On measure solutions of backward stochastic differential equations

We consider backward stochastic differential equations (BSDEs) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the generator is seen as vanishing, so that the classical solution can be reconstructed by a combination of the operations of conditioning and using martingale representations. For the case where the terminal condition is bounded and the generator fulfills the usual continuity and boundedness conditions, we show that measure solutions with equivalent measures just reinterpret classical ones. For the case of terminal conditions that have only exponentially bounded moments, we discuss a series of examples which show that in the case of non-uniqueness, classical solutions that fail to be measure solutions can coexist with different measure solutions.     

组织气氛对团队有效性影响机制的实证分析

本研究以10家高科技组织中的48个工作团队作为研究对象,通过文献研究、问卷调查,利用SPSS11.0软件进行多元回归统计分析,研究了组织气氛中的创新、公平、支持、人际关系和员工身份认同等五个维度对团队有效性的影响作用,研究结果表明不同的组织气氛维度对团队的绩效、团队工作成员的满意度以及团队承诺具有不同的影响,同时,团队组织气氛通过团队群体效能感这个中介变量对团队的有效性产生影响作用。     

Development and application of multiscale models of acute viral infections in intervention research

The objective of this study is to advance two frontiers in multiscale modelling of acute viral infections, which are (a) the mathematical technology or technical frontier, where we present a new method for development of multiscale models of acute viral infections using influenza A virus (IAV) as a paradigm in which a new set of metrics to measure both individual level and community level infectiousness are introduced, and (b) the scientific applications frontier, where we demonstrate the implementation of multiscale modelling in evaluating the comparative effectiveness of IAV health interventions from efficacy data. The multiscale model is developed by integrating the within-host scale and the between-host scale. Using the example of IAV as a paradigm, we demonstrate the utility and process by which multiscale modelling can be used to evaluate the comparative effectiveness of health interventions that operate at different scale domains. The multiscale modelling is general enough to be applicable to other acute viral infections.     

The strong predictable representation property in initially enlarged filtrations under the density hypothesis

We study the strong predictable representation property in filtrations initially enlarged with a random variable $L$. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the existing martingale representation results and does not rely on the equivalence between the conditional and the unconditional laws of $L$. Depending on the behavior of the density process at zero, different forms of martingale representation are established. The results are illustrated in the context of hedging contingent claims under insider information.     

Optimal bed net use for a dengue disease model with mosquito seasonal pattern

Controversial results concerning the effectiveness of bed net in reducing dengue fever transmission make further research necessary in this direction. At this aim, we consider a mathematical model of dengue transmission where the use by individuals of insecticide‐treated bed nets is taken into account, combined or not with insecticide spraying. Furthermore, as climatic factors play a key role in mosquito‐borne diseases, we model the effect of seasonality through a periodic mosquito birth rate. We numerically investigate some specific scenarios according to different rainfall and mean temperature values. We set an optimal control problem to minimize the number of human infections and the cost of efforts placed into bed net adoption and maintenance and insecticide spraying. To assess the most appropriate strategy to eliminate dengue with minimum costs, we perform a comparative cost‐effectiveness analysis, which also shows how the cost‐benefit of intervention efforts is affected by changes in the amplitude of seasonal variation. One general result is that in any case the combination of bed net use and insecticide spraying produces the highest ratio of infections averted, whereas in terms of cost‐benefit only spraying campaigns should be implemented in control programs for regions with no large seasonality.     

不同形状孔阵屏蔽效应的分析

 屏蔽效应的研究对于防御电磁干扰，保证电子系统的正常工作是非常重要的。计算了屏蔽腔上开有不同形状的孔阵时对屏蔽效应的影响，分析比较了各种不同孔间距对屏蔽效应的影响。计算结果表明，圆形孔阵的穿透系数最小，方形孔阵次之，蜂巢形孔阵较大，但频谱分布基本一致。而对于哑铃形孔阵，由于孔面形状差异较大，孔面处磁流分布变化也较大，不仅穿透系数比前三者都大，而且高频时穿透系数的频率分布也发生较大改变。另外，随着孔阵中孔间距变大，孔之间的互耦减弱，耦合进屏蔽腔内的场强也变小。     

Benchmarking of maintenance performance: a case study in two manufacturers of furniture

When profit margins of a plant are decreasing, the need forreliable and efficient maintenance policy becomes more important.Measuring maintenance performance is important for companiesto recognize whether their planned goals are achieved or not.Also, such measurements can be utilized for benchmarking, whichis one of the tools for never-ending improvement. But, theseobjectives cannot be achieved without well-documented data ofthe relevant variables. Better data coverage and quality isnecessary for following maintenance performance developmentand it would, in many cases, clarify the ambiguity concerningthe main problem in the context, namely that neither the productionnor maintenance department can show what effect maintenancehas on profitability. A more effective maintenance policy indirectly implies improvementsin product quality and manufacturing process effectiveness.Elongation of the production time, i.e. reducing the downtimedue to failures, planned replacements and repair, in additionto the improvement in the total maintenance activities, arealso some of the results that can be expected when an efficientmaintenance policy is used. Measuring and monitoring maintenanceperformance measures is required partly for detecting, and eventuallytreating as soon as possible, undesirable changes and partlyto make benchmarking with the best in the branch, which savesappreciable economic losses for companies. In this paper, a model for how to identify the measurable variables,which are needed to develop measures for monitoring maintenanceperformance behaviour systematically, is developed. Five maintenanceperformance measures are proposed and applied. An additionalmodel for systematically analysing the trend of maintenanceperformance measures, for an overall assessment of the company'ssituation, is presented. Two case studies in manufacturers offurniture are conducted to verify these models.     

企业管理的有效性、管理效率与管理变迁

为了客观公正地评价一个企业的管理有效性,本文深入挖掘了企业管理有效性概念的内涵与外延,并提出根据管理有效性的内涵确定管理效益指标体系,根据它的外延确定管理绩效的测算方法这一基本原则。基于此项原则,建立了管理前沿、管理效率和管理变迁的数理概念和测算方法。利用数据包络分析模型对我国30个省市自治区工业企业2002、2003年的管理效率以及2003年的管理变迁的评测结果表明:同时考察管理效率和管理变迁这两个技术指标,可以更客观、更全面地评价一个企业的管理有效性。     

极值分布和威布尔分布异常数据的检验方法

本文对威布尔分布的极值分布异常数据的检验给出了一系列的方法，首先，导入了极值分布下一般Ｄｉｘｏｎ型统计量的精确分布，同时还给出了改进的Ｇ型统计量，及它们的分位点表。最后本文提出了一个新的统计量；Ｆ型统计量，并用Ｍｏｎｔｅ－Ｃａｒｌｏ模拟的方法给出其分位点表，从而首次给出威布尔分布异常值的直接检验方法。本文进一步讨论了这些检验方法的功效，且表明Ｆ型检验是最优的。     

On a class of optimization problems emerging when hedging with short term futures contracts

This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the price process, i.e. Brownian motion, we give here solutions to more general models, i.e. a mean reverting model (Ornstein–Uhlenbeck process) and geometric Brownian motion. Furthermore we allow for interest rates greater than 0.