标的资产服从几何分数布朗运动的期权定价

本文在M ogens B ladt和T ina H av iid R ydberg无市场假设,仅利用价格过程的实际概率的期权保险精算定价模型的基础上,得出了标的资产服从几何分数布朗运动的欧式期权定价公式,并说明了几何布朗运动是本文的一种特殊情况.     

Fractional-Linear Transformations of Operator Balls; Applications to Dynamical Systems

The operator sets, which are the subject of this paper, have been studied in many papers where, under different restrictions on the generating operators, convexity, compactness in the weak operator topology, and nonemptiness were proved for sets of different classes under study. Then the results obtained were used in these papers to solve several applied problems. Namely, they played the key role in establishing the dichotomy of nonautonomous dynamical systems, with either continuous or discrete time. In the present paper, we generalize and sharpen the already known criteria and obtain several new criteria for convexity, compactness, and nonemptiness of several special operator sets. Then, using the assertions obtained, we construct examples of sets of the form under study which are nonconvex, noncompact in the weak operator topology, as well as empty, and are generated by ＂smooth＂ operators of a special class. The existence problem for such sets remained open until the authors of this paper announced some of its results.     

Generalized indices of operators inB(H)

A generalized dimension is further developed. Here subtraction and addition of two generalized dimensions are defined, so that the operations: ∞ ± n = ∞, ∞ + ∞ = ∞, which used to play an inflexible role, are refined and moreover, ∞ - ∞, which used to be meaningless, is done in sense. Then generalized index for semi-Fred-holm operators is developed to wholeB(H), i.e. all of bounded linear operators in Hilbert spaceH. Theorem 2.2 is proved with an example, which is in contradiction to a known proposition for semi-Fredholm operators in form, practically a refined result of the known proposition. Then, it is proved thatB(H) is the union of countably many disjoint arewise connected sets over all the generalized dimensions ofB(H). Project supported by the National Natural Science Foundation of China     

Integrated Groups and Smooth Distribution Groups

In this paper, we prove directly that α-times integrated groups define algebra homomorphisms. We also give a theorem of equivalence between smooth distribution groups and α-times integrated groups.     

ON DIRECT METHOD OF SOLUTION FOR A CLASS OF SINGULAR INTEGRAL EQUATIONS

In this article, by introducing characteristic singular integral operator and associate singular integral equations (SIEs), the authors discuss the direct method of solution for a class of singular integral equations with certain analytic inputs. They obtain both the conditions of solvability and the solutions in closed form. It is noteworthy that the method is different from the classical one that is due to Lu.     

The Generalized KKM Map and Its Applications to Variational Inequalities

In this paper,applying the concept of generalized KKM map,we study problems ofvariational inequalities.We weaken convexity(concavity)conditions for a functional of two variables■(x,y)in the general variational inequalities.Last,we show a proof of non-topological degree meth-od of acute angle principle about monotone operator as an application of these results.     

Some Invariance Principles for Random Vectors in the Generalized Domain of Attraction of the Multivariate Normal Law

For independent identically distributed random vectors belonging to the generalized Domain of Attraction of the multivariate normal law, we define two partial sum processes analogous to that of Donsker's Theorem. We prove that each converges in distribution to a Brownian Motion in the space of continuous functions. One process uses nonrandom operator normalization, and the other is a studentization of the first, using normalization by the empirical covariance operator.     

Operator Matrix Forms of Positive Operators

If a 3-tuple (A:H1→H1,B:H2→H1,C:H2→H2）of operators on Hibert spaces is given,we proved that the operator ～↑A:=(↑A ↓B^*↑B ↓C) on H=H1 H2 is ≥0 is and only if A≥0,R(B)∪→R（A^1/2) and C≥B^* A^ b,where A^ is the generalized inverse of A.In general,A^ is a closed operator,but since R(B)∪→R(A^1/2,B^* A^ B is bounded yet.     

Variational inequalities for monotone operators in nonreflexive Banach spaces

The purpose of this paper is to study the existence problem of solutions and perturbation problem for some kind of variational inequalities with monotone operators in nonreflexive Banach spaces, and to obtain some results.     

The semiclassical limit of a quantum Fermi accelerator

A classical Fermi accelerator model (FAM) is known to show chaotic behavior. The FAM is defined by a free particle bouncing elastically from two rigid walls, one fixed and the other oscillating periodically in time. The central aim of this paper is to connect the quantum and the classical solutions to the FAM in the semiclassical limit. This goal is accomplished using a finite inverted parametric oscillator (FIPO), confined to a box withfixed walls, as an alternative representation of the FAM. In the FIPO representation, an explicit correspondence between classical and quantum limits is accomplished using a Husimi representation of the quasienergy eigenfunctions.