Optimal selling time in stock market over a finite time horizon

In this paper, we examine the best time to sell a stock at a price being as close as possible to its highest price over a finite time horizon [0, T ], where the stock price is modelled by a geometric Brownian motion and the ’closeness’ is measured by the relative error of the stock price to its highest price over [0, T ]. More precisely, we want to optimize the expression: where (V t ) t≥0 is a geometric Brownian motion with constant drift α and constant volatility σ > 0, M t = max Vs is the running maximum of the stock price, and the supremum is taken over all possible stopping times 0 ≤τ≤ T adapted to the natural filtration (F t ) t≥0 of the stock price. The above problem has been considered by Shiryaev, Xu and Zhou (2008) and Du Toit and Peskir (2009). In this paper we provide an independent proof that when α = 1 2 σ 2 , a selling strategy is optimal if and only if it sells the stock either at the terminal time T or at the moment when the stock price hits its maximum price so far. Besides, when α > 1 2 σ 2 , selling the stock at the terminal time T is the unique optimal selling strategy. Our approach to the problem is purely probabilistic and has been inspired by relating the notion of dominant stopping ρτ of a stopping time τ to the optimal stopping strategy arisen in the classical "Secretary Problem".     

Local influence analysis for semiparametric reproductive dispersion nonlinear models

The present paper proposes a semiparametric reproductive dispersion nonlinear model (SRDNM) which is an extension of the nonlinear reproductive dispersion models and the semiparameter regression models. Maximum penalized likelihood estimates (MPLEs) of unknown parameters and nonparametric functions in SRDNM are presented. Assessment of local influence for various perturbation schemes are investigated. Some local influence diagnostics are given. A simulation study and a real example are used to illustrate the proposed methodologies.     

Application of the method of multipliers to state space constrained optimal control problems with discrete time

The paper deals with convergence conditions of multiplier algorithms for solving optimal control problems with discrete time suggested by J. Bjbvonek in some earlier papers. In this approach the original state space constrained problem is converted into a control-constrained problem by introducing an additional control variable and an equality constraint which is taken into consideration by a multiplier method. Convergence conditions for the multiplier Iteration of global and local nature are given for exact and inexact solution of the subproblems.     

Strong calmness of perturbed KKT system for a class of conic programming with degenerate solutions

ABSTRACT

This paper is concerned with the strong calmness of the KKT solution mapping for a class of canonically perturbed conic programming, which plays a central role in achieving fast convergence under situations when the Lagrange multiplier associated to a solution of these conic optimization problems is not unique. We show that the strong calmness of the KKT solution mapping is equivalent to a local error bound for the solutions to the perturbed KKT system, and is also equivalent to the pseudo-isolated calmness of the stationary point mapping along with the calmness of the multiplier set mapping at the corresponding reference point. Sufficient conditions are also provided for the strong calmness by establishing the pseudo-isolated calmness of the stationary point mapping in terms of the noncriticality of the associated multiplier, and the calmness of the multiplier set mapping in terms of a relative interior condition for the multiplier set. These results cover and extend the existing ones in Hager and Gowda [Stability in the presence of degeneracy and error estimation. Math Program. 1999;85:181–192]; Izmailov and Solodov [Stabilized SQP revisited. Math Program. 2012;133:93–120] for nonlinear programming and in Cui et al. [On the asymptotic superlinear convergence of the augmented Lagrangian method for semidefinite programming with multiple solutions. 2016, arXiv: 1610.00875v1]; Zhang and Zhang [Critical multipliers in semidefinite programming. 2018, arXiv: 1801.02218v1] for semidefinite programming.     

Adaptive Q–S synchronization between coupled chaotic systems with stochastic perturbation and delay

This work investigates the adaptive Q–S synchronization of coupled chaotic (or hyper-chaotic) systems with stochastic perturbation, delay and unknown parameters. The sufficient conditions for achieving Q–S synchronization of two stochastic chaotic systems are derived based on the invariance principle of stochastic differential equation. By the adaptive control technique, the control laws and the corresponding parameter update laws are proposed such that the stochastic Q–S synchronization of non-identical chaotic (or hyper-chaotic) systems is to be obtained. Finally, two illustrative numerical simulations are also given to demonstrate the effectiveness of the proposed scheme.     

Global robust synchronization for time-varying phase mismatching electro-mechanical gyrostat systems under variable substitution control

A master–slave scheme for global robust synchronization of two electro-mechanical gyrostat systems with time-varying phase mismatches under variable substitution control is presented in this paper. Under this scheme, a sufficient criterion for the global robust synchronization with bounded error is rigorously proved in the form of matrix inequality and the corresponding estimated error bound is mathematically given. On the basis of the criterion, further derivation brings some simple and optimized algebraic criteria for various single-variable coupling, whose performance is then verified through some numerical examples.     

Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model

The value of a contingent claim under a jump‐diffusion process satisfies a partial integro‐differential equation. A fourth‐order compact finite difference scheme is applied to discretize the spatial variable of this equation. It is discretized in time by an implicit‐explicit method. Meanwhile, a local mesh refinement strategy is used for handling the nonsmooth payoff condition. Moreover, the numerical quadrature method is exploited to evaluate the jump integral term. It guarantees a Toeplitz‐like structure of the integral operator such that a fast algorithm is feasible. Numerical results show that this approach gives fourth‐order accuracy in space. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2011     

最大度不小于3的图的星全色数的一个上界

对圈、扇和轮作了简单的剖分,得到了其剖分图的星全色数,并运用Lovasz局部引理证明了若G(V,E)是一个最大度为△≥3的简单无向图,则Χ_(st)(G)≤22Δ~2.     

基于单驱动变量分数阶混沌同步的参数调制数字通信及硬件实现

通过单驱动变量设计了三维分数阶混沌系统通用的自适应同步控制器.基于参数调制原理, 利用单驱动变量分数阶混沌系统的同步,提出了一种新的通用型数字通信方案,对电路进行了仿真,同时搭建了实际硬件电路,结果显示接收信息和发送信息符合完好,验证了本方案的有效性和可行性.     

一种新型的双向长距离光纤混沌保密 通信系统性能研究

基于两个在驱动混沌信号注入下的响应半导体激光器之间的混沌同步, 提出了一种新型的可实现信息双向、长距离保密传输的系统, 并建立了相应的理论模型. 利用该理论模型, 研究了系统的双向传输性能、 安全性能以及系统性能随传输距离的变化. 结果表明: 两个响应激光器在受到发自同一驱动混沌激光器的混沌光注入下, 其混沌输出虽然与注入混沌信号相差很大, 但两个响应激光器的混沌输出却能实现非常好的无时间延迟的等时同步; 对窃听者可能获取信息的各个途径进行了考察, 结果显示该系统具有很好的安全性; 采用普通单模光纤作为传输信道, 信息经过50 km传输后, 解调信息Q因子可达到6以上; 采用色散位移光纤, 信息经过200 km的传输, 解调信息Q因子还可达6以上.