On strongly jump traceable reals

In this paper we show that there is no minimal bound for jump traceability. In particular, there is no single order function such that strong jump traceability is equivalent to jump traceability for that order. The uniformity of the proof method allows us to adapt the technique to showing that the index set of the c.e. strongly jump traceables is -complete.     

On comparison of jump point detection for an exchange rate series

The main purpose of this paper is to investigate the detection of jump points of a discontinuous function in the presence of a noise by the wavelet approach. A computing algorithm of our method is proposed and then applied to the daily exchange rate of US Dollar against Deutsche Mark. All the points detected by our method reflect very strong economic and political impacts. Other statistical methods to detect jump points have also been applied to the same exchange rate data. Our proposed method has produced more convincing empirical results than others.     

A stochastic target formulation for optimal switching problems in finite horizon

We consider a general optimal switching problem for a controlled diffusion and show that its value coincides with the value of a well-suited stochastic target problem associated to a diffusion with jumps. The proof consists in showing that the Hamilton–Jacobi–Bellman equations of both problems are the same and in proving a comparison principle for this equation. This provides a new family of lower bounds for the optimal switching problem, which can be computed by Monte-Carlo methods. This result has also a nice economical interpretation in terms of a firm's valuation.     

一般状态空间跳过程不变测度的存在性和唯一性

本文利用一般状态空间马氏链关于不变测度的有关结果和跳过程的性质，研究了一般状态空间跳过程不变测度的存在性和唯一性。     

On the Hartogs-Bochner phenomenon for CR functions in

Let be a compact, connected, -smooth and globally minimal hypersurface in which divides the projective space into two connected parts and . We prove that there exists a side, or , such that every continuous CR function on extends holomorphically to this side. Our proof of this theorem is a simplification of a result originally due to F. Sarkis.

     

具有跳跃的随机神经网络的均方稳定性

研究了一类新的具有脉冲跳跃的Hopfield神经网络系统模型,其中脉冲时刻的跳跃是由一般的随机序列所引起,通过运用Lyapunov函数方法,获取了一些新的均方稳定性结果.由于脉冲的跳跃使得不稳定的神经网络变成稳定,因而所得的结果也可以运用到其他相关领域.     

Banach空间中带Poisson跳的随机种群方程的数值分析

本文研究Banach空间中带Poisson跳的随机种群方程,通过离散使之成为随机微分方程,进而运用显式Euler公式来分析其数值解与解析解的误差.     

跳扩散过程下的保险商偿债率模型研究

本文研究了在有金融困境成本的情况下,带有跳扩散过程的保险商偿债率(SR)模型的问题.利用Girsanov定理进行测度变换的方法以及跳扩散过程下的看涨期权定价公式,获得了保险商终期收益的现值的结果.推广了不带跳扩散过程的保险商偿债率模型的结果.     

带泊松跳跃的几何布朗运动的经济模型

本文讨论了带泊松过程的几何布朗运动的经济模型,在收益函数R(x)=ax2-b的情形下,利用伊藤公式,求得平均收益的最优解.