转移概率最优可测耦合的存在性

转移概率最优可测耦合的存在性是耦合理论中的基本问题之一,本文运用随机线性规划和s空间中的技巧,在较一般的条件下,给出转移概率最优可测耦合存在性的构造性证明.     

最优可测耦合的存在性与Markov过程的遍历性

证明了一般完备可分距离可测空间上两个概率核最优可测耦合总是存在的 .据此得到了Markov过程的一个一般性遍历性定理 ,作为它的直接结果 ,对先前的粒子系统平稳分布的唯一性定理的结果作了补充 ,指出该定理同时蕴涵平稳分布的存在性 .     

转移概率的可测耦合与概率距离

本文利用线性规划的思想证明了定理１．１，然后改进了所谓的Ｄｏｂｒｕｓｈｉｎ－Ｓｈｏｓｍａｎ唯一性定理的证明．     

转移下半连续函数的极大极小原理及其应用

本文引入了转移下半连续的概念并在转移下半连续的条件下推了ＫｙＦａｎ极大极小原理。应用这一结果，证明了截口定理，不动点定理和函数不等式组解的存在性定理。     

跳过程ρ最优耦合算子的存在性

本文在适当的条件下，证明了一般状态跳过程ρ最优耦合算子的存在性．     

非紧H-空间中的极大元存在定理及其应用

本文在一类非紧Ｈ－空间中建立了新的极大元存在定理。作为应用,我们研究了变分不等式和ＫｙＦａｎ型极大极小不等式解的存在性。     

函数的逼近及其在下半连续函数可微性中的应用

通过函数的下卷积函数列的逼近方法,在变分原理中从扰动最小值点集的“大小”入手,研究了下半连续函数的可微性。     

跳过程$\rho$最优耦合算子的存在

本文在适当的条件下,证明了一般?/title>     

下半连续函数的逼近性质

讨 论了下半连续的 广义实值函数 通过 Ｌｉｐ ｓｃｈ ｉｔｚ 函数逼近 的基本性 质,并由 此导出了 实值函数的广义连 续性定理     

关于半连续函数与凸函数的注记

在半连续前提下,给出凸函数和严格凸函数的不等式刻划．指出非空凸集上的半连续函数满足中间点凸性时,成为凸函数,满足中间点严格凸性时,成为严格凸函数．最后定义F—G广义凸函数和条件p1,p2等概念,列举若干满足条件p1,p2的数量函数和向量函数,并指出,对于F—G广义凸函数,在条件p1,p2及一定连续性条件下,可以得到类似结果．     

Existence and Application of Optimal Markovian Coupling with Respect to Non-Negative Lower Semi-Continuous Functions

Abstract In this paper, for two given transition probabilities, the existence of the optimal Markovian coupling with respect to a non-negative lower semi-continuous function is proved. As an application of this result, the well-known Strassen's theorem is generalized. Moreover, it is proved that the existence of an order-preserving Markovian coupling of two given jump processes is equivalent to their stochastical comparability. Research supported in part by DPFIHE (Grant No. 96002704) and NNSFC (Grant No. 19771008)     

On The Existence Of A Measurable Optimal Coupling Of Probability Kernels

In this paper, an existence theorem for a measurable optimal coupling of probability kernels on a σ-compact complete separable metric measurable space is obtained     

实值非负函数关于集值序增函数的集值Riemann-Stieltjes积分

本文首先建立了实值非负函数关于集值序增函数的集值Riemann-Stieltjes积分,并讨论了集值Riemann-Stieltjes积分的性质,给出了集值Riemann-Stieltjes可积的充要条件,最后引入了集值Riemann-Stieltjes随机积分．     

二维扩散过程保序耦合的存在性

本文研究扩散过程轨道的保序时,对二维非退化扩散过程,我们证明其保序耦合存在,同时构造出一类保序算子。     

A General Optimal Multiple Stopping Problem with an Application to Swing Options

In their paper, Carmona and Touzi [8 Carmona, R., and Touzi, N. 2008. Optimal multiple stopping and valuation of swing options. Mathematical Finance 18(2):239–268.[Crossref], [Web of Science ®] , [Google Scholar]] studied an optimal multiple stopping time problem in a market where the price process is continuous. In this article, we generalize their results when the price process is allowed to jump. Also, we generalize the problem associated to the valuation of swing options to the context of jump diffusion processes. We relate our problem to a sequence of ordinary stopping time problems. We characterize the value function of each ordinary stopping time problem as the unique viscosity solution of the associated Hamilton–Jacobi–Bellman variational inequality.     

Existence of the optimal measurable coupling and ergodicity for Markov processes

The existence theorem of the optimal measurable coupling of two probability kernels on a complete separable metric measurable space is proved. Then by this theorem, a general ergodicity theorem for Markov processes is obtained. And as an immediate application to particle systems the uniqueness theorem of the stationary distribution is supplemented, i.e. the uniqueness theorem also implies the existence of the stationary distribution.     

中立型无限时滞带跳随机泛函微分方程解的存在唯一性

本文首先在Lipschiz条件和线性增长条件下,通过Picard迭代法研究了带跳的无限时滞中立型随机微分方程解的存在唯一性,接着对这这类方程的Picard迭代解与精确解的误差进行估计,最后讨论了解的矩估计。     

Stochastic Integration of Operator-Valued Functions with Respect to Banach Space-Valued Brownian Motion

Let E be a real Banach space with property (α) and let W _Γ be an E-valued Brownian motion with distribution Γ. We show that a function is stochastically integrable with respect to W _Γ if and only if Γ-almost all orbits Ψx are stochastically integrable with respect to a real Brownian motion. This result is derived from an abstract result on existence of Γ-measurable linear extensions of γ-radonifying operators with values in spaces of γ-radonifying operators. As an application we obtain a necessary and sufficient condition for solvability of stochastic evolution equations driven by an E-valued Brownian motion. The first named author gratefully acknowledges the support by a ‘VIDI subsidie’ in the ‘Vernieuwingsimpuls’ programme of The Netherlands Organization for Scientific Research (NWO) and the Research Training Network HPRN-CT-2002–00281. The second named author was supported by grants from the Volkswagenstiftung (I/78593) and the Deutsche Forschungsgemeinschaft (We 2847/1–1).