OU型Markov过程的不变测度及弱对偶性

本文研究ＯＵ型Ｍａｒｋｏｖ过程的不变测度、参考测度和弱对偶半群的存在性问题，并得出了不变测度的唯一性。     

Noise-assisted mound coarsening in epitaxial growth

Two types of mechanisms are proposed for mound coarsening during unstable epitaxial growth: stochastic, due to deposition noise, and deterministic, due to mass currents driven by surface energy differences. Both yield the relation H=(RWL)² between the typical mound height W, mound size L, and the film thickness H. An analysis of simulations and experimental data shows that the parameter R saturates to a value which discriminates sharply between stochastic () and deterministic () coarsening. We derive a scaling relation between the coarsening exponent 1/z and the mound-height exponent which, for a saturated mound slope, yields . Received: 11 November 1997 / Revised in final form: 28 November 1997 / Accepted: 28 November 1997     

A branching process model for sand avalanches

An analytically solvable model for sand avalanches of noninteracting grains of sand, based on the Chapman-Kolmogorov equations, is presented. For a single avalanche, distributions of lifetimes, sizes of overflows and avalanches, and correlation functions are calculated. Some of these are exponentials, some are power laws. Spatially homogeneous distributions of avalanches are also studied. Computer simulations of avalanches of interacting grains of sand are compared to the solutions to the Chapman-Kolmogorov equations. We find that within the range of parameters explored in the simulation, the approximation of noninteracting grains of sand is a good one.     

Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

一个电磁感应佯谬及其理论分析

提出一个令人困惑的电磁感应问题，并运用电磁学理论对其进行了详尽的理论分析。     

The Properties of Light Pressure Force with High Order in Laser Fields

1　Ｉｎｔｒｏｄｕｃｔｉｏｎ　　Ｉｎｒｅｃｅｎｔｙｅａｒｓ,ｂｏｔｈｔｈｅｔｈｅｏｒｅｔｉｃａｌａｎｄｅｘｐｅｒｉｍｅｎｔａｌｉｎｖｅｓｔｉｇａｔｉｏｎｓｏｎｌａｓｅｒｃｏｏｌｉｎｇａｎｄｔｒａｐｐｉｎｇｈａｖｅｂｅｃｏｍｅｏｎｅｏｆｔｈｅｍａｊｏｒｆｉｅｌｄｓｉｎａｔｏｍｉｃ,ｍｏｌｅｃｕｌａｒａｎｄｏｐｔｉｃａｌ ｐｈｙｓｉｃｓ[1～ 8] .Ｔｈｅｄｅｖｅｌｏｐｍｅｎｔｏｆｌａｓｅｒｃｏｏｌｉｎｇａｎｄｔｒａｐｐｉｎｇｔｅｃｈｎｏｌｏｇｙｉｓｉｍｐｏｒｔａｎｔｆｏｒｔｈｅａｐｐｌｉｃａｔｉｏｎｓｓｕ…     

Parametric and Non Homogeneous Semi-Markov Process for HIV Control

In AIDS control, physicians have a growing need to use pragmatically useful and interpretable tools in their daily medical taking care of patients. Semi-Markov process seems to be well adapted to model the evolution of HIV-1 infected patients. In this study, we introduce and define a non homogeneous semi-Markov (NHSM) model in continuous time. Then the problem of finding the equations that describe the biological evolution of patient is studied and the interval transition probabilities are computed. A parametric approach is used and the maximum likelihood estimators of the process are given. A Monte Carlo algorithm is presented for realizing non homogeneous semi-Markov trajectories. As results, interval transition probabilities are computed for distinct times and follow-up has an impact on the evolution of patients.      

Time Consistent Dynamic Risk Measures

We introduce the time-consistency concept that is inspired by the so-called “principle of optimality” of dynamic programming and demonstrate – via an example – that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures based on the theory and structure of the target-percentile risk measure.     

Convergence rates for Markov chain order estimates using EDC criterion

The Efficient Determination Criterion (EDC) generalizes the AIC and BIC criteria and provides a class of consistent estimators for the order of a Markov chain with finite state space. In this note, we derive rates of convergence for the EDC estimates. *Partially supported by CNPq, CAPES/PROCAD, FAPDF/PRONEX, FINATEC and FUNPE/UnB. **Partially supported by CAPES.     

Resolving Discrepancy between Theoretical and Experimental Optical Trapping Forces Using Effects of Beam Waist and Trapping Position Displacement due to Gravity

Optical trapping forces of polystyrene microspheres are analyzed both theoretically and experimentally, and comparisons are made between the two. Discrepancies are mainly caused by straight-ray approximation for axial trapping, and by trapping-position vertical displacement due to gravity for transverse trapping.