正倒向随机微分方程解的比较定理

讨论了正倒向随机微分方程解的比较问题.阐述了正倒向随机微分方程在随机最优控制、现代金融理论中的广泛而深刻的应用, 对于一类正倒向随机微分方程, 利用Ito公式、停时等随机分析方法,通过构造辅助正倒向随机微分方程,得到了正倒向随机微分方程解的比较定理.     

基于超前倒向随机微分方程的动态风险度量

本文研究了基于超前倒向随机微分方程的时间相容的过程的动态凸(一致性)风险度量的问题.利用对超前倒向随机微分方程生成元的适当假设,建立超前倒向随机微分方程生成元与过程的动态凸(一致性)风险度量的对应模型,证明了超前倒向随机微分方程的解可以定义时间相容的过程的风险度量.得到了基于超前倒向随机微分方程的风险度量,推广了基于倒向随机微分方程的动态风险度量.由于超前倒向随机微分方程生成元中包含当前时刻和未来时刻的解,因此本文的结论对风险的预测更加可靠.     

正倒向随机微分方程的适应解及其比较定理(英文)

研究了一类正倒向随机微分方程的适应解 ,其中正向方程不需要满足非退化条件 .我们证明了在某些单调条件下 ,正倒向随机微分方程存在唯一的适应解 ,并给出了该正倒向随机微分方程的比较定理 .     

正倒向随机微分方程的适应解及其比较定理

研究了一类正倒向随机微分方程的适应解，其中正向方程不需要满足非退化条件，我们证明了在某些单调条件下，正倒向随机微分方程存在唯一的适应解，并给出了该正倒向随机微分方程的比较定理。     

利率均值回复模型下标的资产期权定价

在利率均值回复金融市场中 ,给出了财富贴现过程的随机微分方程 ;证明了与之联系的倒向随机微分方程解的存在唯一性 .最后 ,从倒向随机微分方程的解出发 ,得到了欧式期权定价的条件期望定价公式 .     

随机游走和离散的倒向随机微分方程

本文研究了随机游走和离散的倒向随机微分方程。把随机游走到布朗运动的收敛推广到L^2情形；而且根据倒向随机微分方程的理论框架研究了离散的倒向随机微分方程，得到了离散的倒向随机微分方程解的存在唯一性和比较定理，这实际上给出了倒向随机微分方程的一种离散方法，为理论和实际研究提供了方便。     

非Lipschitz条件下的包含下微分算子的带跳倒向随机微分方程(英文)

本文在非Lipschitz系数下,考虑了一类多值的倒向随机微分方程.利用极大单调算子的Yosida估计和倒向随机微分方程在非Lipschitz条件下解的存在唯一性,获得了多值带跳的倒向随机微分方存在唯一解的结论.     

倒向随机Volterra积分方程适应解的表示

倒向随机Volterra积分方程可以看作(确定性)Volterra积分方程和倒向随机微分方程的推广,在随机最优控制理论和数学金融学中有诸多应用.本文利用正倒向随机微分方程适应解表示的思想,得到所研究的一类倒向随机Volterra积分方程适应解的表示.这样的结果对研究适应解的正则性以及数值计算有重要的意义.     

带吸收系数的正倒向随机微分方程的可解性

利用叠代估计方法研究带吸收系数的正倒向随机微分方程的可解性,在正向随机微分方程的扩散系数可以退化的情形下,证明了适应解的存在性和唯-性,也研究这类正倒向随机微分方程与偏微分方程的联系.     

终端时为停时的正倒向随机微分方程的解

在这篇文章中,我们证明了正倒向随机微分方程的解的存在性和唯一性,其中,倒向随机微分方程的终端时为一有限的停时。     

Border bases and kernels of homomorphisms and of derivations

Border bases are an alternative to Gröbner bases. The former have several more desirable properties. In this paper some constructions and operations on border bases are presented. Namely; the case of a restriction of an ideal to a polynomial ring (in a smaller number of variables), the case of the intersection of two ideals, and the case of the kernel of a homomorphism of polynomial rings. These constructions are applied to the ideal of relations and to factorizable derivations.     

Extension and Lifting of Operators and Polynomials

We study the problem of extension and lifting of operators belonging to certain operator ideals, as well as that of their associated polynomials and holomorphic functions. Our results provide a characterization of ${\mathcal{L}_1}$ and ${\mathcal{L}_\infty}$ -spaces that includes and extends those of Lindenstrauss-Rosenthal [32] using compact operators and González-Gutiérrez [23] using compact polynomials. We display several examples to show the difference between extending and lifting compact (resp. weakly compact, unconditionally convergent, separable and Rosenthal) operators to operators of the same type. Finally, we show the previous results in a homological perspective, which helps the interested reader to understand the motivations and nature of the results presented.     

On some results of Strichartz and of Rallis and Schiffman

Let (i, H, E) and (j, K, F) be abstract Wiener spaces and let α be a reasonable norm on E ? F. We are interested in the following problem: is ($\text{i ? j, H}\text{}\text{?}\text{bo}{}_2\text{K, E}\text{}\text{?}\text{bo}{}_{\mathrm{\alpha F}}$) an abstract Wiener space ? The first thing we do is to prove that the setting of the problem is meaningfull: namely, i ? j is always a continuous one to one map from $\text{H}\text{}\text{?}\text{bo}{}_2\text{K}$ into $\text{E}\text{}\text{?}\text{bo}{}_{\mathrm{\alpha }}\text{F}$. Then we exhibit an example which shows that the answer cannot be positive in full generality. Finally we prove that if F=L^p(X,$\text{X}$,λ) for some σ-finite measure λ ? 0 then $\text{(i?j, H}\text{?}{}_2\text{K,L}{}^{\mathrm{p}}$(X,$\text{X}$,λ) is an abstract Wiener space. By-products are some new results on γ-radonifying operators, and new examples of Banach spaces and cross norms for which the answer is affirmative (in particular α = π the projective norm, and F=L¹(X,$\text{X}$,λ)).     

Shellability and homology of q-complexes and q-matroids

Journal of Algebraic Combinatorics - We consider a q-analogue of abstract simplicial complexes, called q-complexes, and discuss the notion of shellability for such complexes. It is shown that...     

Crossings and nestings of matchings and partitions

We present results on the enumeration of crossings and nestings for matchings and set partitions. Using a bijection between partitions and vacillating tableaux, we show that if we fix the sets of minimal block elements and maximal block elements, the crossing number and the nesting number of partitions have a symmetric joint distribution. It follows that the crossing numbers and the nesting numbers are distributed symmetrically over all partitions of , as well as over all matchings on . As a corollary, the number of -noncrossing partitions is equal to the number of -nonnesting partitions. The same is also true for matchings. An application is given to the enumeration of matchings with no -crossing (or with no -nesting).