Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Feedback controlled periodic states for different kinds of photorefractive nonlinear response

We investigate analytically and numerically the influence of the type of the photorefractive nonlinear response on the periodic states (attractors) which occur during feedback controlled 2W-coupling and correspond to almost 100% diffraction efficiency of the dynamic index grating. In addition to the case of the local response typical, for example, for LiNbO₃ crystals we consider the cases of nonlocal (diffusive) response (BaTiO₃, SBN) and resonant response (DC-biased BSO, BTO, and BGO crystals). It is shown that the conditions for the transition to the periodic states and their apparent characteristics are strongly different for the two limiting cases above. Received 16 July 2002 / Received in final form 29 October 2002 Published online 4 March 2003     

Slutsky定理的一个推广

本文应用紧集上的连续函数是一致连续的性质，推广并证明了著名的Slutsky定理。     

数字全息图变频采样研究

根据Whittaker-Shannon抽样定理,对菲涅耳全息图进行变频率采样,保证整个全息图各部分采样频率为该处相应空间频率的两倍,从而完全消除数字全息图由于采样冗余而带来全息图的信息冗余.并且,对变频采样后的全息图进行线性插值恢复即可获得良好的再现像质.实验和理论均证明了该方法的有效性和可行性,为全息图的信息存贮与传输提出一条新的思路.     

On the degree of convergence of lemniscates in finite connected domains

For an arbitrary bounded closed set E in the complex plane with complement Ω of finite connectivity, we study the degree of convergence of the lemniscates in Ω.     

ASYMPTOTIC NORMALITY OF KERNEL ESTIMATES OF A DENSITY FUNCTION UNDER ASSOCIATION DEPENDENCE

Let {X_n, n≥1} be a strictly stationary sequence of random variables, whichare either associated or negatively associated, f(·) be their common density. In this paper,the author shows a central limit theorem for a kernel estimate of f(·) under certain regularconditions.     

作业成本法数学模型的创新

随着企业产品价格竞争愈演愈烈，成本的合理分配、计算日显重要，但在间接费用的分摊上，传统成本会计对成本信息反映失真的局限性日益显露，会计理论界和实务界开始寻求一种新的准确的成本计算方法，作业成本法应运而生。本将由作业成本法基本原理推导出其数学模型，并将对其数学模型进一步改进，建立比较数学模型。使作业成本法向实际应用更进一步。     

Ergodic isospectral theory of the Lax pairs of Euler equations with harmonic analysis flavor

Isospectral theory of the Lax pairs of both 3D and 2D Euler equations of inviscid fluids is developed. Eigenfunctions are represented through an ergodic integral. The Koopman group and mean ergodic theorem are utilized. Further harmonic analysis results on the ergodic integral are introduced. The ergodic integral is a limit of the oscillatory integral of the first kind.

     

Krylov-Bogolyubov averaging of asymptotically autonomous differential equations

We apply the Krylov and Bogolyubov asymptotic integration procedure to asymptotically autonomous systems. First, we consider linear systems with quasi-periodic coefficient matrix multiplied by a scalar factor vanishing at infinity. Next, we study the asymptotically autonomous Van-der-Pol oscillator.

     

Some heteroclinic solutions of a model of skin pattern formation

In this paper we study travelling wave solutions to a system of four non‐linear partial differential equations, which arise in a tissue interaction model for skin morphogenesis. Under the ‘small‐stress’ assumption we prove the existence and uniqueness (up to a translation) of solutions with the dermis and epidermis cell densities being positive, which are a perturbation of a uniform epidermal cell density. We discuss the problem of the minimal wave‐speed. Copyright © 2004 John Wiley & Sons, Ltd.