全概率公式的推广及其应用

全概率公式及其思想在概率统计与随机过程中具有重要作用.给出了公式在条件概率下的推广形式与具体应用.同时,得到了独立性条件下的特殊形式.     

Convergence of Yang-Mills-Higgs flow for twist Higgs pairs on Riemann surfaces

We consider the gradient flow of the Yang-Mills-Higgs functional of twist Higgs pairs on a Hermitian vector bundle(E,H)over Riemann surface X.It is already known the gradient flow with initial data(A0,φ0)converges to a critical point(A∞,φ∞).Using a modified Chern-Weil type inequality,we prove that the limiting twist Higgs bundle(E,d′′A∞,φ∞)coincides with the graded twist Higgs bundle defined by the HarderNarasimhan-Seshadri filtration of the initial twist Higgs bundle(E,d′′A0,φ0),generalizing Wilkin’s results for untwist Higgs bundle.     

On intensities of perturbed random measures on Hausdorff spaces

Abstract

This article studies classes of random measures on topological spaces perturbed by stochastic processes (a.k.a. modulated random measures). We render a rigorous construction of the stochastic integral of functions of two variables and showed that such an integral is a random measure. We establish a new Campbell-type formula that, along with a rigorous construction of modulation, leads to the intensity of a modulated random measure. Mathematical formalism of integral-driven random measures and their stochastic intensities find numerous applications in stochastic models, physics, astrophysics, and finance that we discuss throughout the article.     

Continuous local martingales and stochastic integration in UMD Banach spaces

Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these results to the case where the integrator is an arbitrary real-valued continuous local martingale. We give several characterizations of integrability and prove a version of the Itô isometry, the Burkholder–Davis–Gundy inequality, the Itô formula and the martingale representation theorem.     

Optimal consumption and portfolio under inflation and Markovian switching

In this paper, a financial market with Markovian switching and inflation is described, and the problem of maximizing expected utility of consumption discounted by inflation is given. Then, by a generalized Itô formula for Markov-modulated processes, the verification theorems of optimal policies are derived. Finally, the optimal consumption and portfolio policies for the constant relative risk aversion utility are given explicitly, and an economic analysis is made by numerical examples.     

A trotter product formula for random matrices

This note contains a generalization of the Trotter product formula to the setting of multiple linear systems of stochastic differential equations. From the result it follows that the solution of a system in Stratonovich form in a Lie algebra lies in the corresponding Lie group     

倒向随机微分方程及其应用

本文将介绍一类新的议程：倒向随机微分方程，为了便于理解，我们将首先通过与常微分方程和经典的随机微分方程的对比，并通过数理经济和数学金融学中的一个典型的例子来引入倒向随机微分方程。     

On the third and fourth power moments of Fourier coefficients of cusp forms

The asymptotic formulae for the third and fourth power moments of Fourier coefficients of cusp forms are proved in this paper.     

Analytic torsion and Ruelle zeta functions for hyperbolic manifolds with cusps

In this paper we derive a relationship of the leading coefficient of the Laurent expansion of the Ruelle zeta function at s=0 and the analytic torsion for hyperbolic manifolds with cusps. Here, the analytic torsion is defined by a certain regularized trace following Melrose [R.B. Melrose, The Atiyah-Patodi-Singer Index Theorem, Res. Notes Math., vol. 4, A.K. Peters, Ltd., Wellesley, MA, 1993]. This extends the result of Fried, which was proved for the compact case in [D. Fried, Analytic torsion and closed geodesics on hyperbolic manifolds, Invent. Math. 84 (3) (1986) 523-540], to a noncompact case.