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In this paper, we prove that two-parameter Volterra multifractional process can be approximated in law in the topology of the anisotropic Besov spaces by the family of processes{B_n(s,t)},n∈N defined by B_n(s,t)=∫_0~s ∫_0~tk_(a(s))(s,u)K_(β(t))(t,u)θ_(n(u,v))dudv,here {θ_n(u, v)}n∈N is a family of processes, converging in law to a Brownian sheet as n→∞,based on the well known Donsker's theorem. 相似文献
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Mei-Feng Dai Ting-Ting Ju Yong-Bo Hou Fang Huang Dong-Lei Tang Wei-Yi Su 《理论物理通讯》2020,72(5):55602-112
The weighted self-similar network is introduced in an iterative way. In order to understand the topological properties of the self-similar network, we have done a lot of research in this field.Firstly, according to the symmetry feature of the self-similar network, we deduce the recursive relationship of its eigenvalues at two successive generations of the transition-weighted matrix.Then, we obtain eigenvalues of the Laplacian matrix from these two successive generations.Finally, we calculate an accurate expression for the eigentime identity and Kirchhoff index from the spectrum of the Laplacian matrix. 相似文献
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针对我国科技保险第二批推行险种--项目投资损失保险,以科技企业为研究主体,综合考虑其期望利润和科技风险(方差),构建了投保比例模型.在对武汉市迪源光电科技有限公司投保科技保险的具体案例中,运用线性不等式组的旋转算法进行求解,计算出企业在项目组合投资中如何优化各项投保比例,使其以最小的风险承担得到最大的期望利润. 相似文献
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《European Journal of Operational Research》2005,164(2):475-490
Earlier work on sustainable development devised a policy assessment tool that was based on a static optimisation formulation. Key ingredients in sustainable development problems are the presence of random effects and the conflict between different objectives. To accommodate these, the earlier formulation was strongly stochastic and was posed in a multi-objective framework. The purpose of this paper is to consider the extension of the work to a formulation that deploys dynamic optimisation. In particular it is the aim here to use simulations based on a large scale model to derive dynamic rather than static representations, to integrate these into the optimisation scheme and to assess the benefits. 相似文献
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《European Journal of Operational Research》2005,163(1):177-191
The paper is concerned with the efficiency of hedging stock portfolios using futures stock indices covering the period January 1995–December 2001. The hedged portfolios consisted of the assets of seventeen investment companies quoted on the London Stock Exchange and two portfolios, which were assumed to match exactly the corresponding cash index. Two futures indices were used to hedge the funds namely FTSE100 and FTSE250 futures indices which are quoted on LIFFE. Weekly observations were used providing 365 observations for each variable.The total sample was split into two sections. The first 261 observations were used to estimate the optimal hedge ratio (i.e. the in-sample period) providing 260 returns for each variable and the remaining 104 (i.e. the post-sample period) observations utilised to check the efficiency of the estimated hedge ratio. In addition a second estimation window was tried using the last 30 observations of the in-sample period. A variety of methods were tried to estimate the optimal hedge ratio including ordinary least squares (OLS), methods allowing for the existence of Autoregressive Conditional Heteroskedasticity, and an Exponential Weighted Moving Average (EWMA).The general conclusions reached were that for the portfolios within the data set (i) that the EWMA method of estimation provided the best estimate of the optimal hedge (ii) the shorter estimation window was no more efficient than the longer window and (ii) the FTESE250 futures index was the best hedging vehicle for these portfolios. 相似文献
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Wei-yi SU~ 《中国科学A辑(英文版)》2007,50(7):1005-1014
The Lipschitz class Lipαon a local field K is defined in this note,and the equivalent relationship between the Lipschitz class Lipαand the Holder type space C~α(K)is proved.Then,those important characteristics on the Euclidean space R~n and the local field K are compared,so that one may interpret the essential differences between the analyses on R~n and K.Finally,the Cantor type fractal functionθ(x)is showed in the Lipschitz class Lip(m,K),m<(ln 2/ln 3). 相似文献
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针对传统的DEA模型在评估过程中并未考虑决策者对相关指标权重的偏好,将最优最差方法(BWM)嵌入到传统DEA模型中,基于决策者偏好排序的判断矩阵,构建一种含有偏好的DEA-BWM评价方法。首先在保持传统DEA方法的优势基础上,构建了CCR-BWM评价模型对各DMU进行评价。同时考虑为了便于各决策单元在统一权重基础上相互比较,构建了CSW-BWM公共权重模型。另外考虑决策单元自评和互评,构建了NCE-BWM中立型交叉效率。然后采用min-max方法分别将上述三种多目标评价模型转换为单目标线性规划进行求解。最后,选择一组算例对三种模型的有效性与合理性进行验证。 相似文献