Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Numerical Analysis and Simulation Analysis for Space‐Time Data

Spatio temporal dynamics of the positive column of a dc neon glow discharge is studied and investigated experimentally and theoretically. Spatio temporal analysis by means of biorthogonal decomposition method (BOD) gives insights into the mechanism of irregularity and can be employed for characterization of spatio‐ temporal complexity. In the weak nonlinear region, the wave dynamics is approximated by an amplitude equation of the Ginzburg‐Landau equation (CGLE) with complex coefficients and an additional integral term based on a fluid model. In the present work we deal with irregular spatio‐temporal data. A comparison between the numerical analysis of the experimental data and simulation results are studied. A good agreement between the dynamical behaviour for experimental space‐time data and theoretical simulation space‐time results was obtained. (© 2006 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Fluorinated,crosslinkable terpolymers based on vinylidene fluoride and bearing sulfonic acid side groups for fuel‐cell membranes

The radical terpolymerization of 8‐bromo‐1H,1H,2H‐perfluorooct‐1‐ene with vinylidene fluoride (VDF) and perfluoro(4‐methyl‐3,6‐dioxaoct‐7‐ene) sulfonyl fluoride is presented. Changing the feed compositions of these three fluorinated comonomers enabled us to obtain different random‐type poly[vinylidene fluoride‐ter‐perfluoro(4‐methyl‐3,6‐dioxaoct‐7‐ene) sulfonyl fluoride‐ter‐8‐bromo‐1H,1H,2H‐perfluorooct‐1‐ene] terpolymers containing various sulfonyl fluoride and brominated side groups. Yields higher than 70% were reached in all cases. The hydrolysis of the sulfonyl fluoride group into the ? SO₃Li function in the presence of lithium carbonate was quantitatively achieved without the content of VDF being affected, and so dehydrofluorination of the VDF base unit was avoided. These original terpolymers were then crosslinked via dangling bromine atoms in the presence of a peroxide/triallyl isocyanurate system, which produced films insoluble in organic solvents such as acetone and dimethylformamide (which totally dissolved uncured terpolymers). The acidification of ? SO₃Li into the ? SO₃H function enabled protonic membranes to be obtained. The thermal stabilities of the crosslinked materials were higher than those of the uncured terpolymers, and their electrochemical performances were investigated. According to the contents of the sulfonic acid side functions, the ion‐exchange capacities ranged from 0.6 to 1.5 mequiv of H⁺/g, whereas the water uptake and conductivities ranged from 5–26% (±11%) and from 0.5 to 6.0 mS/cm, respectively. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 4566–4578, 2006     

线性流形上矩阵方程BTXB=F的双对称最小二乘解

1引言令R~(n×m)、OR~(n×n)、SR~(n×n)(SR_0~(n×n))分别表示所有n×m阶实矩阵、n阶实正交阵、n阶实对称矩阵(实对称半正定阵)的全体,A~ 表示A的Moore-Penrose广义逆,I_k表示k阶单位矩阵,S_k表示k阶反序单位矩阵。R(A)表示A的列空间,N(A)表示A的零空间,rank(A)表示矩阵A的秩。对A=(a_(ij)),B=(b_(ij))∈R~(n×m),A*B表示A与     

一类具无穷时滞泛函微分方程的周期解

讨论具有无穷时滞中立型泛函微分方程$ \frac{\rm d}{{\rm d}t}\left(x(t)-\int_{-\infty}^{0}g(s,x(t+s)){\rm d}s\right) =A(t,x(t))x(t)+f(t,x_t)$的周期解问题,利用重合度理论中的延拓定理得到了周期解的存在性和唯一性条件;特别地,当$g(s,x)\equiv 0, A(t,x)=A(t)$时, 给出了存在唯一稳定周期解的条件.     

Decomposition of organic salts of some d and f metals

The thermal decomposition in non-isothermal conditions of formates, acetates, propionates and butyrates of Mn, Co, Zn, Cd, Eu, Sm and Ni was studied. The observed compensation effect allows us to calculate the isokinetic temperature. A selective activation mechanism was suggested. This leads to a good agreement between kinetic and spectroscopic data. This revised version was published online in July 2006 with corrections to the Cover Date.     

Inhomogeneous Cosmologies, the Copernican Principle and the Cosmic Microwave Background: More on the EGS Theorem

We discuss inhomogeneous cosmological models which satisfy the Copernican principle. We construct some inhomogeneous cosmological models starting from the ansatz that the all the observers in the models view an isotropic cosmic microwave background. We discuss multi-fluid models, and illustrate how more general inhomogeneous models may be derived, both in General Relativity and in scalar-tensor theories of gravity. Thus we illustrate that the cosmologicalprinciple, the assumption that the Universe we live in is spatially homogeneous, does not necessarily follow from the Copernican principle and the high isotropy of the cosmic microwave background. We also present some new conformally flat two-fluid solutions of Einstein's field equations.     

荧光光纤温度传感器激励光源的选择

本文分析计算了荧光光纤温度传感器的温敏元件——GsAlAs/GaAs双异质结半导体材料的荧光辐射效率与激励光波长的关系。讨论了温度测量范围及温敏元件GaAlAs层铝含量对激励光源的限制,在0～200℃测温范围内,若采用LED作激励光源,其峰值波长应在0.70～0.76μm之间选择。     

Quadratic transformations of the sixth Painlevé equation with application to algebraic solutions

In 1991, one of the authors showed the existence of quadratic transformations between the Painlevé VI equations with local monodromy differences (1/2, a, b, ±1/2) and (a, a, b, b). In the present paper we give concise forms of these transformations. They are related to the quadratic transformations obtained by Manin and Ramani–Grammaticos–Tamizhmani via Okamoto transformations. To avoid cumbersome expressions with differentiation, we use contiguous relations instead of the Okamoto transformations. The 1991 transformation is particularly important as it can be realized as a quadratic‐pull back transformation of isomonodromic Fuchsian equations. The new formulas are illustrated by derivation of explicit expressions for several complicated algebraic Painlevé VI functions. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Cooling,identification and spectroscopy of super-heavy element ions

We briefly discuss some possibilities for cooling, identification and spectroscopy of super-heavy element (SHE) ions based on recent results obtained from studies of atomic and molecular ions in linear rf traps. Since these investigations only relied on the charge and the mass of the ion of interest, we believe it should be straight forward to adopt most of the techniques for SHE ion research.