Dynamics of a FitzHugh-Nagumo system subjected to autocorrelated noise

We analyze the dynamics of the FitzHugh-Nagumo (FHN) model in the presence of colored noise and a periodic signal. Two cases are considered: (i) the dynamics of the membrane potential is affected by the noise, (ii) the slow dynamics of the recovery variable is subject to noise. We investigate the role of the colored noise on the neuron dynamics by the mean response time (MRT) of the neuron. We find meaningful modifications of the resonant activation (RA) and noise enhanced stability (NES) phenomena due to the correlation time of the noise. For strongly correlated noise we observe suppression of NES effect and persistence of RA phenomenon, with an efficiency enhancement of the neuronal response. Finally we show that the self-correlation of the colored noise causes a reduction of the effective noise intensity, which appears as a rescaling of the fluctuations affecting the FHN system.     

The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem. Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints.     

半参数回归模型的估计的渐近性质

考虑半参数回归模型ｙｉ＝ｘｉ＾１β＋ｇ（ｔｉ）＋ｅｉ,１≤ｉ≤ｎ;其中ｇ为Ｒ上未知函数,σ０＾２＝Ｄ（ｅ１）柴根象等在１９９５年给出了β的二阶段估计βｎ,本文基于β１建立了σ０＾２的估计量σｎ＾２,研究了误差方差估计σｎ＾２的渐近正态性和强相合性,并且得到了可直接用于统计推断的统计量及其分布。     

证券数减少情形下M—V证券组合特征灵敏度分析

本文研究当市场不存在无风险收益证券且允许卖空时证券组合特征关于证券数减少的灵敏度分析,给出了有效边缘、渐近线斜率、全局最小方差证券组合及其协方差、最小方差证券组合的投资权数、最小方差证券组合之间结合线等的变化模式,得到了一些有意义的结果．这不仅是对证券组合选择理论的进一步完善,对投资者也具有一定的指导意义     

Stochastic orders and their applications in financial optimization

Stochastic orders and inequalities are very useful tools in various areas of economics and finance. The purpose of this paper is to describe main results obtained so far by using the idea of stochastic orders in financial optimization. Especially, the emphasis is placed on the demand and shift effect problems in portfolio selection. Some other examples, which are not related directly to optimization problems, are also given to demonstrate the wide spectrum of application areas of stochastic orders in finance.     

有交易费的无套利资产组合优化性质

针对所给出的有交易费的资产过程模型，引入了资产折算函数以刻划套期保值和套利机会，并利用辅助鞅和凸分析的对偶方法，讨论了该模型下基于无套利分析的资产组合优化可达性的一些性质．     

玉米秸秆组分近红外漫反射光谱(NIRS)测定方法的建立

玉米秸秆是我国产量最大的秸秆生物质资源,但目前还没有快速高效的组分分析方法,本研究利用傅里叶变换近红外漫反射光谱 (NIRS) 技术,采用偏最小二乘法(PLS),在国内首次建立了NIRS测定玉米秸秆中灰分、半纤维素、纤维素、Klason木质素、酸不溶灰分和水分含量的校正模型,该模型稳定,适合不同地区、不同品种的玉米秸秆及其不同部位。实验结果表明,采用一阶导数+Karl Norris滤波预处理,谱区在4 100～7 500 cm-1,能得到理想的预测模型。该模型对玉米秸秆各组分的交叉验证均方差(RMSECV)范围为0.090 3～1.45,预测误差(RMSEP)范围为0.256 9%～2.581 9%,预测相关系数≥0.871 1。该研究对加速我国秸秆生物质的工业转化具有重要意义。     

带有消费的最优财富追踪问题

本文研究带有消费的最优财富追踪模型.利用Hamilton-Jaucobi-Bellman方法,求得投资策略的精确表达式.最后分析了所得到的解对个体偏好的敏感性.