影子价格与影子成本

本文根据线性规划问题对偶变量和影子价格的经济意义,给出了影子成本的概念,讨论了影子成本与对偶价格的关系.通过灵敏度分析给出了影子成本的动态表示,并进一步阐明了影子价格和影子成本的惟一性以及影子成本在经济管理中的应用.     

影子价格及其灵敏度分析

影子价格真实地反映了资源在经济结构中最优决策下对总收益的影响和贡献大小，是实现资源合理配置的重要依据。本首先介绍影子价格的经济意义和计算方法，然后从影响影子价格变化的因素入手对影子价格进行灵敏度分析，最后探讨影子价格在经济管理中的应用。     

关于资源影子价格问题的讨论

本就资源影子价格所存在的问题，重点阐述了我们自己的看法和研究结果。     

影子价格在经济管理中的应用

本文讨论了如何利用影子价格为企业的决策者提供有价值的信息 .     

关于资源影子价格不唯一问题的讨论

本讨论了资源的影子价格不唯一时,对影子价格的应用所产生的影响,及如何判断资源的影子价格是否唯一,如何解决这种不唯一性带来的问题,以避免决策的失误。     

Discrete Time Age Replacement Policies

Age replacement problems were discussed by Barlow and Proschan in 1965 and based on continuous time failure distributions. The aims in this tutorial note are (1) to convert a typical age replacement model to a model in discrete time, and (2) to extend it to a similar model with discounting.     

多种资源灵敏度分析和影子价格的探讨

本在原有的线性规划灵敏度分析和影子价格理论的基础上，讨论了多种资源变化的灵敏度分析中影子价格的调节作用，提出资源最佳数量的LP模型，指出在多种资源变化的情况下，影子价格的应用可以而且应该超越传统的观点，以统筹调配各种资源，追求总的目标函数值达到最优。     

影子价格的价值公度性及资源临界特性

阐述了影子价格的概念,提出影子价格价值公度性的概念,讨论了在实际应用中较容易造成混淆的临界特性,对资源分配问题进行了较细致的分析,有助于最优资源分配方案的决策和最大利润的实现.     

影子价格及其在资源配置中的应用研究

为了应用影子价格实现资源在全社会的最优配置,本文通过线性规划的对偶理论和非线性优化问题的Kuhn-Tucker条件揭示了影子价格的本质,在资源配置优化问题中线性规划模型中的影子价格就是其对偶问题的最优解,非线性规划模型中的影子价格就是与最优解相对应的拉格朗日乘数。根据松紧定理解释了资源影子价格与资源限量之间的关系,还对线性规划模型与非线性规划模型中影子价格的不同表现进行了分析。最后阐明了影子价格在资源配置中的应用。     

有限离散时间金融市场模型

本文希望有助于数学（特别是概率方向的）工作者理解在进入数理金融领域时可能会遇到的概念和问题。为此,我们选取最简单的数学模型－有限离散时间金融市场模型。讨论该模型可以减少数学上的困难,从而注意金融背景,这也是数学工作者比较陌生和更为需要的。     

A Note on Time Regularity for Discrete Time Heat Kernels

We offer a new, simple method of deriving time regularity estimates for discrete time "heat kernels". Our method applies, for example, to suitable Markov chains and to random walks on weighted graphs, and provides Gaussian estimates or L^p off-diagonal estimates for time differences of the iterated kernels.     

Option Replication in Discrete Time with Illiquidity

Abstract

This article studies a replication of a contingent claim in an illiquid market. We represent the liquidity as a supply curve in a discrete time model. Because the trade price of the illiquid asset is a function of the trade size in this model, it is important whether the contingent claim is physically settled or settled in cash. In both cases, we give a condition where a replication strategy exists uniquely and show some properties of the replication strategy. Further we analyse the liquidity cost numerically.     

The Markov Oscillation Problem in Discrete Time

Consider a discrete-time regenerative phenomenon with associatedrenewal sequence u_n. General results for the supremum of u_m+1,..., u_m+n are developed for those renewal sequences {u_n} forwhich the first m + 1 elements match those of a fixed renewalsequence {v_n}, that is, u₀ = v₀, ..., u_m = v_m. A series of associatedlemmas are developed in the process.     

Discrete and Continuous Time Extremes of Gaussian Processes

Joint distribution of maximums of a Gaussian stationary process in continuous time and in uniform grid on the real axis is studied. When the grid is sufficiently sparse, maxima are asymptotically independent. When the grid is sufficiently tight, the maximums asymptotically coincide. In the boundary case which we call Pickands grid, the limit distribution is non-degenerate. It calculated in terms of a Pickands type constant.AMS 2000 Subject Classification. Primary—60G70, Secondary—60G15*Partially supported by the Scientific foundation of the Netherlands, RFFI grant 0401-00700 and grant DFG 436 RUS 113/722.     

Periodic Solutions of a Discrete Time Predator-Prey System

In this paper, we discuss a discrete predator-prey system with a non-monotonic functional response, which models the dynamics of the prey and the predator having non-overlapping generations. By using the coincidence degree theory, sufficient conditions are obtained for the existence of positive periodic solutions.     

线性规划影子价格的求解判断方法探讨

针对线性规划对偶问题最优解不唯一时,在已有文献提出的对偶最优解不唯一的充要条件定理基础上,结合线性规划灵敏度分析,提出影子价格的求解判断的简单准则及其命题,并进行证明.最后,用算例加以分析,指出该判断方法简单易行,也可作为通过计算软件求解影子价格的准确判断方法.     

离散时间状态下基于个体数据的RBNS准备金评估（英文）

本文研究了在离散时间状态下的一类RBNS准备金评估问题.基于个体数据的RBNS准备金是用未知参数的估计来取代RBNS负债的条件期望中的相应的参数得到的.文中与结案延迟有关的参数是用极大似然估计的方法得到的,同时我们也研究了这些估计的渐近性质.RBNS未决负债的条件期望是用WatsonNadaraya估计得到的.同时,本文还研究了由链梯法得到的基于聚合数据的准备金的渐近性质.最后我们通过模拟说明了在有限样本情形下,基于个体数据的准备金与聚合数据下的准备金相比具有更小的MSE.     

离散时间比例再保险模型的破产概率

研究具有相依结构的离散时间比例再保险模型的破产概率.在模型中假设随机利率和索赔间隔时间是相依的.利用更新递归技巧,首先得到了破产概率满足的递归方程.然后,根据该递归方程得到了破产概率的上下界估计.     

Pricing of Claims in Discrete Time with Partial Information

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.