Probability relations involving several subsystems

We consider the question of factorizability in tensor product spaces, and argue that the correlations associated with entangled states are even more problematic in the general case involving any tensor product of Hilbert spaces, than in the Einstein, Podolsky, and Rosen case with only two [1].     

The Efficiency Distribution Approach in Data Envelopment Analysis: An Application

A method is developed here for characterizing the empirical distribution of the efficient units in data envelopment analysis. Two empirical applications illustrate the various uses of the distribution approach. One involves the cost frontier which exhibits increasing returns to scale and the other involves a dynamic production frontier, where technological change causes a shift of the production frontier over time.     

拟线性椭圆变分不等式的障碍最优控制问题

对拟线性椭圆变分不等式的障碍最优控制问题(即以障碍为控制变量)进行了研究．指标泛函为Lagrange型,其中含有控制变量二阶导数的p次幂,这使得最优性条件的推导颇为不易．对所考虑的问题给出了最优控制的存在性定理以及必要条件．     

The Pearson system of utility functions

This paper describes a parametric family of utility functions for decision analysis. The parameterization embeds the HARA class in a four-parameter representation for the risk aversion function. The resulting utility functions can have only four shapes: concave, convex, S-shaped, and reverse S-shaped. This makes the family suited for both expected utility and prospect theory. The paper also describes an alternative technique to estimate the four parameters from elicited utilities, which is simpler than standard fitting by minimization of the mean quadratic error.     

Neighborhood Complexes and Generating Functions for Affine Semigroups

Given a₁,a₂,...,a_n ∈ ℤ^d$, we examine the set, G, of all non-negative integer combinations of these a_i. In particular, we examine the generating function f(z) = ∑_{b ∈ G}z_b. We prove that one can write this generating function as a rational function using the neighborhood complex (sometimes called the complex of maximal lattice-free bodies or the Scarf complex) on a particular lattice in ℤ_n. In the generic case, this follows from algebraic results of Bayer and Sturmfels. Here we prove it geometrically in all cases, and we examine a generalization involving the neighborhood complex on an arbitrary lattice.     

A note on continuously decomposed evolving exchange economies

It is routine to demonstrate in the exchange economy framework that small changes of individual preferences and endowments always result in small changes of the derived excess demand functions as one should expect. Though being as desirable for reasons of the consistency of the whole approach, however, a precise proof of the converse direction so far is still open to question. The present paper shows that it is actually true. We use a decomposition method for aggregate excess demand functions developed by Mas-Colell which is derived from the well-known decomposition method developed by Sonnenschein and perfected by Debreu and Mantel. Our result fills in a notorious gap in the line of economic justification usually given for this decomposition, or disaggregation, method in that comparative static analysis would be restricted if the decomposition of excess demand functions would not be continuous.     

Risk management of a bond portfolio using options

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share.     

Electric field and force on a conducting sphere in contact with a dielectric solid

This paper presents the analysis of electric field and force on a conducting sphere lying on a dielectric solid under a uniform field. To achieve high accuracy, we have applied the analytical method of successively placing three infinite sequences of point and dipole charges (zero- or first-order multipoles). The electric field is highest at the contact point, called the triple junction, where the conductor, the dielectric solid, and the surrounding medium (gas or vacuum) meet together. Both the contact-point field and the force increase with the permittivity ratio of the solid to that of the surrounding medium. The resulting force always attracts the sphere to the solid, in contrast to the repulsive force in the case of a conducting sphere lying on a plane conductor under an external field. We have given very simple formulae for approximating the contact-point field and the force which agree with the precise values within a difference of 3% for permittivity ratios up to 32 and 64, respectively.     

Phase-synchronisation in continuous flow models of production networks

To improve their position at the market, many companies concentrate on their core competences and hence cooperate with suppliers and distributors. Thus, between many independent companies strong linkages develop and production and logistics networks emerge. These networks are characterised by permanently increasing complexity, and are nowadays forced to adapt to dynamically changing markets. This factor complicates an enterprise-spreading production planning and control enormously. Therefore, a continuous flow model for production networks will be derived regarding these special logistic problems. Furthermore, phase-synchronisation effects will be presented and their dependencies to the set of network parameters will be investigated.