氏调制的几何布朗运动与布林带

在证券市场, 布林带作为流行的技术分析工具被广泛的运用\bd 到目前为止有许多模型被建立用来预测证券的价格, 因此研究这些模型是否具有布林带性质是一个重要的问题\bd Liu, Huang and Zheng (2006)和Liu and Zheng (2006)分别讨论了Black-Scholes模型和随机波动率模型作为真实的股票市场的布林带, 并且证明了相应的统计量的平稳性和大数定律成立\bd 本文我们将上述结果推广到马氏调制的几何布朗运动模型.     

SOME GEOMETRIC PROPERTIES OF BROWNIAN MOTION ON SIERPINSKI GASKET

Let {X(t),t≥0} be Brownian motion on Sierpinski gasket,The Hausdorff and packing dimensions of the image of a ompact set are studied,The uniform Hausdorff and packing dimensions of the inverse image are also discussed.     

双曲空间上超布朗运动的支撑

支撑性是超过程，作为取测度值马氏过程，所特有的性质．本文通过对双曲空间（常截面曲率为－１的单连通完备黎曼流形）Ｈｄ上超布朗运动｛Ｘｔ｝ｔ０的研究给出关于｛Ｘｔ｝ｔ０支撑的一些结果，同时也对Ｈｄ上方程ΔＭｕ－ｕ２＋＝０解的一些性质进行了讨论．     

保险联结风险投资模型的赤字问题

保险公司被允许将部分资金投入风险市场,这样保险公司经营的风险来自于未来实际发生索赔的不确定性和投资收益的不确定性。研究了由经典的Cramer-Lundberg模型与按照几何布朗运动股票价格变动的一个风险模型,获得了三种资产分配情况下股票价格波动对赤字发生概率下界的影响。     

做好三个"难做"的物理演示实验的诀窍

在高中物理教学中，“水波的干涉”、“布朗运动”和“静电实验”是三个较难做好的演示实验．“水波的干涉”实验的主要问题是看不到明显而规则的强弱条纹；“布朗运动”实验的主要问题是要么显微镜中看到的是黑洞洞的一片，要么镜头被沾湿弄脏；“静电实验”的主要问题是漏电，一漏电什么也做不成．这三个实验其实都有诀窍，如果我们能像刑警“破案”一样仔细分析每个实验做不成的原因，问题就可以解决．     

Model for processive movement of myosin V and myosin VI

Myosin V and myosin VI are two classes of two-headed molecular motors of the myosin superfamily that move processively along helical actin filaments in opposite directions. Here we present a hand-over-hand model for their processive movements. In the model, the moving direction of a dimeric molecular motor is automatically determined by the relative orientation between its two heads at free state and its head‘s binding orientation on track filament.This determines that myosin V moves toward the barbed end and myosin VI moves toward the pointed end of actin.During the moving period in one step, one head remains bound to actin for myosin V whereas two heads are detached for myosin VI: the moving manner is determined by the length of neck domain. This naturally explains the similar dynamic behaviours but opposite moving directions of myosin VI and mutant myosin V (the neck of which is truncated to only one-sixth of the native length). Because of different moving manners, myosin VI and mutant myosin V exhibit significantly broader step-size distribution than native myosin V. However, all the three motors give the same mean step size of -36nm (the pseudo-repeat of actin helix). All these theoretical results are in agreement with previous experimental ones.     

布朗运动的显微投影观察及教学策略

: 介绍了一种以学校现有显微镜为基础的显微投影设备, 它使布朗运动实景得以在课堂上呈现; 同时也 介绍了配合此显微投影设备进行课堂教学的教学策略.     

Exact maximum likelihood estimator for drift fractional Brownian motion at discrete observation

This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Ess′een bounds for these estimators are obtained by using the Stein’s method via Malliavin calculus.     

机构投资者的最优持仓策略研究

讨论了机构投资者的最优持仓策略问题,假设证券价格服从几何布朗运动,以均值方差效用为目标函数,得到了最优持仓策略所满足的二阶微分方程,并由差分法得到其数值解.最后,由参数的敏感性分析知:最优持仓策略与瞬时冲击、市场波动率及风险厌恶系数等参数有关,并分析了参数变化对最优持仓策略的影响.     

分数布朗运动驱动下带比例交易成本的期权定价

在标的资产价格服从几何分数布朗运动模型条件下,利用分数布朗运动随机分析理论和偏微分方程方法,建立了几何分数布朗运动驱动下的金融市场模型,讨论了带比例交易成本的欧式期权,并且得到了相应的期权定价公式.