Parametric estimation of discretely sampled Gamma-OU processes

The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The estimator of an intensity parameter A and its convergence result are given, and the simulations show that the estimation is quite accurate. Assuming that the parameter A is estimated, the maximum likelihood estimation of shape parameter c and scale parameter a, whose likelihood function is not explicitly computable, is considered. By means of the Gaver-Stehfest algorithm, we construct an explicit sequence of approximations to the likelihood function and show that it converges the true (but unkown) one. Maximizing the sequence results in an estimator that converges to the true maximum likelihood estimator and the approximation shares the asymptotic properties of the true maximum likelihood estimator. Some simulation experiments reveal that this method is still quite accurate in most of rational situations for the background of volatility.     

A primer on perfect simulation for spatial point processes

This primer provides a self-contained exposition of the case where spatial birth-and-death processes are used for perfect simulation of locally stable point processes. Particularly, a simple dominating coupling from the past (CFTP) algorithm and the CFTP algorithms introduced in [13], [14], and [5] are studied. Some empirical results for the algorithms are discussed. Received: 30 June 2002     

Large set of P3‐decompositions

Let G=(V(G),E(G)) be a graph. A (n,G, λ)‐GD is a partition of the edges of λK_n into subgraphs (G‐blocks), each of which is isomorphic to G. The (n,G,λ)‐GD is named as graph design for G or G‐decomposition. The large set of (n,G,λ)‐GD is denoted by (n,G,λ)‐LGD. In this work, we obtain the existence spectrum of (n,P₃,λ)‐LGD. © 2002 Wiley Periodicals, Inc. J Combin Designs 10: 151–159, 2002; Published online in Wiley InterScience ( www.interscience.wiley.com ). DOI 10.1002/jcd.10008     

N指标d维广义Wiener过程象集的m项代数和的几个性质

设珮犠（狋）：犚犖＋ →犚犱是犖指标犱维广义Ｗｉｅｎｅｒ过程，对任意紧集犈１，…，犈犿犚犖＞ ，该文研究了犿项代数和珮犠（犈１）…珮犠（犈犿）的Ｈａｕｓｄｏｒｆｆ维数，Ｐａｃｋｉｎｇ维数和正的Ｌｅｂｅｓｇｕｅ测度及内点的存在性． 其结果包含并推广了布朗单的结果．     

Banach空间中强增生型变分包含解的具误差的Ishikawa迭代逼近

该文研究Ｂａｎａｃｈ空间中一类强增生型变分包含解的存在性及其具误差的Ｉｓｈｉｋａｗａ迭代程序的收敛性问题．该文结果是几位作者早期与最近的相应结果的改进和推广．     

锥形光纤中光波传输特性的蒙特卡罗模拟

为了分析锥形光纤中光子流的传输特性和空间分布特性，采用了蒙特卡罗算法对其进行了模拟仿真，得到了大量光子经过锥形光纤后的光子分布图.模拟实验结果表明，通过锥形光纤的大量光子集中在探测器中心，到达探测器某一位置的光子数随着该位置到探测器中心距离的增加而减少，并且在锥形光纤锥度比一定的条件下，改变锥形光纤长度，光强度随着长度的增加而下降，但通过锥形光纤的光子分布是一样的.这些研究结果对锥形光纤的设计和实际应用提供了重要依据.     

克尔介质中超连续谱的产生与自聚焦的抑制

 从（3+1）维非线性薛定谔方程出发，理论上分析了超短脉冲频谱展宽与自聚焦的影响因素。分析得出：通过改变泵浦光的功率和光束口径，可以实现光谱的极大展宽并避免自聚焦成丝。数值模拟了小口径强泵浦光束在BK7玻璃中的传输过程并进行了实验验证。模拟结果显示在超连续谱产生的同时小尺度调制被完全抑制。实验结果表明：降低泵浦光功率，使光束不会因为全光束自聚焦而发生塌陷，同时还能控制除自聚焦外的其它非线性效应，进而改善近场光束质量。由于自相位调制是超短超强脉冲产生超连续谱的重要机制之一，需要维持传输过程中的泵浦光功率，由此最佳的入射光功率应选在全光束自聚焦功率阈值附近。     

光突发交换网络中最长队列优先调度组装机制

提出了光突发交换网络中的最长队列优先调度（LQF-SA）机制，将边缘节点的突发组装和突发调度两种技术紧密结合在一起.在现实网络中，业务通常是非均匀分布的，即在某些源宿对之间存在更大的业务流量.仿真结果表明，LQF-SA机制可以很好地完成非均匀分布业务流的组装.即使在均匀分布业务流输入下，LQF-SA机制在突发大小分布、组装效率和突发丢失率等方面也优于已提出的轮询调度组装（RR-SA）机制.     

Simple, expedient methods for the determination of water and electrolyte contents of cellulose solvent systems

The concentrations of water, W, and electrolytes present in solutions of LiCl in N,N-dimethylacetamide, LiCl/DMAc, and of tetrabutylammonium fluoride. x-hydrate in DMSO, TBAF.xW/DMSO can be accurately and expediently determined by three independent methods, UV–vis, FTIR and EMF measurement. The first relies on the use of solvatochromic probes whose spectra are sensitive to solution composition. It is applicable to W/LiCl/DMAc solutions but not to TBAF.xW/DMSO, because the charge-transfer complex bands of the probes are suppressed by strong interactions with the latter electrolyte. Integration of ν_OH band of water may be employed in order to determine [W], hence [electrolyte] by weight difference. EMF measurement uses ion-selective electrodes in order to determine [electrolyte], hence [W] by weight difference. Results of the latter method were in excellent agreement with those of FTIR. The reason for the failure of Karl Fischer titration is addressed, and the relevance of the results obtained to functionalization of cellulose under homogenous solution conditions is briefly commented on.     

Stochastic signal analysis: Numerical representation and applications to system theory

Alternative procedures for representing a stochastic signal as a denumerable series with uncorrelated terms are developed. The study includes considerations about parametric rescaling and its repercussions on the orthogonal expansion, as well as numerical techniques for approaching such an expansion. In addition, applications to the Gaussian characterization of stochastic signals, filtering and stochastic modelling are treated.