负二项分布类的条件概率封闭性

在研究只允许部分服务台进入休假状态的多服务台M／M／c排队系统时，我们发现了条件Erlang分布的一些有趣的性质，进一步研究我们发现相对应离散随机状态的负二项分布也具有很好的性质（概率封闭性．本文证明了一类负二项分布的概率封闭性．它们对导出复杂排队系统中离散状态下顾客等待时问分布及保险公司中破产概率上界的计算起着重要作用．     

正定矩阵Hadamard乘积的Schur补逆的偏序的等式条件

我们给出了正定矩阵 A与 B的 Hadamard乘积 A B的偏序 ( A B) - 1 ≤A- 1 B- 1 的等式成立的充要条件 ,从而得到了由王伯英和 Markham给出的正定矩阵 Hadamard乘积的 Schur补的逆的偏序的等式的条件     

次正定Hermite矩阵次Schur补的性质

本文研究了次正定Hermite矩阵次Schur补的偏序,并利用这些偏序,得到了次正定Hermite矩阵的一些行列式不等式.     

正定矩阵的Khatri-Rao乘积的块Schur补的逆的一些偏序

给出了分块矩阵的块Schur补的定义，得到一些正定矩阵的Khatri-Rao乘积的块Schur补的逆的偏序,推广了正定矩阵的Hadamare乘积的相应结果。     

四元数矩阵的极分解及其GL偏序

本文给出了四元数矩阵的唯一极分解定理和两个四元数矩阵可同时极分解的两种刻画；进而引进了四元数矩阵的GL偏序的概念，它是重要的Lǒwner偏序的一般化，并得到这个新偏序的6种刻画．     

次亚正定矩阵的次Lōwner偏序

本文研究了次亚正定矩阵子阵的次Lōwner偏序，利用次Lōwner偏序，获得了几个用低阶矩阵的次亚正定性判别高阶矩阵次亚正定性的充要条件．     

关于半正定性与偏序关系的两个问题

在讨论参数估计的容许性问题时，我们常常要考虑矩阵的偏序关系．即设A，B均为n阶对称矩阵．著A-B是非负定阵，则称A大于等于B，记作A≥B，记号A≥0表示A为半正定阵．由矩阵不等式可导出根多数值不等式，如文[1]中有如下众所周知的结论：     

亚正定矩阵的Bergstrom型不等式

首先证明亚正定矩阵的一个偏序,利用该偏序得到了亚正定矩阵的一些Bergstrom型不等式,推广了近期关于亚正定矩阵行列式不等式的一些结果.     

条件概率与归纳推理

条件概率是概率论中的一个重要概念,它在理解我们如何进行归纳推理和主观概率的形成时起着重要的作用.本文主要讨论条件概率与人们的这些行为的关联.     

随机环境中多维分枝链的增长率及灭绝概率

本文在随机环境中马氏链的框架下研究随机环境中多维分枝链(简记MBCRE)的极限性质,获得了MBCRE的母函数的一些性质,利用这些性质和随机矩阵乘积的弱收敛性证明了MBCRE中的条件均方收敛性与a．s．收敛性以及灭绝概率的估算等．这些结果是对Athrey与Karlin(1972)和Cohn(1989)的极限定理的推广．     

Optimal information acquisition for a linear quadratic control problem

This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally. In real life information is costly to acquire. It is therefore a trade off between the costs of getting detailed information and the increased value this information gives. We believe that the technique we present should have potential for application within both economics and engineering.     

Numerical Procedures in Multiobjective Optimization with Variable Ordering Structures

Multiobjective optimization problems with a variable ordering structure, instead of a partial ordering, have recently gained interest due to several applications. In the previous years, a basic theory has been developed for such problems. The binary relations of a variable ordering structure are defined by a cone-valued map that associates, with each element of the linear space ? ^m , a pointed convex cone of dominated or preferred directions. The difficulty in the study of the variable ordering structures arises from the fact that the binary relations are in general not transitive. In this paper, we propose numerical approaches for solving such optimization problems. For continuous problems a method is presented using scalarization functionals, which allows the determination of an approximation of the infinite optimal solution set. For discrete problems the Jahn–Graef–Younes method, known from multiobjective optimization with a partial ordering, is adapted to allow the determination of all optimal elements with a reduced effort compared to a pairwise comparison.     

