期权定价的局部线性预测法

在为期权定价时,使用B-S公式算得的结果和市场交易值存在一定偏差.本文针对这一问题,给出了一种新的期权定价数值方法,即局部线性预测法.并用股票期权的实际交易数据对这一方法进行了数值验证,表明这一方法是有效的.     

G-网络排队系统的研究新进展

在研究排队网络的文献中,G-网络(即推广的排队网络)最近受到了国际学者广泛的关注,它的研究在一定程度上丰富了排队网络的内容.正因为有很多学者投入到此项研究中,新的结果是层出不穷的.本文简短地介绍G-网络近年来的发展.     

基于视觉心理学的SFS流形算法研究

通过视觉方法获取形状在科学研究及工程实践中有着重要作用,灰度图像是最容易获取的视觉信息之一。目前由灰度重构的形状(SFS,shape from shading)受到了广泛的关注,但现有的算法稳定性差、效率低,一直阻碍着SFS方法的推广应用。受近期的视觉心理学研究成果的启发,针对SFS问题,从局部分析入手,即:在图像上,在每一灰度极值点附近,根据灰度单调变化的情况,形成一个椭圆形邻域,对应着表面凹凸区;在每一椭圆域上,形状可用抛物面逼近,其参数可由局部辐射度约束求解;整个图像被椭圆形邻域覆盖,这些覆盖可构成一个二维流形;借助于流形上单位分解函数,各局部抛物面粘合在一起,形成光滑的整体形状;总体形状在整幅图像的灰度约束下再进行全局优化,可得到最终的重构结果。给出了初步算例,算法的稳定性和效率均有大幅度提高。     

Pro-torus actions on Poincaré duality spaces

In this paper, it is shown that some of the results of torus actions on Poincaré duality spaces, Borel’s dimension formula and topological splitting principle to local weights, hold if ‘torus’ is replaced by ‘pro-torus’.     

Convergence Rate of The Trust Region Method for Nonlinear Equations Under Local Error Bound Condition

In this paper, we present the new trust region method for nonlinear equations with the trust region converging to zero. The new method preserves the global convergence of the traditional trust region methods in which the trust region radius will be larger than a positive constant. We study the convergence rate of the new method under the local error bound condition which is weaker than the nonsingularity. An example given by Y.X. Yuan shows that the convergence rate can not be quadratic. Finally, some numerical results are given. This work is supported by Chinese NSFC grants 10401023 and 10371076, Research Grants for Young Teachers of Shanghai Jiao Tong University, and E-Institute of Computational Sciences of Shanghai Universities. An erratum to this article is available at .     

Nonlinear Time Series Analysis Since 1990:Some Personal Reflections

Abstract I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five majorareas of development. These areas include the interface between nonlinear time series analysis and chaos,thenonparametric/semiparametric approach,nonlinear state space modelling,financial time series and nonlinearmodelling of panels of time series.     

Characterisations of function spaces of generalised smoothness

We investigate function spaces of generalised smoothness of Besov and Triebel–Lizorkin type. Equivalent quasi-norms in terms of maximal functions and local means are given. An atomic decomposition theorem for this type of spaces is proved. Mathematics Subject Classification (2000) 46E35     

局部紧集上的广义向量均衡问题

利用数值化方法和 Browder 不动点定理,得到一类新的广义向量均衡问题解的存在定理,并用于向量变分不等式、向量相补问题和抽象向量优化问题,得到其解的存在定理.     

On error bounds for lower semicontinuous functions

We give some sufficient conditions for proper lower semicontinuous functions on metric spaces to have error bounds (with exponents). For a proper convex function f on a normed space X the existence of a local error bound implies that of a global error bound. If in addition X is a Banach space, then error bounds can be characterized by the subdifferential of f. In a reflexive Banach space X, we further obtain several sufficient and necessary conditions for the existence of error bounds in terms of the lower Dini derivative of f. Received: April 27, 2001 / Accepted: November 6, 2001?Published online April 12, 2002     

有限局部环Z/2\+kZ上斜对称矩阵标准形和伪辛群的阶

设R=Z/2\+kZ(k>1)是\{2\}[TX-]为非单位的有限局部环. 该文首先确定了R上斜对称矩阵标准形. 设G\+m\-p(R,H)={P∈GL\-m(R)|PHP′=H}是由矩阵H确定的伪辛群,其中H=[JB((][HL(2]0[]I\+\{(v)\}\=-I\+\{(v)\}[]0[HL)][JB))]Δ，Δ=[JB((][HL(2]\{2\}[TX-]\+\{k-1\}[]\{1\}[TX-]\=-\{1\}[TX-][]0[HL)][JB))]. 其次,计算了伪辛群G\+m\-P(R,H)的阶|G\+m\-P(R,H)|.