Stochastic optimization of forward recursive functions

This note solves a finite-horizon stochastic optimization problem with forward recursive criterion through dynamic programming. The forward recursive criterion is wide; it includes additive (discounted), multiplicative (discounted risk-sensitive), minimum and terminal criteria. The basic idea is to apply invariant imbedding method for the stochastic optimization. The method incorporates recursive accumulation process into dynamics by expanding the original state space.     

R~(n+1)中常高阶平均曲率超曲面

本文给出了Rn+1中超曲面的一些积分公式,并利用这些积分公式得到了以球面为边界的常高阶平均曲率超曲面的一些唯一性结果.     

Value at risk and inventory control

The purposes of this paper are two-fold. On the one hand, we shall provide a decision analysis justification for the Value at Risk (VaR) approach based on ex-post, disappointment decision making arguments. We shall show that the VaR approach is justified by a disappointment criterion. In other words, the asymmetric valuation between ex-ante expected returns above an appropriate target return and the expected returns below that same target level, provide an explanation for the VaR criterion when it is used as a tool for VaR efficiency design. Second, this paper provides applications to inventory management based on VaR risk exposure. Although the mathematical problems arising from an application of the VaR approach, tuned to current practice in financial risk management, are difficult to solve analytically, solutions can be found by application of standard computational and simulation techniques. A number of cases are solved and formulated to demonstrate the paper's applicability.     

Binary quantum logic and generating semigroups

A refined definition of basic concepts for logic describing physical systems is proposed. Within the suggested formalism of generating semigroups the active logic of questions and passive logic of answers are introduced. The objects for which both logics are isomorphic are called self-adequate. It is shown that the assumption of self-adequacy implies that the object is either quantum or classical. The possibility of application of the theory to non-self-adequate objects is discussed.     

On a compromise social choice correspondence

This paper analyzes the compromise social choice correspondence derived from the τ-value of digraph games. Monotonicity of this correspondence is shown. A connection between several properties of social choice correspondences based on game theoretical solutions and game theoretical properties of the underlying solutions is given. Applications to several game theoretic solutions are provided.     

社会经济管理系统和谐性模型的构建与分析

本文从非线性自然观的视野。引用与分析了社会经济系统功能模型与效应模型。构建了系统和谐状态模型与和谐状态可信度模型，形象地说明了企业系统的和谐既是一个随机不确定状态。又是企业和谐力量与不和谐力量相互抗争干涉的过程。依据协同学原理提出了企业系统和谐演进的机制，表明企业系统的和谐发展是子系统和谐协同的过程。即子系统竞争合作的过程。文中所构建的模型，从理论上清晰地说明了企业系统和谐有序运行的机理，为如何构建和谐企业。提供了建设性的思考。     

Cyclic Hypomonotonicity,Cyclic Submonotonicity,and Integration

Rockafellar has shown that the subdifferentials of convex functions are always cyclically monotone operators. Moreover, maximal cyclically monotone operators are necessarily operators of this type, since one can construct explicitly a convex function, which turns out to be unique up to a constant, whose subdifferential gives back the operator. This result is a cornerstone in convex analysis and relates tightly convexity and monotonicity. In this paper, we establish analogous robust results that relate weak convexity notions to corresponding notions of weak monotonicity, provided one deals with locally Lipschitz functions and locally bounded operators. In particular, the subdifferentials of locally Lipschitz functions that are directionally hypomonotone [respectively, directionally submonotone] enjoy also an additional cyclic strengthening of this notion and in fact are maximal under this new property. Moreover, every maximal cyclically hypomonotone [respectively, maximal cyclically submonotone] operator is always the Clarke subdifferential of some directionally weakly convex [respectively, directionally approximately convex] locally Lipschitz function, unique up to a constant, which in finite dimentions is a lower C² function [respectively, a lower C¹ function].     

Moments of an exponential functional of random walks and permutations with given descent sets

The exponential functional of simple, symmetric random walks with negative drift is an infinite polynomial Y = 1 + ξ₁ + ξ₁ξ₂ + ξ₁ξ₂ξ₃ + ⋯ of independent and identically distributed non-negative random variables. It has moments that are rational functions of the variables μ _k = E(ξ ^k ) < 1 with universal coefficients. It turns out that such a coefficient is equal to the number of permutations with descent set defined by the multiindex of the coefficient. A recursion enumerates all numbers of permutations with given descent sets in the form of a Pascal-type triangle. This revised version was published online in August 2006 with corrections to the Cover Date.     

Analysing the effect of technical change on individual outputs using modified quasi-Malmquist indexes

Malmquist indexes can be used to estimate technical change over time. The index generally represents the average effect of technical change on all outputs in a multi-output firm. However, changes in technology do not necessarily affect all outputs involved in the analysis equally. In this paper, a method for estimating the effect of technical change on each of the different outputs is proposed. This estimation is done by a modification of quasi-Malmquist indexes. An artificial data set has been used to validate the method proposed in this paper.     

Explicit 2-Factorisations of the Odd Graph

In this note we show how 1-factors in the middle two layers of the discrete cube can be used to construct 2-factors in the Odd graph (the Kneser graph of (k − 1)-sets from a (2k − 1)-set). In particular, we use the lexical matchings of Kierstead and Trotter, and the modular matchings of Duffus, Kierstead and Snevily, to give explicit constructions of two different 2-factorisations of the Odd graph. This revised version was published online in September 2006 with corrections to the Cover Date.