推广的Bessel过程的L~p估计

随机微分方程dX_t=(δf~2(t)-h(t)X_t)dt+2f(t) │X_t│～(1/2)dBt,(X_0=x,δ>0)的解X_t是一种推广的δ(δ>0)维Bessel过程.文章对于任意停时τ给出了‖sup0≤t≤τη(t)X_t‖p的L~p估计,其中η:R_+→R_+是一个R+上的可微函数,而且满足微分方程dη/dt-h(t)η=-η~2f~2(t),η(0)=1.     

There is No Low Maximal D.C.E. Degree

We show that for any computably enumerable (c.e.) set A and any set L, if L is low and , then there is a c.e. splitting such that . In Particular, if L is low and n‐c.e., then is n‐c.e. and hence there is no low maximal n‐c.e. degree.     

Stochastic methods for Dirichlet problems

Using an equivalent expression for solutions of second order Dirichlet problems in terms of Ito type stochastic differential equations, we develop a numerical solution method for Dirichlet boundary value problems. It is possible with this idea to solve for solution values of a partial differential equation at isolated points without having to construct any kind of mesh and without knowing approximations for the solution at any other points. Our method is similar to a recently published approach, but differs primarily in the handling of the boundary. Some numerical examples are presented, applying these techniques to model Laplace and Poisson equations on the unit disk. Visiting Professor, Universidad de Salamanca.     

There is no low maximal d. c. e. degree – Corrigendum

We give a corrected proof of an extension of the Robinson Splitting Theorem for the d. c. e. degrees. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

基于投资的再保险定价模型

从系统的观点出发,把公司的赔付情况与投资收益相接合,对比例再保险与超额损失再保险,建立了在投资影响下的带跳的再保险模型,给出了基于投资的再保险定价公式,为公司厘订再保险费提供了新的方法.     

基于Ito方程的广告效应理论预测模型

广告效应取决于许多因素,假设在t时刻广告效应是t以及在t时刻的接收率S(t)的函数,利用Ito方程,作为连续型随机变量,从理论上给出了一种广告效应的预测模型,包括广告的即时效应、延续效应、累计效应及扩散效应模型.     

一类连续半鞅型随机微分方程解的随机稳定性

本文利用Ｌｙａｐｕｎｏｖ函数方法，讨论了时齐Ｄｏｌｅａｎｓ－Ｄａｄｅｒ－Ｐｒｏｔｔｅｒ方程ｄＸ＿ｔ＝σ（Ｘ＿ｔ）ｄＭ＿ｔ＝ｂ（Ｘ＿ｔ）ｄＡ＿ｔ＋（（Ｍ＿ｔ）为连续局部平方可积鞅；（Ａ＿ｔ）为连续有限变差过程）平凡解的随机稳定性。本文建立了随机稳定性的判定定理并给出了相应的Ｌｙａｐｕｎｏｖ函数的一种具体形式。     

Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations

We prove Girsanov-type theorems for Hilbert space-valued stochastic differential equations and apply them to a parameter estimation problem for linear infinite dimensional stochastic differential equations. In particular we construct the asymptotic statistical theory of the estimator, proving strong consistency and asymptotic normality.     

随机Cahn-Hilliard方程的一种差分逼近

Stochastic Cahn-Hilliard equation is an equation of the field theory for solving the Non-equilibrium dynamics problem in a weak state and is a case of nonlinear Langevin equation.In this paper,using the ackward difference method(BDM),a numerical solution of the stochastic C-H equation is proposed and using the Ito formula,probability and the martingale theory,the convergence of the numerical process is proved in the meaning of mean square.     

多维带跳倒向双重随机微分方程解的性质

本文研究一类多维带跳倒向双重随机微分方程, 给出了It\^{o}公式在带跳倒向双重随机积分情形下的推广形式, 同时运用推广形式的It\^{o}公式, 在Lipschitz条件下证明了方程解的存在性和唯一性.     

Neutral stochastic functional differential equations with additive perturbations

The paper deals with the solution to the neutral stochastic functional differential equation whose coefficients depend on small perturbations, by comparing it with the solution to the corresponding unperturbed equation of the equal type. We give conditions under which these solutions are close in the (2m)th mean, on finite time-intervals and on intervals whose length tends to infinity as small perturbations tend to zero.     

