离散几何的两个铺砌问题

利用图论和代数的方法研究离散几何中的两个铺砌问题:1)给出1×2长方形铺砌多米诺骨牌的充分必要条件;2)对高维空间盒子的情形,给出m_1×m_2×…×m_n砖能够铺砌a_1×a_2×…×a_n盒子的一些必要条件和充要条件.     

New Brownian bridge construction in quasi-Monte Carlo methods for computational finance

Quasi-Monte Carlo (QMC) methods have been playing an important role for high-dimensional problems in computational finance. Several techniques, such as the Brownian bridge (BB) and the principal component analysis, are often used in QMC as possible ways to improve the performance of QMC. This paper proposes a new BB construction, which enjoys some interesting properties that appear useful in QMC methods. The basic idea is to choose the new step of a Brownian path in a certain criterion such that it maximizes the variance explained by the new variable while holding all previously chosen steps fixed. It turns out that using this new construction, the first few variables are more “important” (in the sense of explained variance) than those in the ordinary BB construction, while the cost of the generation is still linear in dimension. We present empirical studies of the proposed algorithm for pricing high-dimensional Asian options and American options, and demonstrate the usefulness of the new BB.     

Porphyrin analogs in bacterial photosynthesis

The electron transfer process in bacterial reaction centers is investigated. It is found that the side indole group Trp M252 in Rb sphaeroides (Trp M250 in Rps viridis) assists tunneling electron transfer by a distance of ∼14Å from pheophytin to quinone. Reported at the VIIIth International Conference on Spectroscopy of Porphyrins and Their Analogs, Minsk, September 22–26, 1998. Translated from Zhurnal Prikladnoi Spektroskopii, Vol. 66, No. 4, pp. 496–500, July–August, 1999.     

Problem of the free oscillations of a capillary bridge

The free oscillations of a capillary bridge whose equilibrium shape is determined by the surface tension forces and the static gravity field are investigated. The values of 25 “lower” levels of the spectrum of natural oscillations of the capillary bridge are found for various control parameters in accordance with the experimental conditions.     

Influence of liquid layers on energy absorption during particle impact

The influence of the thickness of a covering liquid layer and its viscosity as well as the impact velocity on energy loss during the normal impact on a flat steel wall of spherical granules with a liquid layer was studied. Free-fall experiments were performed to obtain the restitution coefficient of elastic–plastic Al2O3 granules by impact on the liquid layer, using aqueous solutions of hydroxypropyl methylcellulose with different concentrations for variation of viscosity (1–300 mPa s). In the presence of a...     

First passage time for multivariate jump‐diffusion processes in finance and other areas of applications

The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most important applications in the financial industry, the FPT problem does not have an analytical solution and the development of efficient numerical methods becomes the only practical avenue for its solution. Most of our examples in this contribution are centered around the evaluation of default correlations in credit risk analysis, where we are concerned with the joint defaults of several correlated firms, the task that is reducible to a FPT problem. This task represents a great challenge for jump‐diffusion processes (JDP). In this contribution, we develop further our previous fast Monte Carlo method in the case of multivariate (and correlated) JDP. This generalization allows us, among other things, to evaluate the default events of several correlated assets based on a set of empirical data. The developed technique is an efficient tool for a number of financial, economic, and business applications, such as credit analysis, barrier option pricing, macroeconomic dynamics, and the evaluation of risk, as well as for a number of other areas of applications in science and engineering, where the FPT problem arises. Copyright © 2008 John Wiley & Sons, Ltd.     

Test for parameter change in discretely observed diffusion processes

In this paper, we consider the problem of testing for the parameter change in discretely observed diffusion processes. For a test, we perform the cusum test based on the estimator proposed by Kessler (J Stat 24:211–229, 1997). It is shown that the test statistic weakly converges to the sup of the square of a Browian bridge. Simulation results are illustrated for the Ornstein-Uhlenbeck and Cox-Ingersoll-Ross processes.     

Statistical inference for coherent systems with Weibull distributed component lifetimes under complete and incomplete information

Point estimators for the parameters of the component lifetime distribution in coherent systems are evolved assuming to be independently and identically Weibull distributed component lifetimes. We study both complete and incomplete information under continuous monitoring of the essential component lifetimes. First, we prove that the maximum likelihood estimator (MLE) under complete information based on progressively Type‐II censored system lifetimes uniquely exists and we present two approaches to compute the estimates. Furthermore, we consider an ad hoc estimator, a max‐probability plan estimator and the MLE for the parameters under incomplete information. In order to compute the MLEs, we consider a direct maximization of the likelihood and an EM‐algorithm–type approach, respectively. In all cases, we illustrate the results by simulations of the five‐component bridge system and the 10‐component parallel system, respectively.     

Global eigenvalue distribution regime of random matrices with an anharmonic potential and an external source

We consider ensembles of random Hermitian matrices with a distribution measure determined by a polynomial potential perturbed by an external source. We find the genus-zero algebraic function describing the limit mean density of eigenvalues in the case of an anharmonic potential and a diagonal external source with two symmetric eigenvalues. We discuss critical regimes where the density support changes the connectivity or increases the genus of the algebraic function and consequently obtain local universal asymptotic representations for the density at interior and boundary points of its support (in the generic cases). The investigation technique is based on an analysis of the asymptotic properties of multiple orthogonal polynomials, equilibrium problems for vector potentials with interaction matrices and external fields, and the matrix Riemann-Hilbert boundary value problem. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 159, No. 1, pp. 34–57, April, 2009.