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.     

军事威逼博弈分析

本文通过构造一种三阶段动态博弈模型,对军事威逼行为进行了形式化分析,得出了在完全信息条件下军事威逼现象不会出现的结论;基于对挑战者与威慑者双边不完全信息条件下军事威逼模型博弈均衡的求解,探讨了军事威逼成功应满足的条件。     

ADMISSIBILITY IN THE GENERAL GROWTH CURVE MODEL WITH RESPECT TO RESTRICTED PARAMETER SETS UNDER MATRIX LOSS FUNCTION

In this paper, we study the issue of admissibility in the growth curve model with respect to restricted parameter sets under matrix loss function. We obtain some neces- sary and sufficient conditions that the linear estimators of KBL are admissible in the class of homogeneous linear estimators and in the class of non-homogeneous linear estimators under the growth curve model with respect to restricted parameter sets, respectively.     

More on regular and decomposable ultrafilters in ZFC

We prove, in ZFC alone, some new results on regularity and decomposability of ultrafilters; among them: (a) If m ≥ 1 and the ultrafilter D is (_m(λ⁺ⁿ), _m(λ⁺ⁿ))‐regular, then D is κ ‐decomposable for some κ with λ ≤ κ ≤ 2^λ (Theorem 4.3(a^')). (b) If λ is a strong limit cardinal and D is (_m(λ⁺ⁿ), _m(λ⁺ⁿ))‐regular, then either D is (cf λ, cf λ)‐regular or there are arbitrarily large κ < λ for which D is κ ‐decomposable (Theorem 4.3(b)). (c) Suppose that λ is singular, λ < κ, cf κ ≠ cf λ and D is (λ⁺, κ)‐regular. Then: (i) D is either (cf λ, cf λ)‐regular, or (λ^', κ)‐regular for some λ^' < λ (Theorem 2.2). (ii) If κ is regular, then D is either (λ, κ)‐regular, or (ω, κ^')‐regular for every κ^' < κ (Corollary 6.4). (iii) If either (1) λ is a strong limit cardinal and λ^<λ < 2^κ, or (2) λ^<λ < κ, then D is either λ ‐decomposable, or (λ^', κ)‐regular for some λ^' < λ (Theorem 6.5). (d) If λ is singular, D is (μ, cf λ)‐regular and there are arbitrarily large ν < λ for which D is ν ‐decomposable, then D is κ ‐decomposable for some κ with λ ≤ κ ≤ λ^<μ (Theorem 5.1; actually, our result is stronger and involves a covering number). (e) D × D^' is (λ, μ)‐regular if and only if there is a ν such that D is (ν, μ)‐regular and D^' is (λ, ν^')‐regular for all ν^～ < ν (Proposition 7.1). We also list some problems, and furnish applications to topological spaces and to extended logics (Corollar‐ies 4.6 and 4.8) (© 2010 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Latin squares with disjoint subsquares of two orders

Let and . The integer partition of n is said to be realized if there is a latin square of order n with pairwise disjoint subsquares of order for each . In this paper, we construct latin squares realizing partitions of the form ; that is, partitions with s parts of size a and t parts of size b, where . Heinrich (1982) showed that (1) if and , then there is a latin square realizing , (2) is realized if and only if , and (3) is realized if and only if . In this paper, we resolve the open cases. We show that is realized if and only if and is realized if and only if .     

Some (17q, 17, 2) and (25q, 25, 3) BIBD Constructions

We give the explicit construction of a regular (17q, 17, 2)-BIBD for any prime power q 17 (mod 32) such that 2 is not a 4th power in GF(q) and the explicit construction of a regular (25q, 25, 3)-BIBD for any prime power q 25 (mod 48) such that and +3 are non-squares in GF(q).     

不完全拉格朗日函数和具有（F，α,ρ，d）凸性的数学规划的鞍点判别准则

用一个不完全拉格朗日函数研究一类具有（F,α,ρ，d）凸性假设的非线性规划问题的鞍点最优性判别准则，为了得到最优解与鞍点之间的关系，给出了（F,α,ρ，d）凸性中参数所要满足的条件．     

The spectrum of (<Emphasis Type="Italic">gv</Emphasis>, <Emphasis Type="Italic">g</Emphasis>, 3, λ)-DF in <Emphasis Type="Italic">Z</Emphasis><Subscript><Emphasis Type="Italic">gv</Emphasis></Subscript>

In this paper, the necessary and sufficient conditions for the existence of a (gv, g, 3, λ)-difference family in Z _gv are established. As a consequence, the existence spectrum of a cyclic (3, λ)-GDD of type g ^v without short orbits is determined. This work was supported by National Natural Science Foundation of China (Grants Nos. 10771013, 10831002)     

不完全信息多属性决策的一种新方法

本文研究在属性权重给出某种系数序的情况下的多属性决策问题，借助于时序多指标决策的思想，通过简单的数值运算求得方案的净评价值，从而确定方案间的优势关系．最后给出了算例分析．     

Existence of optimal strategies in Markov games with incomplete information

The existence of a value and optimal strategies is proved for the class of two-person repeated games where the state follows a Markov chain independently of players’ actions and at the beginning of each stage only Player 1 is informed about the state. The results apply to the case of standard signaling where players’ stage actions are observable, as well as to the model with general signals provided that Player 1 has a nonrevealing repeated game strategy. The proofs reduce the analysis of these repeated games to that of classical repeated games with incomplete information on one side. This research was supported in part by Israeli Science Foundation grants 382/98, 263/03, and 1123/06, and by the Zvi Hermann Shapira Research Fund.