On the threshold dividend strategy for a generalized jump-diffusion risk model

In this paper, we generalize the Cramér-Lundberg risk model perturbed by diffusion to incorporate jumps due to surplus fluctuation and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected discounted penalty (EDP) function of Gerber and Shiu (1998) under the threshold dividend strategy. An integral equation for the EDP function is derived using the Wiener-Hopf factorization. As a result, an explicit analytical expression is obtained for the EDP function by solving the integral equation. Finally, phase-type downward jumps are considered and a matrix representation of the EDP function is presented.     

Systemic Risk and Stochastic Games with Delay

We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into account a quadratic cost for lending or borrowing and a linear incentive to borrow if the reserve is low or lend if the reserve is high relative to the average capitalization of the system. As such, our problem is a finite-player linear–quadratic stochastic differential game with delay. An open-loop Nash equilibrium is obtained using a system of fully coupled forward and advanced-backward stochastic differential equations. We then describe how the delay affects liquidity and systemic risk characterized by a large number of defaults. We also derive a closed-loop Nash equilibrium using a Hamilton–Jacobi–Bellman partial differential equation approach.     

路政应急管理中资源布局的混合整数规划模型

本文根据道路灾害事故的发生特点,对城市路桥养护系统的运行模式和资源的合理调用机理进行分析,考虑到事发地点潜在的资源需求概率,建立资源布局的混合整数规划模型.本模型中资源布局方案的调度决策基础是在灾害事故的资源需求不发生变化的条件下,使得每个救助点的资源同时部分地为辖区内现有事故和潜在事故服务,而现有事故的剩余需求由其他救助点派出资源来满足.该模型的目标是解决城市中因同一时间段内发生两起灾害事故而造成路桥破坏导致的救助资源短缺问题,同时避免资源的闲置浪费.最后,通过算例证明,本方法较通常方法对城市总的资源配置量大大减少.     

Effect of the defect on the focusing in a two-dimensional photonic-crystal-based flat lens

We have investigated in detail the influence of defect on the focusing of electromagnetic waves in a two-dimensional photonic-crystal flat lens by using the finite-difference time-domain method. The result shows that many focusings can be observed at the symmetrical positions when a defect is introduced into the lens. Furthermore, the wave-guides in the lens can confine the transmission wave effectively and improve the quality of the focusing.     

Pricing American Asian options with higher moments in the underlying distribution

We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85–105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21–31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.     

Doubling measures on Cantor sets and their extensions

We study the doubling property of binomial measures on the middle interval Cantor set. We obtain a necessary and sufficient condition that enables a binomial measure to be doubling. Then we determine those doubling binomial measures which can be extended to be doubling on [0,1]. Finally, we construct a compact set X in [0,1] and a doubling measure μ on X, such that [`(F)]_X=X\overline{F}_{X}=X and m|_EX{\mu|}_{E_{X}} is doubling on E _X , where E _X is the set of accumulation points of X and F _X is the set of isolated points of X.     

一类二阶奇异周期边值问题正解的存在性

利用锥上的不动点定理得到了一类二阶奇异周期边值问题在一定条件下正题的存在性,其中非线性项显含一阶导数且允许在u=0处有奇性,从而推广和丰富了已有文献的结果.     

Predicting the growth of new links by new preferential attachment similarity indices

By revisiting the preferential attachment (PA) mechanism for generating a classical scale-free network, we propose a class of novel preferential attachment similarity indices for predicting future links in evolving networks. Extensive experiments on 14 real-life networks show that these new indices can provide more accurate prediction than the traditional one. Due to the improved prediction accuracy and low computational complexity, these proposed preferential attachment indices can be helpful for providing both instructions for mining unknown links and new insights to understand the underlying mechanisms that drive the network evolution.     

Geometric Schrdinger-Airy Flows on Khler Manifolds

We define a class of geometric flows on a complete Khler manifold to unify some physical and mechanical models such as the motion equations of vortex filament, complex-valued mKdV equations, derivative nonlinear Schrdinger equations etc. Furthermore, we consider the existence for these flows from S~1into a complete Khler manifold and prove some local and global existence results.     

Quadratic properties of least-squares solutions of linear matrix equations with statistical applications

Assume that a quadratic matrix-valued function \(\psi (X) = Q - X^{\prime }PX\) is given and let \(\mathcal{S} = \left\{ X\in {\mathbb R}^{n \times m} \, | \, \mathrm{trace}[\,(AX - B)^{\prime }(AX - B)\,] = \min \right\} \) be the set of all least-squares solutions of the linear matrix equation \(AX = B\). In this paper, we first establish explicit formulas for calculating the maximum and minimum ranks and inertias of \(\psi (X)\) subject to \(X \in {\mathcal S}\), and then derive from the formulas the analytic solutions of the two optimization problems \(\psi (X) =\max \) and \(\psi (X)= \min \) subject to \(X \in \mathcal{S}\) in the Löwner partial ordering. As applications, we present a variety of results on equalities and inequalities of the ordinary least squares estimators of unknown parameter vectors in general linear models.