保险公司每期总准备金计算

本在保险公司是风险中性的情况下，讨论了在投资影响下的每期总准备金计算问题．通过建立它应满足的线性倒向随机微分方程，得到它在投资影响下的计算公式．     

A 1-dimensional nonlinear filtering problem

We will concentrate on a 1-dimensional nonlinear filtering problem, which allows an explicit solution in terms of a stochastic differential equation for Xt.     

多服务台排队系统的组装策略

本文讨论了(e,d)-策略多重休假的M/M/c排队,这是—个M/M/c-e和M/M/c排队的“组装”策略,为系统设计提供更大的灵活性．使用拟生灭过程方法,给出了稳态队长分布．进一步地,利用条件Erlang分布的一些有趣的性质,给出了等待时间分布的简洁表达式．最后,得到稳态指标的条件随机分解结果．     

Non-Uniformity and Generalised Sacks Splitting

We show that there do not exist computable functions f ₁(e, i), f ₂(e, i), g ₁(e, i), g ₂(e, i) such that for all e, i ∈ ω, (1) $ {\left( {W_{{f_{1} {\left( {e,i} \right)}}} - W_{{f_{2} {\left( {e,i} \right)}}} } \right)} \leqslant _{{\rm T}} {\left( {W_{e} - W_{i} } \right)}; $ (2) $ {\left( {W_{{g_{1} {\left( {e,i} \right)}}} - W_{{g_{2} {\left( {e,i} \right)}}} } \right)} \leqslant _{{\rm T}} {\left( {W_{e} - W_{i} } \right)}; $ (3) $ {\left( {W_{e} - W_{i} } \right)} \not\leqslant _{{\rm T}} {\left( {W_{{f_{1} {\left( {e,i} \right)}}} - W_{{f_{2} {\left( {e,i} \right)}}} } \right)} \oplus {\left( {W_{{g_{1} {\left( {e,i} \right)}}} - W_{{g_{2} {\left( {e,i} \right)}}} } \right)}; $ (4) $ {\left( {W_{e} - W_{i} } \right)} \not\leqslant _{{\rm T}} {\left( {W_{{f_{1} {\left( {e,i} \right)}}} - W_{{f_{2} {\left( {e,i} \right)}}} } \right)}{\text{unless}}{\left( {W_{e} - W_{i} } \right)} \leqslant _{{\rm T}} {\emptyset};{\text{and}} $ (5) $ {\left( {W_{e} - W_{i} } \right)} \leqslant _{{\rm T}} {\left( {W_{{g_{1} {\left( {e,i} \right)}}} - W_{{g_{2} {\left( {e,i} \right)}}} } \right)}{\text{unless}}{\left( {W_{e} - W_{i} } \right)} \leqslant _{{\rm T}} {\emptyset}. $ It follows that the splitting theorems of Sacks and Cooper cannot be combined uniformly.     

On Stochastic Integration and Differentiation

In a standard integration scheme for a measurable/integrable modification existence, a certain criterion is suggested. It is also shown, how a stochastic differential can be determined for a given stochastic function.     

Study of an S-I epidemic model with nonlinear incidence rate: Discrete and stochastic version

Discrete and stochastic version of a susceptible-infective model system with nonlinear incidence rate is investigated. We observe that the discrete system converges to a unique equilibrium point for certain effective transmission rate of the disease and beyond which stability of the system is disturbed. Stochastic analysis suggests that the model system is globally asymptotically stable in probability for certain strengths of white noise. Numerical simulations are also performed to validate the results.     

随机泛函微分方程的渐近稳定性

应用多个Liapunov函数讨论了随机泛函微分方程解的渐近行为,建立了确定这种方程解的极限位置的充分条件,并且从这些条件得到了随机泛函微分方程渐近稳定性的有效判据,使实际应用中构造Liapunov函数更为方便．同时也说明了该结果包含了经典的随机泛函微分方程稳定性结果为其特殊情况．最后给出的结果在随机Hopfield神经网络中的应用．     

A Note on the Long Time Asymptotics of the Brownian Motion with Application to the Theory of Quantum Measurement

Estimates of growth of the standard d-dimensional Brownian motion W(t) and its integral V(t) = ^t ₀ W (s) ds are obtained, as t , and an application is discussed to the long time asymptotics of the solutions of the nonlinear stochastic equation of the quantum filtering theory.