Y在X=x的条件之下的分布密度为f(y|X=x)=p(y-θ(x)),(1.1)其中p(y)满足条件回归函数θ(x)为下列集合的成员之一存在,x∈U},(1.3)其中U是一个开区间,θ~(p)(x)表示θ(x)的p阶导数。又设随机变量X的分布密度为q(x),它在X的支撑U上为连续正函数。现在设(X_1,Y_1),…,(X_n,Y_n)是(X,Y)的     

Decay of Solutions to 2-Dimensional Navier Stokes Equations

In this paper we want to establish sharp rates of both L~2 and L~∞ decay of glo-bal solutions to the initial value problems for 2-dimensional incompressible Navier-Stokes equations, with, initial data U_0(x)∈L_1∩L~2. U_t + U·U -△U + p = 0,·U = 0,U(x,0) = U_0(x), (1)where U = U(x,t) = (U_1(x,t),U_2(x,t)) is a real vector valued function, △is 2-di-mensional Laplace operator, is gradient operator. We will present a simple method for establishing the decay results.     

本刊外文版7卷4期文章简介(1991)

<正> 在本文中,作者考虑下面离散型插值算子:的收敛和问题,其中 f 是实轴 R 上任意有界函数,而 U(x)是一个适当的指数型1的整函数并且 U_(?)(x)=U(σx),作者得到一些类似于三角多项式插值算子情形的结果.作为一个特殊情况,作者的结果包含了[5]中的结果.     

Solutions of Equations Involving Analytic Functions in a Banach Algebra

By the properties of univalent analytic functions,we have discussed the exi-stence and uniqueness of eqation f(x)=a in a Banach algebra.We have the follo-wing fundamental lemmas. Lemma 1. Let A be a Banach algebra with identity e,W,U be two opensubsets of C, U W,f be an analytic function in W, and univalent in U, V=f(U),a∈A.If σ(a) V,then there exists unique x∈A such that σ(x) U {λ∈W|f(λ) V}and f(x)=a     

On the Unitriangular Groups over Rational Numbers Field

Let U(n,Q)be the group of all n x n(upper)unitriangular matrices over rational numbers field Q.Let S be a subset of U(n,Q).In this paper,we prove that S is a su...     

On the instability of the equilibrium for a Lagrangian system with gyroscopic forces

We consider a Lagrangian Differential System (L.D.S.) with Lagrangian function L(q, )=T(q, )+U(q), sufficiently smooth in a neighbourhood of the critical pointq=0 of the potential functionU(q). The kinetic function T(q, ) is a non homogeneous quadratic function of the 's, i.e. the L.D.S. contains the so-called gyroscopic forces. The potential functionU(q) starts with a degenerate (but non zero), semidefinite-negative, quadratic form. Moreover,q=0 is not a proper maximum ofU, and this property has to be recognized in a suitable way. By analizing the problem of the existence of solutions of the L.D.S., which asymptotically tend to the equilibrium solution, (q, )=(0,0), we provide a sufficient criterium for its instability.Work performed under the auspices of M.U.R.S.T. (Ministero dell'Universitá e della Ricerca Scientifica e Tecnologica) and G.N.F.M. (Gruppo Nazionale di Fisica Matematica of the National Research Council (C.N.R.)).     

算子的拟相似与(Q)类算子

本文引进定义于L(H)上的集值函数β(S)和(Q)类算子(指本质谱含于其一切拟相似算子的本质谱的算子),用β(S)刻划 (Q)类算子的特征;证明(Q)类算子范围广泛,次可分解算子(包括次标量算子,M-亚正常算子,半亚正常算子等等)是其中的一部分;(Q)类算子在L(H)中稠密.     

Political engineering: optimizing a U.S. Presidential candidate’s platform

We explore the application of operations research to the problem of defining/refining the political strategy for a candidate in a U.S. Presidential election. We use Hierarchical Bayesian techniques to model criteria used by a stratified random sample of registered voters to evaluate a candidate/platform. We then use the estimated utility parameters as inputs to a model that finds the positions a candidate can take on the salient issues of the election that will optimize expected Electoral College votes conditional on the positions respondents perceive to have been taken by the opposing party’s nominee. This approach is unique in that it (i) considers the value that individual voters associate with various positions the candidates can take on various issues, (ii) considers the chronicity of the electorate’s perceptions of a candidate’s positions on the salient issues, and (iii) yields a solution that will optimize expected Electoral College votes. We demonstrate this model on data collected immediately prior to the 2004 U.S. Presidential election (the most recent U.S. Presidential election not involving any potential candidate for the upcoming 2012 U.S. Presidential election), and we show how these data and the model can also be used to assess the perceived clarity of a candidate’s positions, the sensitivity of a candidate’s support to her/his perceived positions, and the viability of a third party candidate.     

多重拉普拉斯运算的扩充

<正> 设 U(P)≡U(x,y)为一二元的可积函数,我们以μ(U;P;r)代表 U(x,y)在以 P 为中心,r 为半径的圆周上之平均值,而以 V(U;P;r)代表 U(x,y)在以P为中心,r 为半径的圆域内部的平均值,即     

On the Correct Determination of Flow of a Discontinuous Solenoidal Vector Field

Ukrainian Mathematical Journal - We prove inequalities connecting a flow through the (n?1)-dimensional surface S of a smooth solenoidal vector field with its Lp(U)-norm (U is an n-dimensional...     

Existence of a utility in infinite dimensional partially ordered spaces

An example is given of a preference order on a space of denumerable algebraic dimension that has no utility, and necessary and sufficient conditions for the existence of utilities in various linear spaces are given. Research partially supported by the U.S. Office of Naval Research under contract No. N 62558-3586.     

泛阶化李超代数

对于给定的负阶化李超代数K-,本文定义了K-型泛阶化李超代数并证明了它的存在性．进而引出阶化Cartan型李超代数,并且证得阶化Cartan型李超代数 W(m,n),K(m,n,ωA),S(m,n)和H(m,n)分别可以用某种泛阶化李超代数来刻画．     

Nilpotent Ranks of Semigroups of Partial Transformations

A subset U of a semigroup S is a generating set for S if every element of S may be written as a finite product of elements of U. The rank of a finite semigroup S is the size of a minimal generating set of S, and the nilpotent rank of S is the size of a minimal generating set of S consisting of nilpotents in S. A partition of a q-element subset of the set X_n = {1,2,..., n} is said to be of type τ if the sizes of its classes form the partition τ of the positive integer q ≤ n. A non-trivial partition τ of q consists of k < q elements. For a non-trivial partition τ of q < n, the semigroup S(τ), generated by all the transformations with kernels of type τ, is nilpotent-generated. We prove that if τ is a non-trivial partition of q < n, then the rank and the nilpotent rank of S(τ) are both equal to the number of partitions X_n of type τ.