An Analogue of the Cramér–Lundberg Approximation in the Optimal Investment Case

We consider ruin probabilities for an insurance company, which can also invest in the stock market. The risk process is modeled by a compound Poisson process and the stock price by geometric Brownian motion. We show that if the tails of the claims are light tailed, then the optimal strategy is asymptotically given by holding a constant $-value in the stock position. Furthermore, we show that a kind of Cramér–Lundberg approximation holds for the minimal ruin probability. Everything is shown under assumptions, which are analogous to the assumptions in the case of the classical Cramér–Lundberg approximation without investment.     

An existence theorem for neutral variational problems of Bolza

This note proves an existence theorem for a generalized Bolza-type problem that has time delays in both the state and velocity variables. The assumptions are stated in terms of a modification of the classical Hamiltonian, and extend ideas of Rockafellar to the delay case.     

概率罐子模型中一种最优设计

基于错误概率达到最小的原则，该文在罐子模型序贯试验中构造了一种渐近最优设计。在这种设计下，不仅能使病员以较多机会分配到较好的处理，而且能使估计量的统计效率在一定意义下达到最优。     

Robust Output Tracking Control of an Uncertain Linear System via a Modified Optimal Linear-Quadratic Method

This study investigates the robust output tracking problem for a class of uncertain linear systems. The uncertainties are assumed to be time invariant and to satisfy the matching conditions. According to the selected nominal parameters, an optimal solution with a prescribed degree of stability is determined. Then, an auxiliary input via the use of an adapting factor, connected to the nominal optimal control, is introduced to guarantee the robustness and prescribed degree of stability for the output tracking control of the uncertain linear systems. This method is very simple and effective and can reject bounded uncertainties imposed on the states. A maglev vehicle model example is given to show its effectiveness.     

一种基于不同风险偏好投资多目标决策模型及解法

建立了风险投资的多目标决策模型，分别采用线性加权法、TOPSIS法和密切值法，对不同风险偏好下备选方案进行排序，再用平均值法对上述排序进行综合排序，从而避免单一方法的片面性，较为全面科学地得出最优方案。最后，用一个算例说明了方法的可行性和有效性。     

SEQUENTIAL QUADRATIC PROGRAMMING METHODS FOR OPTIMAL CONTROL PROBLEMS WITH STATE CONSTRAINTS

A Kind of direct methods is presented for the solution of optimal control problems with state constraints.These methods are sequential quadratic programming methods.At every iteration a quadratic programming which is obtained by quadratic approximation to Lagrangian function and Linear approximations to constraints is solved to get a search direction for a merit function.The merit function is formulated by augmenting the Lagrangian funetion with a penalty term.A line search is carried out along the search direction to determine a step length such that the merit function is decreased.The methods presented in this paper include continuous sequential quadratic programming methods and discreate sequential quadrade programming methods.     

A Characterization of the Optimal p-sum Labellingsof Unit Interval Graphs

1.IntroductionGraphsconsideredinthispaperarefiniteandsimple.FOragraphG,V(G)andE(G)denoteitssetofvenicesandedges,respectively.AbijectionwillbecalledalabellingofG.Letpbeapositiverealnumber.ForagivenlabellingTofagraphG,definethegndiscrepencya.(G,ac)ofTasTheobjectiveoftheminimum-p--sumproblemistofindalabelling7ofagraphGsuchthatac(G,T)isassmallaspossible.ThelabellingTminimizinga.(G,7)iscalledanoptimalHsumlabellingofG.Theminimumvalueiscalledtheminimum-psumofG.ItisshowninI31thattheminimum-…     

光致变色多阶游程光存储研究

多阶游程存储是一种不改变光学系统而显著提高光存储容量和数据传输率的新方法.介绍了光致变色多阶游程存储原理和实验系统.提出了基于光致变色原理的多阶游程存储数学模型，该模型反映了记录符反射率与曝光功率、曝光时间之间的非线性关系，并在此基础上确定了光致变色多阶游程存储的写策略.基于650nm光致变色材料进行了4阶游程存储的动态实验.结果表明，实验中采用的650nm光致变色材料可用于多阶游程存储，采用的写策略能够有效地使记录信道线性化，利于采用适合线性系统的信号处理方法. 关键词： 多阶游程 光致变色 光存储 写策略     

投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.