两类随机控制风险秩序的等价性分析

本文首先对比分析了两类风险秩序:随机控制秩序与对偶随机控制秩序.得到并证明了下述命题:(1)效用自由秩序等价于随机控制秩序;(2)畸变自由秩序等价于对偶随机控制秩序;(3)第一、第二阶随机控制秩序等价于第一、第二阶的对偶随机控制秩序,但对高于三阶的情况由实例说明不一定成立.     

停止损失限额变换与保险风险比较(英文)

本文讨论了停止损失限额次序、凸次序、随机控制之间的关系,建立了风险集合与停止损失限额变换集合之间的一一对应．应用停止损失限额变换的性质证明了停止损失限额分离定理,并修正了ＡｌｆｒｅｄＭｕｌｌｅｒ在此定理证明中的一个错误．     

Symmetric random walk in random environment in one dimension

We give a new proof of the central limit theorem for one dimensional symmetric random walk in random environment. The proof is quite elementary and natural. We show the convergence of the generators and from this we conclude the convergence of the process. We also investigate the hydrodynamic limit (HDL) of one dimensional symmetric simple exclusion in random environment and prove stochastic convergence of the scaled density field. The macroscopic behaviour of this field is given by a linear heat equation. The diffusion coefficient is the same as that of the corresponding random walk. This revised version was published online in June 2006 with corrections to the Cover Date.     

Modeling Stochastic Dominance as Infinite-Dimensional Constraint Systems via the Strassen Theorem

We use the Strassen theorem to solve stochastic optimization problems with stochastic dominance constraints. First, we show that a dominance-constrained problem on general probability spaces can be expressed as an infinite-dimensional optimization problem with a convenient representation of the dominance constraints provided by the Strassen theorem. This result generalizes earlier work which was limited to finite probability spaces. Second, we derive optimality conditions and a duality theory to gain insight into this optimization problem. Finally, we present a computational scheme for constructing finite approximations along with a convergence rate analysis on the approximation quality.     

Selections and topological convexity

A simple natural proof of van de Vel's selection theorem for topological convex structures is given. The technique developed to achieve this proof allows to give also a direct simple proof of the classical Michael's selection theorem in Fréchet spaces, and the Horvath's selection theorem in metric l.c.-spaces.     

Differential Inequalities Applied to The Stochastic Birth and Death Process

We describe an approach to a countably infinite system of ordinary differential equations belonging to the theory of the stochastic birth and death process. The main novelty in our method is the systematic use of a classical theorem on sub- and supersolutions for finite linear systems of the form y '( t ) = Ay ( t ). It leads in a simple way to the minimal solution and some of its properties. For convenience a proof of the theorem is given at the end.     

关于Atiyah-Singer指标定理的随机方法证明

运用随机分析中的广义Wiener泛函给出Atiyah-Singer指标定理的新的随机方法的证明, 这一证明在形式上是比较自然简单的. 广义Wiener泛函由Watanabe (1989, 1990) 建立和运用.     

Random unfriendly seating arrangement in a dining table

A detailed study is made of the number of occupied seats in an unfriendly seating scheme with two rows of seats. An unusual identity is derived for the probability generating function, which is itself an asymptotic expansion. The identity implies particularly a local limit theorem with optimal convergence rate. Our approach relies on the resolution of Riccati equations. We also clarify some simple yet delicate stochastic dominance relations.     

关于''抽象的极小极大定理''的注记

本文指出林壮鹏2000年发表的一个抽象的极大极小定理一文中主要结果的证明需要修正,然后改进了该文的结果,同时给出了一个简单的证明。     

On the realization of symmetries in quantum mechanics

The aim of this paper is to give a simple, geometric proof of Wigner’s theorem on the realization of symmetries in quantum mechanics that clarifies its relation to projective geometry. Although several proofs exist already, it seems that the relevance of Wigner’s theorem is not fully appreciated in general. It is Wigner’s theorem which allows the use of linear realizations of symmetries and therefore guarantees that, in the end, quantum theory stays a linear theory. In the present paper, we take a strictly geometrical point of view in order to prove this theorem. It becomes apparent that Wigner’s theorem is nothing else but a corollary of the fundamental theorem of projective geometry. In this sense, the proof presented here is simple, transparent and therefore accessible even to elementary treatments in quantum mechanics.     

