Robust investment–reinsurance optimization with multiscale stochastic volatility

This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion with drift for the surplus of the AAI who invests in a risky asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance problem for a general class of utility functions under a general SV model. Applying perturbation techniques to the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation associated with our problem, we derive an investment–reinsurance strategy that well approximates the optimal strategy of the robust optimization problem under a multiscale SV model. We also provide a practical strategy that requires no tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to draw economic interpretations from the robust decision rules.     

Modeling and simulations of interface properties with first‐principles electronic structure computations

We report extensive first‐principles electronic structure modeling and calculations for the SiC–SiO₂ interface, a solid–solid interface formed during oxidation of silicon carbide (SiC). The interface modeling provides atomic‐scale understanding about the nature of the interface defects as well as passivation effects due to the modification of the interface bonding. In particular, simulation results show that incorporation of hydrogen and fluorine decreases the defect density, thus enhancing the performance of SiC‐based electronic devices. Copyright © 2013 John Wiley & Sons, Ltd.     

带有二元连接函数的半参数模型

提出了一种新的带有二元连接函数的广义半参数模型,即二元连接模型(简称为BLM).使用轮廓似然方法估计模型的参数和非参数部分,并给出了计算算法.证明了所得的未知参数的估计量为n~(1/2)-相合,渐近正态且具有渐近最小方差,给出了实际数据分析和模拟研究,最终采用局部功效方法来检验非参数部分的线性性.     

基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型

针对假设股价的对数收益率布朗运动在期权定价时产生的无法解释股价对数收益率的尖峰厚尾和序列相关性的缺陷,采用了Zhang提出的非对称漂移双gamma跳-扩散过程来描述资产(股价)的对数收益率运动形态(该过程是kou提出的双指数跳-扩散过程的推广),并利用Esscher风险中性变换,研究了幂型期权的定价公式.还设计了两种创新的幂型期权,在非对称漂移双gamma跳-扩散过程下给出了相应的定价公式.     

关于广义三项指数和的四次幂均值

The main purpose of this paper is using estimates for trigonometric sums and properties of congruence to study the computation of one kind of fourth power mean of a generalized three-term exponential sum, and give an interesting identity for it.     

Parametric inference for multiple repairable systems under dependent competing risks

The focus of this article is on the analysis of repairable systems that are subject to multiple sources of recurrence. The event of interest at the system level is assumed to be caused by the earliest occurrence of a source, thereby conforming to a series system competing risks framework. Parametric inference is carried out under the power law process model that has found significant attention in industrial applications. Dependence among the cause‐specific recurrent processes is induced via a shared frailty structure. The theoretical inference results are implemented to a warranty database for a fleet of automobiles, for which the warranty repair is triggered by the failure of one of many components. Extensive finite‐sample simulation is carried out to supplement the asymptotic findings. Copyright © 2014 John Wiley & Sons, Ltd.     

On the inverse spectral theory in a non-homogeneous interior transmission problem

We study the inverse spectral problem in an interior transmission eigenvalue problem. The Cartwright’s theory in value distribution theory gives a connection between the distributional structure of the eigenvalues and the asymptotic behaviours of its defining functional determinants. Given a sufficient quantity of transmission eigenvalues, we prove a uniqueness of the refraction index in inhomogeneous medium as an uniqueness problem in entire function theory. The asymptotically periodical structure of the zero set of the solutions helps to locate infinitely many eigenvalues of infinite degree of freedom.     

一种车用单刀双掷开关的质检仪器研发

介绍了一种车用单刀双掷开关质量检测仪器的研发,包括检测系统的硬件设计、检测原理以及算法软件开发。首先,根据单刀双掷开关的工作原理及质量检测要求,开发了检测手指触觉压力的机械装置,以及控制开关通道切换的继电器控制电路;在此基础上,开发了相应的检测算法,可实现对开关切换状态、电压差以及手指触觉压力进行自动化的数据采集、分析、检测和判断,从而挑选出合格的开关;最后,设计了触屏人机交互界面,可实时显示产品检测的参数。该检测设备在某自动化生产线上经过近一年时间的检测验证,证明系统运行平稳,检测效果良好、误检率低,可以完全取代传统的人工检测方式,提高了开关的检测效率,降低了检测人员的工作量。     

基于3G-ASCX的小型飞行器异常导航信号检测系统设计

传统方法在异常导航信号信噪比较低时对小型飞行器异常导航信号的检测效果不理想。设计并实现了一种基于3G-ASCX的小型飞行器异常导航信号检测系统,硬件设计时着重于ASCX传感器模块、异常导航信号检测模块、主控基站模块、3G/GPRS传输模块的研究,3G/GPRS传输模块的硬件设计中,通过功耗低体积小的CC1100完成异常导航信号的收发,传输过程中通过芯片STC12C5410AD完成电容的平衡转换,选取了MC3486进行电压的转换,最终实现异常信号数据的安全快速传输;软件设计中,系统软件流程设计及异常导航信号检测模块软件设计,最后进行仿真实验,实验结果证明,相比传统系统,所设计系统检测到的小型飞行器异常导航信号同实际测量的异常导航信号具有较高的匹配度,与实际值相比,误差小于1dB,适合推广使用。