On convergence of a sequence in complete metric spaces and its applications to some iterates of quasi-nonexpansive mappings

The purpose of this paper is to establish some theorems on convergence of a sequence in complete metric spaces. As applications, some results of Ghosh and Debnath [J. Math. Anal. Appl. 207 (1997) 96-103], Kirk [Ann. Univ. Mariae Curie-Sk?odowska Sect. A LI.2, 15 (1997) 167-178] and Petryshyn and Williamson [J. Math. Anal. Appl. 43 (1973) 459-497] are obtained from our results as special cases. Also, we give comments on some results in [J. Math. Anal. Appl. 207 (1997) 96-103, J. Math. Anal. Appl. 43 (1973) 459-497]. Some examples are introduced to support our comments.     

Optimal investment and risk control for an insurer under inside information

This paper is devoted to the study of the optimal investment and risk control strategy for an insurer who has some inside information on the financial market and the insurance business. The insurer’s risk process and the risky asset process in the financial market are assumed to be very general jump diffusion processes. The two processes are supposed to be correlated. Under the criterion of logarithmic utility maximization of the terminal wealth, we solve our problem by using forward integral approach. Some interesting particular cases are studied in which the explicit expressions of the optimal strategy are derived by using enlargement of filtration techniques.     

Epidifferentiability of the map of infima in Hilbert spaces

This article deals with derivatives for set-valued maps that take values in ordered vector spaces, in particular it concerns about the relationship between the epiderivatives of a set-valued map and its associated map of infima. When the image space is a real separable Hilbert space ordered by an orthonormal basis, by using a variational technique based on a decoupling of the ordering cone into half-spaces, we show that both epiderivatives coincide under certain hypothesis of compactness and stability. Furthermore we obtain some computation formulas for these derivatives in terms of associated scalar set-valued maps.     

统计方法在证券信息分析中的应用

翁小清，甄增荣．统计方法在证券信息分析中的应用．数理统计与管理，１９９７，１６（４），１９～２４．本文将中位数、配对ｔ检验、方差分析等统计方法应用于证券信息的定量分析中，为证券投资提供了可靠的依据     

Filtering and Control with Information Increasing

In this paper, we consider a filtering problem where the observation filtration is enlarged with a future information. In the linear case, we obtain the filter equations and study the associated linear regulator problem.     

Utility maximization under risk constraints and incomplete information for a market with a change point

In this article, we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market consists of one asset whose price process is modelled by a Geometric Brownian motion where the market parameters change at a random time. The information flow is modelled by initially and progressively enlarged filtrations which represent the knowledge about the price process, the Brownian motion and the random time. We solve the maximization problem and give the optimal terminal wealth depending on these different filtrations for general utility functions by using martingale representation results for the corresponding filtration.     

The Uniqueness of Inverse Problem for the Dirac Operators with Partial Information

The inverse spectral problem for the Dirac operators defined on the interval[0, π] with self-adjoint separated boundary conditions is considered. Some uniqueness results are obtained, which imply that the pair of potentials(p(x), r(x)) and a boundary condition are uniquely determined even if only partial information is given on(p(x), r(x))together with partial information on the spectral data, consisting of either one full spectrum and a subset of norming constants, or a subset of pairs of eigenvalues and the corresponding norming constants. Moreover, the authors are also concerned with the situation where both p(x) and r(x) are C n-smoothness at some given point.     

带耗散的一阶非线性偏微分方程组的Cauchy问题

本文采用整体迭代法证明了带小初值的一阶非线性耗散偏微分方程组的Cauchy问题的整体经典解的存在性及指数衰减性质。     

一类非线性抛物型方程解的稳定性与唯一性

本文运用能量积分的方法，研究了一类非线性抛物型方程的解关于自由项与初始条件的稳定性与唯一性。     

部分信息下一类一主多从激励策略

本文研究在部分信息下,一主多从且从者之间非合作的激励问题,给出了寻找主者的激励策略的一般方法;并对线性二次情形提出了仿射型激励策略所应满足的充分条件.     

Potentials Kernels Associated with a Filtration and Forward- Backward SDEs

In this paper, we study some operators associated with a filtration. We prove that these operators are Markov potential kernels closing a sub-Markov resolvent, using the method of continuation inspired by the study of forward-backward stochastic differential equations.     

一阶拟线性偏微分方程Cauchy问题的整体光滑解

本文应用整体隐函数存在定理研究了一阶拟线性偏微分方程及主部相同的方程组的整体光滑解问题。     

The Improved Modified Decomposition Method for the Treatment of Systems of Singular Nonlinear Partial Differential Equations with Initial Conditions

New developed inverse differential operators incorporated into the semi- analytical treatment of the modified decomposition method （MDM） are used to solve the systems of first and second-order singular nonlinear partial differential equations （PDEs） with initial conditions arising in physics. The new proposed method is called the improved modified decomposition method （IMDM）, and is used to the treatment of a few case study initial-value problems. The results obtained by the IMDM are in full agreement with the existing exact analytical solutions.     

关于多指标变量的Marcinkiewicz大数律和完全收敛性

该文讨论了两两NQD多指标随机变量序列X_k-∈N^d(d≥2)的Marcinkiewicz型弱大数律和强大数律,同时得到了一个关于多指标变量部分和完全收敛的充要条件。     

客观赋权法指导下的部分权重信息多属性决策方法研究

提出了一种客观赋权法指导下的部分权重信息的多属性决策方法 ,该方法将决策者主观给出的部分权重信息和客观实际相结合 ,既充分利用了客观信息 ,又以最小偏差的形式尽可能满足决策者的主观愿望 ,达到两者的统一 .最后通过具体的应用实例验证了该模型的可行性 .     

Integro-local and integral theorems for sums of random variables with semiexponential distributions

We obtain some integro-local and integral limit theorems for the sums S(n) = ξ(1) + ? + ξ(n) of independent random variables with general semiexponential distribution (i.e., a distribution whose right tail has the form $P(\xi \ge t) = e^{ - t^\beta L(t)} $ , where β ∈ (0, 1) and L(t) is a slowly varying function with some smoothness properties). These theorems describe the asymptotic behavior as x → ∞ of the probabilities P(S(n) ∈ [x, x + Δ)) and P(S(n) ≥ x) in the zone of normal deviations and all zones of large deviations of x: in the Cramér and intermediate zones, and also in the “extreme” zone where the distribution of S(n) is approximated by that of the maximal summand.     

Anticipative portfolio optimization under constraints and a higher interest rate for borrowing

We study a stochastic control problem to maximize expected utility from terminal and/or consumption. The novel feature of our work is that the portfolio is allowed to anticipate the future with constraints and a higher interest rate for borrowing. The investor possesses information about the terminal values of the components of the Brownian motion, possibly distorted by ‘noise’. We use the technique from the so-called enlargement of filtrations, to model our problem. General existence results are established for optimal portfolio and consumption strategies. Equivalent conditions for optimality are obtained, and explicit solutions leading to feedback formulae are derived for special utility functions and for deterministic coefficients.     

有关记录次数的计数过程的矩精确完全收敛

给出了一个关于i.i.d.绝对连续随机变量列的记录次数的计数过程的矩精确完全收敛性的一般化定理.     

A Liouville-Type Theorem for Strongly Subharmonic Functions on Complete Non-compact Riemannian Manifolds and Some Applications

We prove that if Mis a complete non-compact Riemannian manifold and ₁(M)=0, then any C ²solution of uk> 0 is unbounded. We apply this result to obtain an estimate for the size of the image set of some types of maps between Riemannian manifolds.