Rasche方法在偏序集上最优集止问题中的应用

本用Ｒａｓｃｈｅ方法对偏序集Ｓ中的点进行了筛选，筛选算法简单明了。设Ｂ（Ｅ）记筛选后的点集，我们证明了１）Ｖ＝ｓｕｐ ＥＸｒ＝ｓｕｐ｛ＥＸτ：τ∈Ｂ（Ｅ）｝；２）若最优停点存在，则必几乎处处取值于Ｂ（Ｅ）中。     

从树型集上最优停止问题到一般偏序集上最优停止问题

本文讨论了树型集上与偏序集上最优停止问题两者间的关系，证明了最优策略与最优控制变量的一一对应关系，从而导出最优策略．可在最优控制变量中取到．     

离散偏序集上的最优停点和最优策略

本文将[1]中定理1的一致有界性条件减弱到A~ 条件并首次得到了偏序集上最优停点和最优策略的充要条件.     

偏序集上的强集及其应用

在偏序集上引入并考察强集,从另一个角度给出偏序集上元素之间一种等价关系——连通关系,并进行探究,进而将偏序集分为连通和非连通两类。此外,在不交并偏序集上给出分支、可分分支、不可分分支等概念,并进一步探讨偏序集上强集、非连通偏序集、不交并偏序集之间的关系。     

概率最优停止问题

本文在时齐马氏序列中引入了概率最优停时和(ε,B)概率最优停时的概念,得到了其显式表达式,从而在某种程度上弥补了期望最优时的不足.同时,本文研究了两种停止问题的关系,指出期望最优停时也是概率最优停时的特例,并证明了集合首达时也是一种概率最优时,进一步给出了首达时为有限的等价条件.     

有限时区上的最优转换和停止问题

讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.     

有限时区上的最优转换和停止问题

讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.     

偏序集代数的同构问题

在[1]中对局部有限偏序集I={I,≤}及域K引入了关联代数KI的概念.这里的“局部有限”是指对任意a,b∈I,a≤b,集合{x∈I|a≤x≤b}.是有限集.KI的定义是:其元素是域K上以I中元素为行与列的足码的形式矩阵(кa,b)a,b∈I,(即允许有无限多个ka,b≠0)且满足条件:当a≮b时有ka,b=0.注意到I的局部有限性,易知上述形式矩阵的全体关于通常矩阵的加法和乘法以及数乘作成域K上的一个结合代数,称之为I在K上的关联代数KI。     

模糊偏序集上的扩张定理

借助于模糊Galois联络,在模糊偏序集上定义了完备扩张,并建立了模糊dcop和完备扩张之间的等价关系。此外,还定义了连续扩张,并得到模糊domain和连续扩张的等价刻画定理。     

偏序集上的Mobius反演公式

偏序集上的Ｍｏｂｉｕｓ反演公式万哲先（中国科学院）编者按万哲先院士的这篇文章深人浅出地介绍了著名的Ｍｏｂｉｕｓ（莫比乌斯）函数与反演公式在偏序集上的推广及其应用，内容虽然涉及某些近代数学内容，但文中都交代得很清楚，相信大多数细心的读者都能看懂，并从中...     

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.     

A Capped Optimal Stopping Problem for the Maximum Process

This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Lévy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem (Gapeev in J. Appl. Probab. 44:713–731, 2007; Guo and Shepp in J. Appl. Probab. 38:647–658, 2001; Pedersen in J. Appl. Probab. 37:972–983, 2000), which has its origins in mathematical finance, and provide semi-explicit solutions in terms of scale functions. The optimal stopping boundary is characterised by an ordinary first-order differential equation involving scale functions and, in particular, changes according to the path variation of X. Furthermore, we will link these capped problems to Peskir’s maximality principle (Peskir in Ann. Probab. 26:1614–1640, 1998).     

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.     

Optimal Stopping Problem with a Vector-Valued Reward Function

In this note, using the well-known method of scalarization, we give an explicit characterization of the Pareto optimal stopping time for a vector-valued optimal stopping problem with only two reward functions. The present problem is a natural generalization of the classical McDonald-Siegel optimal stopping problem.     

The Convergence Rate from Discrete to Continuous Optimal Investment Stopping Problem

The author studies the optimal investment stopping problem in both continuous and discrete cases, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal wealth.Based on the work of Hu et al. (2018) with an additional stochastic payoff function,the author characterizes the value function for the continuous problem via the theory of quadratic reflected backward stochastic differential equations (BSDEs for short) with unbounded terminal condition. In regard to the discrete problem, she gets the discretization form composed of piecewise quadratic BSDEs recursively under Markovian framework and the assumption of bounded obstacle, and provides some useful a priori estimates about the solutions with the help of an auxiliary forward-backward SDE system and Malliavin calculus. Finally, she obtains the uniform convergence and relevant rate from discretely to continuously quadratic reflected BSDE, which arise from corresponding optimal investment stopping problem through above characterization.     

一类带停时的最优控制策略研究

利用随机分析的知识及最优控制理论,讨论了一类带停时随机控制的折扣费用模型,将原模型中费用结构中的R-S积分的被积函数同上1推广为满足某些条件的一般函数,推广后的模型更具一般性.针对不同参数,证明了最佳控制的存在性,并刻划了不同初始状态下,最优控制策略的结构及最佳费用函数的形式.