被动线谱检测的子带分解和分方位区间融合算法

目标辐射噪声中低频线谱丰富,而且谱级比高、强度稳定,相比调制谱检测具有优越性。基于子带分解处理的现有融合方法适用在信噪比相对较高情况下,而当干扰是相干的或强宽带信号时,对线谱目标有效检测仍没很好解决。本文从子带空间谱统计特性出发,利用线谱谱级高出连续谱10-25dB;线谱频带所在方位区间的输出方位波动小,而其他分区间的输出方位波动大特点,提出了一种在信噪比低,多目标并存情况下更有效的弱线谱提取融合方法。理论仿真和海试实验数据处理结果验证该方法具有创新性、较常规方位稳定算法适用范围更广、检测效果更好,适合工程应用。     

Analysis of degrees of freedom under mixture Gaussian model in cognitive radio systems

We propose a mixture-Gaussian model for a cognitive radio channel to analyze the interplay between the interference in the system and the degrees-of-freedom (DOF), i.e., the average number of channel uses per transmission frame, used by the secondary user (SU) for communications in the long run. In contrast to the conventional studies, we assume that the SU receiver (SU-RX) does not precisely know whether the primary-user (PU) transmitter is on or off. Due to this assumption the resulting interference channel is mixture-Gaussian. Our objective is to find the optimal sensing threshold and sensing time for the signal detector used by the SU transmitter (SU-TX). Our formulation of the optimization problem reflects the trade-off between SU-TX’s DOF for communications and that for detection. Both the DOFs affect PU’s interference to SU, and SU’s interference to PU. The latter interference causes PU performance degradation, which is kept within tolerable range as a constraint. As a further contribution, we define interference regimes for SU performance on the basis of PU transmission power level. We also address the scenario when PU receiver uses the nearest neighbor decoding while wrongly anticipating that the channel is Gaussian. Finally, we demonstrate that even if SU-TX’s signal detector performs suboptimally, SU can still achieve the optimal detector’s performance in the high interference regime by adjusting the sensing parameters.     

我国创业板企业内部人交易择时行为研究

利用深圳证券交易所2012年1月1日至2013年12月31日期间的创业板企业内部人的交易数据,从间接与直接两个角度考虑创业板企业的内部人交易与信息优势利用的关系.从间接角度来看,创业板企业的内部人卖出能够有效预测未来股票走势,来获取超额收益;而买入则不具有显著的择时能力,不能获取正的超额收益,这与主板企业具有相同特点;但其中创业板小额买入可取得长期收益,这与主板企业有所不同.从直接角度来看,创业板企业内部人在卖出中充分利用了估值判断优势,抓住高估值偏差的市场机会套现,这与主板企业的特点相同;而创业板企业的内部人买入交易决策与估值判断、业绩预测这两种信息优势利用的关系都不密切,这与主板企业的特点有所不同.     

Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information

In this paper, based on equilibrium control law proposed by Björk and Murgoci (2010), we study an optimal investment and reinsurance problem under partial information for insurer with mean–variance utility, where insurer’s risk aversion varies over time. Instead of treating this time-inconsistent problem as pre-committed, we aim to find time-consistent equilibrium strategy within a game theoretic framework. In particular, proportional reinsurance, acquiring new business, investing in financial market are available in the market. The surplus process of insurer is depicted by classical Lundberg model, and the financial market consists of one risk free asset and one risky asset with unobservable Markov-modulated regime switching drift process. By using reduction technique and solving a generalized extended HJB equation, we derive closed-form time-consistent investment–reinsurance strategy and corresponding value function. Moreover, we compare results under partial information with optimal investment–reinsurance strategy when Markov chain is observable. Finally, some numerical illustrations and sensitivity analysis are provided.     

Global dynamics of a SEIR model with information dependent vaccination and periodically varying transmission rate

This paper is devoted to the investigation of the global dynamics of a SEIR model with information dependent vaccination. The basic reproduction number is derived for the model, and it is shown that gives the threshold dynamics in the sense that the disease‐free equilibrium is globally asymptotically stable and the disease dies out if , while there exists at least one positive periodic solution and the disease is uniformly persistent when . Further, we give the approximation formula of . This answers the concerns presented in [B. Buonomo, A. d'Onofrio, D. Lacitignola, Modeling of pseudo‐rational exemption to vaccination for SEIR diseases, J. Math. Anal. Appl. 404 (2013) 385–398]. Copyright © 2014 John Wiley & Sons, Ltd.     

需求信息不对称下双渠道供应链的协调

基于报童模型,研究了由一个制造商与一个零售商组成的双渠道供应链在需求信息不对称条件下的契约协调问题,分别得到了离散和连续两种需求类型下的最优回购契约,并分析了最优回购契约对供应链的协调绩效.     

Pareto严格稳定分布在保险理赔中的应用

本文研究了Pareto严格稳定分布在保险中的应用.利用极大似然估计的方法得到了Pareto严格稳定分布,正态分布和Pareto分布的参数估计.根据信息准则,表明Pareto严格稳定分布能够较好地拟合保险数据.     

Effective elastic shear stiffness of a periodic fibrous composite with non-uniform imperfect contact between the matrix and the fibers

In this contribution, effective elastic moduli are obtained by means of the asymptotic homogenization method, for oblique two-phase fibrous periodic composites with non-uniform imperfect contact conditions at the interface. This work is an extension of previous reported results, where only the perfect contact for elastic or piezoelectric composites under imperfect spring model was considered. The constituents of the composites exhibit transversely isotropic properties. A doubly periodic parallelogram array of cylindrical inclusions under longitudinal shear is considered. The behavior of the shear elastic coefficient for different geometry arrays related to the angle of the cell is studied. As validation of the present method, some numerical examples and comparisons with theoretical results verified that the present model is efficient for the analysis of composites with presence of imperfect interface and parallelogram cell. The effect of the non uniform imperfection on the shear effective property is observed. The present method can provide benchmark results for other numerical and approximate methods.     

Information on jump sizes and hedging

We study a hedging problem in a market where traders have various levels of information. The exclusive information available only to informed traders is modelled by a diffusion process rather than discrete arrivals of new information. The asset price follows a jump–diffusion process and an information process affects jump sizes of the asset price. We find the local risk minimization hedging strategy of informed traders. Numerical examples as well as their comparison with the Black–Scholes strategy are provided via Monte Carlo.     

Weighted Fisher informations, their derivation and use

Fisher information has been used to derive many laws of physics, including its differential equations. In many of these Fisher-based derivations the information in the time measurement is required to be negative. Yet by its expression in the standard derivation of the Cramer-Rao (CR) inequality, a negative Fisher seems impossible. To the contrary, we show that in fact the standard CR derivation allows the Fisher to be meaningfully regarded as either negative or positive. The mathematics allow it, and the choice to be made depends upon the physical parameter whose information level is sought. For example, the rules of special relativity require an imaginary time parameter ict, , with c the speed of light and t the time. The squared time parameter is then negative, requiring (as shown) the Fisher information to be negative as well. Further generalizations of the CR derivation are also made, which allow the estimation of general parameters using arbitrarily weighted mean-squared error criteria. The weights are found to define a family of correspondingly weighted Fisher informations. Finally, a condition is found for achieving efficient estimation in the presence of any weight function.