标的股价服从混合过程的期权定价公式及有限元算法

本文将马尔科夫跳跃过程叠加于 Ito过程 ,形成混合过程 ,并用该过程来刻画股价走势情况。而后在标的股价服从混合过程的基础上 ,推导出了欧式看涨期权的定价公式 ,并对美式看跌期权定价给出了有限元算法。     

Secret Sharing Schemes with Detection of Cheaters for a General Access Structure

In a secret sharing scheme, some participants can lie about the value of their shares when reconstructing the secret in order to obtain some illicit benefit. We present in this paper two methods to modify any linear secret sharing scheme in order to obtain schemes that are unconditionally secure against that kind of attack. The schemes obtained by the first method are robust, that is, cheaters are detected with high probability even if they know the value of the secret. The second method provides secure schemes, in which cheaters that do not know the secret are detected with high probability. When applied to ideal linear secret sharing schemes, our methods provide robust and secure schemes whose relation between the probability of cheating and the information rate is almost optimal. Besides, those methods make it possible to construct robust and secure schemes for any access structure.     

Cooperative games of choosing partners and forming coalitions in the marketplace

Two games of interacting between a coalition of players in a marketplace and the residual players acting there are discussed, along with two approaches to fair imputation of gains of coalitions in cooperative games that are based on the concepts of the Shapley vector and core of a cooperative game. In the first game, which is an antagonistic one, the residual players try to minimize the coalition's gain, whereas in the second game, which is a noncooperative one, they try to maximize their own gain as a coalition. A meaningful interpretation of possible relations between gains and Nash equilibrium strategies in both games considered as those played between a coalition of firms and its surrounding in a particular marketplace in the framework of two classes of n-person games is presented. A particular class of games of choosing partners and forming coalitions in which models of firms operating in the marketplace are those with linear constraints and utility functions being sums of linear and bilinear functions of two corresponding vector arguments is analyzed, and a set of maximin problems on polyhedral sets of connected strategies which the problem of choosing a coalition for a particular firm is reducible to are formulated based on the firm models of the considered kind.     

外加电场下激光诱导Al等离子体特性的实验研究

由Q-Nd:YAG脉冲激光(波长1.06μm,脉宽10 ns)烧蚀Al靶产生等离子体.观测了在低气压和直流电场条件下的Al等离子体发射光谱.研究了激光功率密度和直流电场对各谱线强度的影响,分析了谱线半高全宽与外加电压,等离子体电子温度与激光能量的变化规律.结果表明,直流电场对铝原子谱线强度有显著的增强,铝原子谱线的半高全宽与直流电场的外加电压基本上呈线性关系.     

An expansion in the exponent for compound binomial approximations

The purpose of this paper is two-fold. First, we introduce a new asymptotic expansion in the exponent for the compound binomial approximation of the generalized Poisson binomial distribution. The dependence of its accuracy on the symmetry and shifting of distributions is investigated. Second, for compound binomial and compound Poisson distributions, we present new smoothness estimates, some of which contain explicit constants. Finally, the ideas used in this paper enable us to prove new precise bounds in the compound Poisson approximation. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 1, pp. 67–110, January–March, 2006.     

Solutions in Sobolev spaces of vector refinement equations with a general dilation matrix

In this paper, we present a necessary and sufficient condition for the existence of solutions in a Sobolev space W_p^k(ℝ^s) (1≤p≤∞) to a vector refinement equation with a general dilation matrix. The criterion is constructive and can be implemented. Rate of convergence of vector cascade algorithms in a Sobolev space W_p^k(ℝ^s) will be investigated. When the dilation matrix is isotropic, a characterization will be given for the L_p (1≤p≤∞) critical smoothness exponent of a refinable function vector without the assumption of stability on the refinable function vector. As a consequence, we show that if a compactly supported function vector φ∈L_p(ℝ^s) (φ∈C(ℝ^s) when p=∞) satisfies a refinement equation with a finitely supported matrix mask, then all the components of φ must belong to a Lipschitz space Lip(ν,L_p(ℝ^s)) for some ν>0. This paper generalizes the results in R.Q. Jia, K.S. Lau and D.X. Zhou (J. Fourier Anal. Appl. 7 (2001) 143–167) in the univariate setting to the multivariate setting. Dedicated to Professor Charles A. Micchelli on the occasion of his 60th birthday Mathematics subject classifications (2000) 42C20, 41A25, 39B12. Research was supported in part by the Natural Sciences and Engineering Research Council of Canada (NSERC Canada) under Grant G121210654.     

Degree distribution of the greatest common divisor of polynomials over 𝔽q

We study the degree distribution of the greatest common divisor of two or more random polynomials over a finite field ??_q. We provide estimates for several parameters like number of distinct common irreducible factors, number of irreducible factors counting repetitions, and total degree of the gcd of two or more polynomials. We show that the limiting distribution of a random variable counting the total degree of the gcd is geometric and that the distributions of random variables counting the number of common factors (with and without repetitions) are very close to Poisson distributions when q is large. © 2005 Wiley Periodicals, Inc. Random Struct. Alg., 2006     

f(R) theories of gravity in the Palatini approach matched with observations

We investigate the viability of f(R) theories in the framework of the Palatini approach as solutions to the problem of the observed accelerated expansion of the universe. Two physically motivated popular choices for f(R) are considered,: power law, f(R) = β R ⁿ , and logarithmic, f(R) = α ln R. Under the Palatini approach, both Lagrangians give rise to cosmological models comprising only standard matter and undergoing a present phase of accelerated expansion. We use the Hubble diagram of type Ia Supernovae and the data on the gas mass fraction in relaxed galaxy clusters to see whether these models are able to reproduce what is observed and to constrain their parameters. It turns out that they are indeed able to fit the data with values of the Hubble constant and of the matter density parameter in agreement with some model independent estimates, but the today deceleration parameter is higher than what is measured in the concordance ΛCDM model.     

An Alternative Approach to Obtain the Exact Wave Functions of Time-Dependent Hamiltonian Systems Involving Quadratic, Inverse Quadratic, and (1/x)p+p(1/x) Terms

By using the Lewis-Riesenfeld theory and algebraic method, we present an alternative approach to obtain the exact solution of time-dependent Hamiltonian systems involving quadratic, inverse quadratic and (1/x)p+p(1/x) terms. This solution is discussed and compared with that obtained by Choi, J. R. (2003). International Journal of Theoretical Physics 42, 853]. PACS: 03.65Ge; 03.65Fd; 03.65Bz     

The Role of a Specific Response of Media in the Vavilov-Cherenkov Effect

It is shown that the condition υ > υ_p (ω), which is necessary in order to trigger the Vavilov-Cherenkov effect, determines the interval of radiated frequencies and it alone cannot establish a strong restriction to the velocity of the particle. It is exhibited that it is possible to define a general lower bound for the velocity of the particle, which does not depend on the frequency when both, a specific response of the medium is taken into account and the mentioned condition is considered. The minimum value of the phase velocity of light in the medium determines the existence of such general lower bound.