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.     

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)     

Fast Fourier Continuous Cyclic Voltammetry at Gold Ultramicroelectrode in Flowing Solution for Determination of Ultra Trace Amounts of Penicillin G

In this work, for the first time a fast continuous cyclic voltammetry was used as a highly sensitive detection method for Penicillin G in a flow‐injection system. A special computer‐based numerical calculation method (using Fast Fourier Transformation) is introduced here for enhancing the analyte signal and noise reduction. During the measurements, the potential waveform (consists of potential steps for cleaning, stripping and potential ramp) was continuously applied on an Au disk microelectrode (with a radius 12.5 μm in radius). The stripping time was less than 200 ms. Effects of rest potential, sweep rate, and delay time on the sensitivity of the method were investigated. The limit of detection of the method was 1.0 × 10^?11 M. The detection limit of the method is 660 times lower than the most sensitive reported method. The relative standard deviation of the method at 1.0×10^?7 M of Penicillin G was 2.7% for 10 runs.     

应力对La0.83Sr0.17MnO3薄膜输运性能的影响

采用溶胶-凝胶方法在Si(111)上制备了LSMO(x=0.17)薄膜.研究了块体材料和不同厚度薄膜R -T曲线、红外光谱和X射线衍射.结果表明，LSMO薄膜属于正交晶体结构，薄膜取向与膜厚度 有关，当膜厚度为450nm或680nm时，主要取向〈200〉，而膜厚度为900nm时取向为〈020〉 ：根据离子对相互作用能和谐振子模型，得到了红外吸收与Mn—O—Mn键长和键角关系式，6 00cm^-1附近红外吸收与晶格常数b的变化有关；块体与薄膜的金属—绝缘体转变 温度(T_MI)存在较大差别，薄膜转变温度显著低于块体，并与厚度有一定关系. 认为是LSMO薄膜中的应力诱导了晶格常数变化，引起键角改变及JT效应是转变温度变化的主 要原因. 关键词： 单晶硅 晶格常数 金属—绝缘体转变温度 应力诱导     

Solution Transformations and Their Effects on the Systems with Open Boundary Conditions

The solution transformations and properties of the R-matrices for two-component systems under these transformations are analyzed in details.Not all transformed R-matrices can be put into the Skalyanin‘s formalism.For those R-matrices with all required properties,the effects of solution transformations to the six-and eight-vertex systems with open boundary conditions are discussed.these effects can be one of the following types:the Hamiltonian is invariant or transposition-invariant or made in a similarity transformation,or its coupling coefficients are multiplied by an overall factor,or the spin of the system is rotated around the z axis or/and reflected with respect to some plane.In these cases,the transformed systems remain to be integrable.     

Stochastic flows on a countable set: Convergence in distribution

Consider a sequenceF ₁,F ₂,... of i.i.d. random transformations from a countable setV toV. Such a sequence describes a discrete-time stochastic flow onV, in which the position at timen of a particle that started at sitex isM _n(x), whereM _n =F _n F _n–1 F ₁. We give conditions on the law ofF ₁ for the sequence (M _n) to be tight, and describe the possible limiting law. an example called the block charge model is introduced. The results can be formulated as a statement about the convergence in distribution of products of infinite-dimensional random stochastic matrices. In practical terms, they describe the possible equilibria for random motions of systems of particles on a countable set, without births or deaths, where each site may be occupied by any number of particles, and all particles at a particular site move together.     

Evidence for the poisson distribution for quasi-energies in the quantum kicked-rotator model

A transformation on the two-dimensional torus which is related to the problem of limit distribution for the distance between the levels in the kicked-rotator model is considered. The first four moments of the r.w. which describe the numbers of visits of a point in a rectangle of measure are calculated. It is shown that when 0 they converge to the first four moments of a Poisson r.w.     

晶化温度对中孔分子筛（M41S）结构转变的影响

在低表面活性剂浓度及低表面活性剂与氧化硅比的条件下，研究了十六烷基三甲基溴化铵－硅酸钠体系中晶化温度对中孔分子筛Ｍ４１Ｓ材料结构转变的影响。结果有，晶化温度提高至１３５℃改变了原六方晶相ＭＣＭ－４１的结构，晶化温度提高到１５０℃后，中孔结构六方ＭＣＭ－４１晶格转变为变不稳定的层状相，     

无机螺旋体超分子配合物的组装、应用和结构转化研究进展

简述了近年来报道的具有新颖结构和性能的无机螺旋体超分子配合物的组装、应用和结构转化方面的最新进展,并展望了无机螺旋体的发展前景及其开发应用潜力。     

钛酸纳米管和钛酸纳米薄片相变规律比较

TiO2与浓NaOH溶液反应可制得组成是Na2-xHxTi2O4（OH）2，0≤X≤2的纳米管。X随后处理时溶液的pH值的不同而不同，当X=2时即为钛酸纳米管。本文在考察热处理温度对钛酸纳米管和钛酸纳米薄片相变的影响时，发现它们的相变规律几乎完全相同。本文通过TEM、XRD、Raman及FT-IR光谱等技术对合成的钛酸纳米管和钛酸纳米薄片随焙烧温度的相变规律、晶粒形状及结晶程度等性质进行了比较和讨论。