On the realization of symmetries in quantum mechanics

The aim of this paper is to give a simple, geometric proof of Wigner’s theorem on the realization of symmetries in quantum mechanics that clarifies its relation to projective geometry. Although several proofs exist already, it seems that the relevance of Wigner’s theorem is not fully appreciated in general. It is Wigner’s theorem which allows the use of linear realizations of symmetries and therefore guarantees that, in the end, quantum theory stays a linear theory. In the present paper, we take a strictly geometrical point of view in order to prove this theorem. It becomes apparent that Wigner’s theorem is nothing else but a corollary of the fundamental theorem of projective geometry. In this sense, the proof presented here is simple, transparent and therefore accessible even to elementary treatments in quantum mechanics.     

Crossing points of distributions and a theorem that relates them to second order stochastic dominance

We state formal definitions for crossing points in pairs of distributions and give a detailed proof of a theorem that relates those points to the second order stochastic dominance (SSD). The theorem states that the fulfillment of the area balance conditions for SSD at the t values that correspond to crossing points, and at the limit t→∞, is a necessary and sufficient condition for its fulfillment at all t: {−∞<t<∞}, as required for the existence of SSD. We provide examples for the application of the theorem in the case of continuous distributions, including a continuous counter example to prove that the Mean-Variance criterion is not sufficient to state preferences under risk aversion.     

Some comments on a theorem of Hardy and Littlewood

In this note, we reconstruct a proof of a classical result due to Hardy and Littlewood. While this result has played an important role in the modern theories of Markov decision processes and stochastic games, it is not that easy to find its proof in the literature in the format in which it has been applied. Furthermore, we supply either examples or complete citations for the other related cases which are not covered by the Hardy-Littlewood theorem.     

服务系统中位相型分布的随机比较

本文运用应用概率中的随机占优研究位相型(PH)分布的随机比较问题,具体给出在一阶、二阶随机占优下比较两个离散PH分布或两个连续PH分布的充分条件及充分必要条件。研究表明,比较两个离散PH分布可变性的条件与比较两个连续PH分布可变性的条件不同,在二阶随机占优意义下比较两个连续PH分布的条件与均值无关,而比较两个离散PH分布的条件与均值有关。本文的结果可用于研究PH分布的最小变异系数问题和可变性问题,也可用于研究带有PH到达间隔或PH服务的排队系统中到达过程或服务时间可变性对系统队长或等待时间的影响。     

Measures of noncompactness and fixed points of random operators

The existence of random solutions is established for a class of random Volterra integral inclusions in which the orientor field has a stochastic domain. The proof is based on a stochastic analog of the Tietze extension theorem and on a deterministic existence result which are established as well in the paper. In particular the deterministic existence theorem is stated and proved for nonconvex orientor fields     

多维函数形式的单调类定理

推广了最常用的一个一维函数形式的单调类定理,获得了多维函数形式的单调类定理, 并将其用于向量随机积分,使得相关问题的证明更简洁,思路更清晰.     

De Rham decomposition of affinely connected manifolds

This article contains an extension of the de Rham decomposition theorem to affinely connected manifolds which may have torsion. Our proof is based on a geometric homotopy lemma, which allows a simple and comparatively short proof of this result by means of the Cartan-Ambrose-Hicks theorem.     

From Tanaka's formula to Ito's formula: The fundamental theorem of stochastic calculus

In this article we give a new proof of Ito's formula inR ⁿ starting from the one-dimensional Tanaka formula. The proof is algebraic and does not use any limiting procedure. It uses the integration by parts formula, Fubini's theorem for stochastic integrals and essential properties of local times.     

El Karoui的半鞅上穿定理的简单证明

El Karoui在[1]及[2]中给出了半鞅局部时的上穿刻划,这部分地推广了有关Brown运动的Lévy下穿定理。本文用随机积分的控制收效定理直接推出了这一结果,从而大大简化了原证明。     

Hard Lefschetz theorem for simple polytopes

McMullen’s proof of the Hard Lefschetz Theorem for simple polytopes is studied, and a new proof of this theorem that uses conewise polynomial functions on a simplicial fan is provided.