No-arbitrage with multiple-priors in discrete time

In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. We show that it is equivalent to the existence of a subclass of priors having the same polar sets as the initial class and such that the uni-prior no-arbitrage holds true for all priors in this subset. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated.     

Flexible supply contracts under price uncertainty

This article develops supply contracts covering environments with changing prices. We investigate characterization properties of the price processes, while considering costs and discount factors. We determine expressions of the contract’s expected low price and its second moment for a given horizon. We then employ these expected price and second moment values to identify an expected optimum time before the contract expires at which the lowest price occurs. Simulation experiments verify our analysis, and they illustrate how the optimum purchase time decreases as the drift term increases.     

功能梯度材料结构热力耦合概率分析方法

基于自洽平均微观力学W-T(Wakashima-Tsukamoto)模型和拉丁超立方抽样,建立一种功能梯度平板热力耦合概率分析方法.以材料物理属性和空间分布的不确定性随机参数作为概率分析的输入,以热应力作为输出,基于本征正交分解POD(Proper Orthogonal Decomposition)对热应力的随机时间历...     

24小时连续采样—分光光度法监测空气中SO2的不确定度评定

本文基于HJ194-2005和HJ482-2009,建立了分光光度法监测空气中SO2不确定度的数学模型,分析了在24 h连续采样、手工分析方法监测空气中SO2过程中,影响监测结果不确定度的因素(如温度、大气压、仪器流量、容量器皿刻度精度等),并对其影响进行了量化评估,得出了环境空气中SO2监测过程中的不确定度。     

氮中二氧化氮气体标准物质的研制

采用称量法制备并计算定值,研制(10～5000)μmol.mol-1氮中二氧化氮气体标准物质。考察了气体标准物质随贮存时间和钢瓶压力变化的稳定性,将制备的气体标准物质与GBW 08180进行比对验证,结果表明研制的气体标准物质定值的扩展不确定度优于3%(k=3),有效期限为12个月。     

5-Br-PADAP光度法测钒钛磁铁矿中钒的不确定度评定

5-Br-PADAP光度法是测钒钛磁铁矿中钒的主要方法之一。根据其分析过程的操作步骤确定了其影响因素。建立数学模型,并根据数学模型把不确定度分解为称样质量、溶液含量、钒标准工作曲线和重复测定引入的各不确定度,对影响测量结果的各个分量进行了分析评定和计算。结果表明,钒的标准工作曲线的建立是影响样品分析误差的重要因素。     

高效液相色谱外标工作曲线法测定大麻树脂中四氢大麻酚含量的不确定度评定

依据JJF 1059-1999《测量不确定度评定与表示》,以检测大麻树脂中四氢大麻酚含量的实验为例,评定了采用高效液相色谱外标工作曲线法进行含量测定的不确定度.建立了高效色谱外标工作曲线法测定样品含量的数学模型,分析了不确定度的来源并给出了量化结果,合成扩展不确定度为0.15％(k=2).     

卷烟主流烟气中NNK测量不确定度评定

对气相色谱-热能分析联用法测定卷烟主流烟气总粒相物中NNK含量的测量不确定度进行评定,分析了NNK含量检测的影响因素,计算了不确定度分量及合成不确定度,当NNK含量测定结果为27．4ng／支时,扩展不确定度为2．0ng／支。     

蒸馏法测定一次性筷子中二氧化硫浸出量的不确定度评定

依照GB 19790.1-2005,GB 19790.2-2005和GB/T 5009.34-2003(第二法),选取含量接近法规限值的代表性样品,从基准物质和标准滴定溶液溯源,探索测定一次性筷子中二氧化硫浸出量的数学模型,对检测过程中引入的不确定度进行了分类和量化,系统地评定了各个不确定度分量,得到该方法的相对标准不确定度为0.0043.     

A robust power spectrum split cancellation-based spectrum sensing method for cognitive radio systems

Spectrum sensing is an essential component to realize the cognitive radio, and the requirement for real-time spectrum sensing in the case of lacking prior information, fading channel, and noise uncertainty, indeed poses a major challenge to the classical spectrum sensing algorithms. Based on the stochastic properties of scalar transformation of power spectral density（PSD）, a novel spectrum sensing algorithm, referred to as the power spectral density split cancellation method（PSC）, is proposed in this paper. The PSC makes use of a scalar value as a test statistic, which is the ratio of each subband power to the full band power. Besides, by exploiting the asymptotic normality and independence of Fourier transform,the distribution of the ratio and the mathematical expressions for the probabilities of false alarm and detection in different channel models are derived. Further, the exact closed-form expression of decision threshold is calculated in accordance with Neyman–Pearson criterion. Analytical and simulation results show that the PSC is invulnerable to noise uncertainty,and can achive excellent detection performance without prior knowledge in additive white Gaussian noise and flat slow fading channels. In addition, the PSC benefits from a low computational cost, which can be completed in microseconds.