Characterization of properly optimal elements with variable ordering structures

In vector optimization with a variable ordering structure, the partial ordering defined by a convex cone is replaced by a whole family of convex cones, one associated with each element of the space. In recent publications, it was started to develop a comprehensive theory for these vector optimization problems. Thereby, also notions of proper efficiency were generalized to variable ordering structures. In this paper, we study the relation between several types of proper optimality. We give scalarization results based on new functionals defined by elements from the dual cones which allow complete characterizations also in the nonconvex case.     

部分信息情形下利率非零时的最优消费投资模型研究

考虑了部分信息情形下市场利率非零时的最优消费投资模型,讨论了相应的最优消费投资策略.最后探讨了当扩散系数可逆且漂移系数服从已知分布时的贝叶斯特例,给出了最优交易策略的明确表达式.     

Properties of positive solutions to a class of four-point boundary value problem of Caputo fractional differential equations with a parameter

In this paper, by using fixed point theorems of concave operators in partial ordering Banach spaces, we establish the existence and uniqueness of positive solutions to a class of four-point boundary value problem of Caputo fractional differential equations for any given parameter. Moreover, we present some pleasant properties of positive solutions to the boundary value problem dependent on the parameter. In the end, two examples are given to illustrate our main results.     

Time-consistent investment strategy under partial information

This paper considers a mean–variance portfolio selection problem under partial information, that is, the investor can observe the risky asset price with random drift which is not directly observable in financial markets. Since the dynamic mean–variance portfolio selection problem is time inconsistent, to seek the time-consistent investment strategy, the optimization problem is formulated and tackled in a game theoretic framework. Closed-form expressions of the equilibrium investment strategy and the corresponding equilibrium value function under partial information are derived by solving an extended Hamilton–Jacobi–Bellman system of equations. In addition, the results are also given under complete information, which are need for the partial information case. Furthermore, some numerical examples are presented to illustrate the derived equilibrium investment strategies and numerical sensitivity analysis is provided.     

部分信息下期望消费效用最大的优化问题

研究了部分信息下期望消费效用最大的优化问题.利用凸分析理论,非线性滤波和Malliavin导数技术,得到了最优投资-消费策略和代价泛函.对于对数效用函数情形,给出了一个估算信息价值的公式,它是完全信息下和部分信息下所对应的最优代价泛函的差值.     

Risk minimizing hedging for a partially observed high frequency data model

Risk-minimizing hedging strategies for contingent claims are studied in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described throught a marked point process Y, whose local characteristics depend on some unobservable hidden state variable X. In the model presented the processes Y and X may have common jump times, which means that the trading activity may affect the law of X and could be also related to the presence of catastrophic events. The hedger is restricted to observing past asset prices. Thus, we are in presence not only of an incomplete market situation but also of partial information. Considering the case where the price of the risky asset is modeled directly under a martingale measure, the computation of the risk-minimizing hedging strategy under this partial information is obtained by using a projection result (M. Schweizer, Risk minimizing hedging strategies under restricted information, Mathematical Finance 4 (1994) 327–342). This approach leads to a filtering problem with marked point process observations whose solution, obtained via the Kushner-Stratonovich equation, allows us to provide a complete solution to the heding problem.     

关于矩阵的奇异值偏序

研究矩阵的奇异值偏序,给出了矩阵的奇异值偏序的等价刻画和性质,指出了相关文献关于矩阵*序刻画不真,利用强同时奇异值分解给出了矩阵*-序的刻画.     

BSDEs under partial information and financial applications

In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square-integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a BSDE under full information. In particular, we provide a suitable version of the Föllmer–Schweizer decomposition of a square-integrable random variable working under partial information and we use this achievement to investigate the local risk-minimization approach for a semimartingale financial market model.