On Statistical Inference Based on Record Values

We develop methodology for conducting inference based on record values and record times derived from a sequence of independent and identically distributed random variables. The advantage of using information about record times as well as record values is stressed. This point is a subtle one, since if the sampling distribution F is continuous then there is no information at all about F in the record times alone; the joint distribution of any number of them does not depend on F. However, the record times and record values jointly contain considerably more information about F than do the record values alone. Indeed, in the case of a distribution with regularly varying tails, the rate of convergence of the exponent of regular variation is two orders of magnitude faster if information about record times is included. Optimal estimators and convergence rates are derived under simple, specific models, and shown to be surprisingly robust against significant departures from those models. However, even under our special models the estimators have irregular properties, including an undefined information matrix. To some extent these difficulties may be alleviated by conditioning and by considering the relationship between maximum likelihood and maximum probability estimators.     

ON THE OPTIMAL PARKING PROBLEM

In this paper,the concept of dual predictable projection is used,for the optimal parkingproblem.A strictly rigorous,simpler treatment is introduced and the optimal stopping rule is alsogiven explicitly.     

On the Optimal Sizing Problem

The paper studies the problem of determining the number and dimensions of sizes of apparel so as to maximize profits. It develops a simple one-variable bisection search algorithm that gives the optimal solution. An example is solved interactively using a Macintosh LC and Math CAD, a mathematical software package.     

On the Problem of Optimal Reconstruction

We find lower bounds for linear and Alexandrov's cowidths of Sobolev's classes on Compact Riemannian homogeneous manifolds . Using these results we give an explicit solution of the problem of optimal reconstruction of functions from Sobolev's classes in .     

On the Bail-Out Optimal Dividend Problem

This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted–reflected Lévy process. The optimal strategy as well as the value function is concisely written in terms of the scale function. Numerical results are also provided to confirm the analytical conclusions.     

关于记录值序列部分和的渐近正态性

证明了 Burr分布和 Frechét分布的记录值序列的部分和是渐进对数正态的 ,从而解决了文[2 ]中的一个悬而未决的问题     

On the Existence of Optimal Solutions to an Optimal Control Problem

In this paper, some results concerning the existence of optimal solutions to an optimal control problem are derived. The problem involves a quasilinear hyperbolic differential equation with boundary condition and a nonlinear integral functional of action. The assumption of convexity, under which the main theorem is proved, is not connected directly with the convexity of the functional of action. In the proof, the implicit function theorem for multimappings is used.Communicated by L. D. Berkovitz     

On the Method of Optimal Portfolio Choice by Cost-Efficiency

We develop the method of optimal portfolio choice based on the concept of cost-efficiency in two directions. First, instead of specifying a payoff distribution in an unique way, we allow customer-defined constraints and preferences for the choice of a distributional form of the payoff distribution. This leads to a class of possible payoff distributions. We determine upper and lower bounds for the corresponding strategies in stochastic order and describe related upper and lower price bounds for the induced class of cost-efficient payoffs. While the results for the cost-efficient payoff given so far in the literature in the context of Lévy models are based on the Esscher pricing measure we use as alternative the method of empirical pricing measures. This method is well established in the literature and leads to more precise pricing of options and their cost-efficient counterparts. We show in some examples for real market data that this choice is numerically feasible and leads to more precise prices for the cost-efficient payoffs and for values of the efficiency loss.     

幂平均不等式的最优值

设Mn[r](a)为a的r阶幂平均,0<α<θ<β,那么满足不等式[Mn[α](a)]1-λ.[Mn[β](a)]λ≤Mn[θ](a)的最大实数λ是λ≥{1+(β-θ)/[m(θ-α)]}-1.这里m=min{[2+(n-2)tβ]/[2+(n-2)tα],t∈R++};满足反向不等式的最小实数λ是λ=[β(θ-α)]/[θ(β-α)].本文的方法基于优势理论与解析技巧,对于建立不等式的最优化思想作了尽可能多的展示.作为应用,得到了一些涉及和、积分与矩阵的新不等式(含Hardy不等式的推广与加强).     

记录值的联合分布

使用组合数学与概率论的方法研究了记录值示性符之和的分布,并得出第i个记录值X(i)的概率分布及记录值X(j)和X(i)的联合分布.     

最优公交线路选择问题的数学模型及算法

公交线路选择问题是城市公共交通信息查询的重要内容，本文建立了满足不同公交线路查询者需求的最优线路选择模型并给出了相应的算法。首先通过引入各条公交线路直达最短距离矩阵构造了公交网络直达关系图（直达矩阵），在直达关系图（直达矩阵）上，利用修改了的最短路算法，即可求得最优换乘路线。根据出行者的不同需求，通过在直达关系图上定义不同的权系数，可以分别求得换乘次数最少的公交出行线路、经过站点最少的公交出行线路；通过修改最短路算法，可以求得出行耗时最少的线路及出行费用最低的线路，另外，本模型还可以综合考虑出行者的需求情况，求得出行者满意度最大的出行路线。     

一维扩散过程的最优停止问题的研究

本文研究了一维扩散过程的最优停止问题,论证了W iener过程和几何布朗运动是F e ller过程,同时给出了一般扩散过程的处理方法.     

一个经典规划问题最优解的讨论

本文就一个经典规划问题"合理利用线材"展开讨论,分析不同文献上所给出的解及它们之间的关系,创造性地给出了该问题最优解的结构.     

LTV度量反馈控制问题的最优控制器

In this paper,we consider the measurement feedback control problem for discrete linear time-varying systems within the framework of nest algebra consisting of causal and bounded linear operators.Based on the inner-outer factorization of operators,we reduce the control problem to a distance from a certain operator to a special subspace of a nest algebra and show the existence of the optimal LTV controller in two different ways：one via the characteristic of the subspace in question directly,the other via the duality theory.The latter also gives a new formula for computing the optimal cost.     

On the Lagrange Problem on the Optimal Form for Circular Columns

A new approach to the classical Lagrange problem on the form of the strongest circular column of fixed volume and height clamped at both ends is proposed. The existence of the optimal column is proved and an algorithm for finding its design is given.__________Translated from Sovremennaya Matematika i Ee Prilozheniya (Contemporary Mathematics and Its Applications), Vol. 10, Suzdal Conference-4, 2003.An erratum to this article can be found at .