Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem

This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.     

具有预警功能的可修复系统

研究了一个具有预警功能的可修复系统．通过选取空间和定义系统算子,将模型方程转化成为了抽象Cauchy问题．然后利用算子半群理论证明了系统解的存在唯一性与指数稳定性．另外,当风险系数趋于无穷时,这种系统逼近于一种具有弱解的模型系统,利用这个性质可得出相应结论并给出了数值仿真例子．     

指数分布在概率统计教学中的纽带作用

讨论指数分布在概率统计教学中的作用.从指数分布的定义及特征出发,分五个方面提出指数分布的知识点连接教学法,以此说明指数分布在概率统计教学中的纽带作用.     

一类扩展Euler和的表示问题

应用Parseval定理和Nielsen广义多重对数函数的性质,给出了非线性扩展Euler和的Riemann Zeta函数表示.对来自于实验数学中的扩展Euler和∑n=1∞H2n/n2的经验公式给出了严格的理论证明.此方法也适用于求其它扩展Euler和的计算问题.     

Shift‐invert Lanczos method for the symmetric positive semidefinite Toeplitz matrix exponential

The Lanczos method with shift‐invert technique is exploited to approximate the symmetric positive semidefinite Toeplitz matrix exponential. The complexity is lowered by the Gohberg–Semencul formula and the fast Fourier transform. Application to the numerical solution of an integral equation is studied. Numerical experiments are carried out to demonstrate the effectiveness of the proposed method. Copyright © 2010 John Wiley & Sons, Ltd.     

某一类控制系统中发生的指数偏差现象

我们考虑在某类控制系统中,以Lyapunov指数作为观测量,远离给定遍历测度的那些周期测度.对于这类周期测度的数量关于周期的指数增长率,我们将用测度熵在某个集合上的上界给出它的一个上限控制.     

Design of a reaction field using a linear‐combination‐based isotropic periodic sum method

In our previous study (Takahashi et al., J. Chem. Theory Comput. 2012, 8, 4503), we developed the linear‐combination‐based isotropic periodic sum (LIPS) method. The LIPS method is based on the extended isotropic periodic sum theory that produces a ubiquitous interaction potential function to estimate homogeneous and heterogeneous systems. The LIPS theory also provides the procedure to design a periodic reaction field. To demonstrate this, in the present work, a novel reaction field of the LIPS method was developed. The novel reaction field was labeled LIPS‐SW, because it provides an interaction potential function with a shape that resembles that of the switch function method. To evaluate the ability of the LIPS‐SW method to describe in homogeneous and heterogeneous systems, we carried out molecular dynamics (MD) simulations of bulk water and water–vapor interfacial systems using the LIPS‐SW method. The results of these simulations show that the LIPS‐SW method gives higher accuracy than the conventional interaction potential function of the LIPS method. The accuracy of simulating water–vapor interfacial systems was greatly improved, while that of bulk water systems was maintained using the LIPS‐SW method. We conclude that the LIPS‐SW method shows great potential for high‐accuracy, high‐performance computing to allow large scale MD simulations. © 2014 Wiley Periodicals, Inc.     

Inverse Bremsstrahlung absorption coefficient in inhomogeneous plasma with nonextensive electron velocity distribution and Tsallis exponential electron density profile

Inverse bremsstrahlung (collisional) absorption of the laser beam is studied in plasma with a generalized (q-nonextensive) electron velocity distribution and some kind of generalized electron density profile. It is shown that for some values of parameters designating the q-nonextensive electron velocity distribution function and its generalized density profile, the calculated absorption coefficient reduces to the already known cases with Maxwellian velocity distribution with linear and exponential density profiles.     

On a Variational Definition for the Jensen-Shannon Symmetrization of Distances Based on the Information Radius

We generalize the Jensen-Shannon divergence and the Jensen-Shannon diversity index by considering a variational definition with respect to a generic mean, thereby extending the notion of Sibson’s information radius. The variational definition applies to any arbitrary distance and yields a new way to define a Jensen-Shannon symmetrization of distances. When the variational optimization is further constrained to belong to prescribed families of probability measures, we get relative Jensen-Shannon divergences and their equivalent Jensen-Shannon symmetrizations of distances that generalize the concept of information projections. Finally, we touch upon applications of these variational Jensen-Shannon divergences and diversity indices to clustering and quantization tasks of probability measures, including statistical mixtures.     

The concept of minimized integrated exponential error for low dispersion and low dissipation schemes

We devise two novel techniques to optimize parameters which regulate dispersion and dissipation effects in numerical methods using the notion that dissipation neutralizes dispersion. These techniques are baptized as the minimized integrated error for low dispersion and low dissipation (MIELDLD) and the minimized integrated exponential error for low dispersion and low dissipation (MIEELDLD) . These two techniques of optimization have an advantage over the concept of minimized integrated square difference error (MISDE) , especially in the case when more than one optimal cfl is obtained, out of which only one of these values satisfy the shift condition. For instance, when MISDE is applied to the 1‐D Fromm's scheme, we have obtained two optimal cfl numbers: 0.28 and 1.0. However, it is known that Fromm's scheme satisfies shift condition only at r=1.0. Using MIELDLD and MIEELDLD , the optimal cfl of Fromm's scheme is computed as 1.0. We show that like the MISDE concept, both the techniques MIELDLD and MIEELDLD are effective to control dissipation and dispersion. The condition ν²>4µ is satisfied for all these three techniques of optimization, where ν and µ are parameters present in the Korteweg‐de‐Vries‐Burgers equation. The optimal cfl number for some numerical schemes namely Lax–Wendroff, Beam–Warming, Crowley and Upwind Leap‐Frog when discretized by the 1‐D linear advection equation is computed. The optimal cfl number obtained is in agreement with the shift condition. Some numerical experiments in 1‐D have been performed which consist of discontinuities and shocks. The dissipation and dispersion errors at some different cfl numbers for these experiments are quantified. Copyright © 2010 John Wiley & Sons, Ltd.