A Note on the Mean-Variance Criteria for Discrete Time Financial Markets

It was shown in Xia that for incomplete markets with continuous assets＇ price processes and for complete markets the mean-variance portfolio selection can be viewed as expected utility maximization with non-negative marginal utility. In this paper we show that for discrete time incomplete markets this result is not true.     

关于很弱P-调和映射正则性的一点注记

本文给出了当 p接近 2时非齐次很弱 p-调和映射的一个更好的估计 .在该种情况下证明了 Iwaniec和 Sbordone的猜想 .     

A Note of Regularity on Completely Distributive Lattices

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??In this paper we describe the excursions from a set explicitly for
recurrent Markov chain with discrete time. A new exit system is presented through using a
law conditioned by specifying the starting point and ending point of excursions. In a simple
case, we verify that our conditioned excursion law is a discrete approximation for that of
a diffusion.     

关于离散 Schrodinger谱问题及其方程族的一个注记

对一个离散Schrodinger 谱问题, 给出与其相联系方程族的双 Hamilton 结构.同时构造了该族的一个 Darboux 变换.     

A Note on Regularity Properties with Respect to Ideals

The object of this article is to study the regularity properties of elements of a ring with respect to a given ideal I. As expected, several concepts that are equivalent in the case of I = R turn out to be distinct for a general ideal I and we consider the relations between these properties. In particular, we replace the set of units U(R) of the ring R by the set U _I (R) = {u|uI = Iu = I} and use these “relative units” to obtain generalizations of notions such as stable range and unit-regularity. We also see that on assuming the set of “relative units” to have no zero divisors, we can obtain several interesting results.     

A Note on Bounds for the Supremum Metric for Discrete Random Variables

For positive or negative integer-valued random variables X and Y with finite second moments the inequality sup \documentclass{article}\pagestyle{empty}\begin{document}$ \mathop {\sup }\limits_n |\Pr \{ X \le n\} - \Pr \{ Y \le n\} |\, \le \,|EX - EY| + \frac{1}{2}(EX(EX - 1) + (EY(Y - 1)) $\end{document} is established by elementary manipulation, and shown to be tight. Use of generating functions and an inversion formula yields the larger bound with 1/2 replaced by 2/π.     

Local Lower Bounds on Heat Kernels

We analyze convolution semigroups on a regular measure space which satisfies the local doubling property. We assume the kernels are bounded and symmetric with the characteristic small-time, volume-dependent, singularity. Then, using a weak conservation property, we deduce local lower bounds with a comparable singularity.Applications are given to a wide range of subelliptic and strongly elliptic self-adjoint, or near self-adjoint, operators on Lie groups.     

On Aronson's Upper Bounds for Heat Kernels

Let L be a uniformly elliptic operator in divergence form onR^d, and let p(t,x,y) be the fundamental solution to the heatequation for L. A new proof is given of Aronson's upper bound: 2000 Mathematics Subject Classification35J15, 60J60.     

A Sharp Comparison Result Concerning Schrodinger Heat Kernels

Let G₀ and G be the heat kernels of and –V respectively.Under some sharp conditions on V, a proof is given that G(x,t;y,0)/G₀(x,t;y,0)can be bounded from above and below by two positive constants.This largely improves the well-known bounds G(x,t;y,0)/G₀(x,t;y,0) t (0,T]. The result answers an open question of V. Liskevichand Yu. Semenov, in the case where V 0. A sharp global boundin time is also obtained when V 0. 2000 Mathematics SubjectClassification 35K05.     

Hypoelliptic Heat Kernels on Nilpotent Lie Groups

We study property RD in terms of rapid decay of matrix coefficients. We give new formulations of property RD in terms of a L¹-integrability condition of a Banach representation. Combining this new definition with the existence of cyclic subgroups of exponential growth in non-uniform lattices in semisimple Lie groups, we deduce that there exist matrix coefficients associated to several kinds of quasi-regular representations which satisfy a “non-RD condition” for non-uniform lattices. We obtain also that such coefficients can not satisfy the weak inequality of Harish-Chandra.     

Note on Kernels to some Nonlinear Volterra Integral Equations

This note shows how to find kernels for which the considerednonlinear Volterra equations have only the trivial solution.Moreover, a construction of kernels, for which nontrivial solutionsexist, is presented.     

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.     

圆型堆垒域上具有有限离散核的Leray公式（英文）

在Cn空间中由N个圆型域构成的堆垒域D上，建立了有限离散局部全纯核的Leray积分公式．     

Killed Random Processes and Heat Kernels

Let V(x) ≥ 0 be a given function tending to a constant at infinity. It is well known that the density of the Brownian motion B_t killed at the infinitesimal rate V is a Green's function for the heat operator with such a potential. With an appropriate generalization, its Laplace transform also gives the density of ∫ ₀ ^t V(B_s)ds. We construct such a Green's function via spectral analysis of the classical one-dimensional stationary Schrodinger operator. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 144, No. 2, pp. 423–432, August, 2005. An erratum to this article is available at .     

Time Regularity for Random Walks on Locally Compact Groups

Let G be a compactly generated, locally compact group, and let T be the operator of convolution with a probability measure μ on G. Our main results give sufficient conditions on μ for the operator T to be analytic in L ^p (G), 1 < p < ∞, where analyticity means that one has an estimate of form for all n = 1, 2, ... in L ^p operator norm. Counterexamples show that analyticity may not hold if some of the conditions are not satisfied.