基于收益率修正分布的VaR估计

本文针对正态分布在拟合厚尾分布上的不足提出了两种修正方法——参数修正方法和非参数修正方法,经过实证分析我们发现经过修正的分布能更好地拟合厚尾分布,相应的VaR值的预测效果也更好,其中非参数修正得到的VaR预测效果最佳。     

A multiclass,multicriteria logit-based traffic equilibrium assignment model under ATIS

This paper presents a multiclass, multicriteria (cost versus time) logit-based traffic equilibrium assignment model in road networks served by advanced traveler information systems (ATIS). All users are differentiated by their own value of time (VOT) that follows some probability distribution. Users of each class, having their own VOT, are further divided into two groups, equipped and unequipped with ATIS respectively. The travel disutility received by each user is defined as a linear bi-criteria combination of travel time and monetary travel cost. It is assumed that all users make their route choices in a logit-based stochastic manner, but the equipped users have lower perception variation on the travel disutility than the unequipped due to the ATIS service. The model is formulated as a fixed-point problem and solved by the method of successive averages in conjunction with logit assignment. Numerical results show that the traditional single-class and/or single-criterion models may overestimate or underestimate the benefit from ATIS services.     

一类多孔介质气流模型的正解

多孔介质气体流动模型是一类特殊的边值问题，一方面它具有奇异性，另一方面，其微分算子不具有比较性质．本文通过证明这类问题使某种极值原理成立，从而得出了正解的存在性．     

Stochastic Games with Average Payoff Criterion

We study two-person stochastic games on a Polish state and compact action spaces and with average payoff criterion under a certain ergodicity condition. For the zero-sum game we establish the existence of a value and stationary optimal strategies for both players. For the nonzero-sum case the existence of Nash equilibrium in stationary strategies is established under certain separability conditions. Accepted 9 January 1997     

The statistical basis of standardization designs for diagnostic assays

Accuracy and long-term quality of laboratory diagnostic assays depend critically on the standardization process. In this note we review statistically typical procedures and designs used in standardization. Issues of practical relevance such as the number of systems, runs, and replicates to be involved in the standardization design, and quality control aspects, are addressed.     

Convergence of a strong variational algorithm for relaxed controls involving a distributed optimal control problem of parabolic type 1

In this paper, we consider a class of Optimal Control problems involving first boundary value problems of parabolic type. A strong variational algorithm has been obtained for solving this class of optimal control problems in a paper by the author and D. W. Reid. It was also shown that any L∞ accumulation points of control sequences generated by the algorithm satisfy a necessary condition for optimality. Since such accumulation points need not exist, it is shown in this paper that control sequences generated by the algorithm always have accumulation points in the sense of control measure, and these accumulation points satisfy a necessary condition for optimality for the corresponding relaxed control problem.     

Graph algorithm for partially-linear problems obtained by absolute value functions

The increasing interest in partially-linear models is caused by their role in economics, technology and mathematics. Every continuous partially-linear function with a finite number of linear parts can be formulated by means of linear function and absolute value functions. If we presebt every absolote value function as vertex of a graph we obtain the graph interpretaion of this optimization problem. The Partially-linear problems are often not only nondifferentiable but nonconvex as well,which makes their solving by standard optimization methods difficult. In this work we give the necessary and sufficient conditions for local optimality. An algorithm for solving such problems, based on the constructive optimization methods is suggested.     

THE VALUE DISTRIBUTION OF RANDOM ANALYTIC DIRICHLET SERIES OF NEUTRAL GROWTH (Ⅱ)

The value distribution Of random analytic Dirichlet series of neutral growth has been' studied by the author on the assumption that the coefficients Of the series are martingaledifference sequence. This assumption is rather weak, and the result obtained in [1] concernsonly the value distribution with exception.The present paper deals with the Value distributioll, without exception, of random Dirichletseries when its coefficients are independent random variables with certain moment conditions…     

MEASURING OPTIMAL CONNECTIONS IN LARGE NETWORKS: A NEW ALGORITHM AND ITS APPLICATIONS

Researchers have identified several problems in measuring the strongest path connecting pairs of actors in valued graphs. To address these problems, it has been proposed that average path value be used to indicate optimal connections between dyads. However, a lack of proper computer algorithm and its implementation has hindered a wide-range application of the proposed solution. In this paper we develop a computer algorithm and fully implement it with four JAVA programs, which are available on request. These programs produce an optimal connection matrix, which is subsequently inputted into UCINET for further multidimensional scaling and clustering analysis. We demonstrate this procedure with a data matrix containing 38 organizations in information technology. We discuss the methodological implications of the application of our algorithm to future social network studies.