Computing strategies for achieving acceptability: A Monte Carlo approach

We consider a trader who wants to direct his or her portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a Monte Carlo algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy for achieving acceptability. We also prove optimality of the capital obtained. Explicit theoretical evaluations of hedging strategies are extremely difficult, and we avoid the problem by resorting to such computational methods. The main idea is to utilize the finite Vapnik–C?ervonenkis dimension of a class of possible strategies.     

Functional Central Limit Theorems for Triangular Arrays of Function-Indexed Processes under Uniformly Integrable Entropy Conditions

Functional central limit theorems for triangular arrays of rowwise independent stochastic processes are established by a method replacing tail probabilities by expectations throughout. The main tool is a maximal inequality based on a preliminary version proved by P. Gaenssler and Th. Schlumprecht. Its essential refinement used here is achieved by an additional inequality due to M. Ledoux and M. Talagrand. The entropy condition emerging in our theorems was introduced by K. S. Alexander, whose functional central limit theorem for so-calledmeasure-like processeswill be also regained. Applications concern, in particular, so-calledrandom measure processeswhich include function-indexed empirical processes and partial-sum processes (with random or fixed locations). In this context, we obtain generalizations of results due to K. S. Alexander, M. A. Arcones, P. Gaenssler, and K. Ziegler. Further examples include nonparametric regression and intensity estimation for spatial Poisson processes.     

Aggregation phenomena in the suspension polymerization of VCM

In the suspension polymerization of VCM, insoluble polymer particles are formed inside the monomer droplets. The growth and aggregation of these particles are responsible for important polymer properties, such as porosity. It is well established that the most characteristic polymer particles, the primary particles, are of a narrow distribution with a size (diameter) ranging from 0.10–0.20 m. This work studied the formation of primary particles based on the aggregation phenomena that take place inside a monomer droplet. This was done by formulating a population balance equation, which was based on the following considerations: a) polymerization occurs in both the monomer and the polymer phases; b) there is continuous formation of the basic particles in the monomer phase; c) the growth of the polymer particles occurs as a result of both polymerization in the polymer phase and aggregation of the particles; d) the colloidal properties of the particles that are responsible for the aggregation phenomena were considered to be the net result of attraction and repulsion energies.It was shown that for particles carrying a constant charge it was not possible to predict the formation of primary particles of size 0.10–0.20 m. The particle size distribution had a mode diameter equal to the diameter of the basic particles. Consequently, the particle charge was allowed to vary in a way proportional to the particle radius raised to a power coefficient. For values of the coefficient greater than zero, i. e., when the particle charge increased during polymerization, the aggregation of the basic particles was efficient enough to result in the formation of large primary particles.     

Synthesis of α,ω‐di(iodo)PVC and of four‐arm star PVC with identical active chain ends by SET‐DTLRP of VC initiated with bifunctional and tetrafunctional initiators

Na₂S₂O₄‐catalyzed single‐electron transfer – degenerative chain transfer‐mediated living radical polymerization (SET‐DTLRP) of VC initiated with the bifunctional initiators 1,2‐bis(iodopropionyloxy)ethane, dimethyl 2,5‐diiodohexanedioate, and bis(2‐methoxyethyl)‐2,5‐diiodohexanedioate as well as the tetrafunctional initiator pentaerythritol tetrakis(2‐iodopropionate) is reported. This SET‐DTLRP was performed in water at ambient temperature in the presence of polyvinyl alcohol and hydroxypropyl methylcellulose surfactants and provides methods for the synthesis of α,ω‐di(iodo)PVC with two identical active chain ends and of four‐arm star PVC with four identical active chain ends. These difunctional and tetrafunctional derivatives of PVC are also macroinitiators for the synthesis of ABA triblock copolymers and four‐arm star block copolymers. © 2008 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 47: 635–652, 2009     

Estimating the spectral measure of an extreme value distribution

Let (X₁, Y₁), (X₂, Y₂),…, (X_n, Y_n) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The extreme value indices determine both the marginals and the spectral measure determines the dependence structure. In this paper, we construct an empirical measure, based on the sample, which is a consistent estimator of the spectral measure. We also show for positive extreme value indices the asymptotic normality of the estimator under a suitable 2nd order strengthening of the bivariate domain of attraction condition.     

OBJECT-ORIENTED FINITE ELEMENT ANALYSIS AND PROGRAMMING IN VC++

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含辅酶Q10材料的抗辐射性能及含量测定

采用高效液相色谱法测定了辅酶Q10(CoQ10)的含量,并探讨了CoQ10的防晒性能.色谱柱为Kromasil 5-C18柱(150×4.6 mm,5μm);流动相为甲醇-无水乙醇(体积比30:70),流速为1.0 mL/min;检测波长275 nm.实验考察了不同含量CoQ10在3个紫外区的防晒性能,及与维生素C或维...     

Ambiguous chance constrained problems and robust optimization

In this paper we study ambiguous chance constrained problems where the distributions of the random parameters in the problem are themselves uncertain. We focus primarily on the special case where the uncertainty set of the distributions is of the form where ρ_p denotes the Prohorov metric. The ambiguous chance constrained problem is approximated by a robust sampled problem where each constraint is a robust constraint centered at a sample drawn according to the central measure The main contribution of this paper is to show that the robust sampled problem is a good approximation for the ambiguous chance constrained problem with a high probability. This result is established using the Strassen-Dudley Representation Theorem that states that when the distributions of two random variables are close in the Prohorov metric one can construct a coupling of the random variables such that the samples are close with a high probability. We also show that the robust sampled problem can be solved efficiently both in theory and in practice. Research partially supported by NSF grant CCR-00-09972. Research partially supported by NSF grants CCR-00-09972, DMS-01-04282, and ONR grant N000140310514.     

基于敦煌场地定标的FY-3 MERSI反射太阳波段在轨响应变化分析

鉴于中分辨率光谱成像仪不能实现反射太阳波段的星上绝对辐射定标,提出了基于地表方向模型、矢量辐射传输模型6SV并联合MODTRAN吸收透过率校正的敦煌场替代定标新方法,4年的同步定标结果表明,除了水汽吸收中心波段之外,定标不确定度小于5%,而多数波段优于3%。以Aqua MODIS为辐射基准的大气顶辐射计算试验表明,正演与卫星观测间的平均偏差在波长<1 μm的窗区波段小于3%,波长>1 μm的小于5%(除了2.1 μm波段);此外,经场地定标的MERSI 表观反射率与MODIS具有很好的一致性。基于多年的场地定标结果发现：可采用二次多项式拟合定标系数的时间变化,进而实现逐天的定标更新;波长<0.6 μm的波段衰变较大,波段8(0.41 μm)入轨第一年的衰变率约为14%;在轨初期衰变最大,一年后趋缓,两年后部分波长>0.6 μm的波段出现响应增加现象。     

应用于LED灯具散热的平板热管传热特性

平板热管作为一种新型的热管技术,具有高热导率,良好的均温性等优点,成为解决大功率LED散热问题很有前途的技术之一。本文通过实验与数值模拟相结合的方法,研究了平板热管散热模组的传热性能,探讨了热源布置方式(集中式布置与分散式布置)的影响,为LED芯片的布置提供理论指导。结果表明:该平板热管散热模组的散热效果良好,能有效解决LED灯的散热问题。