Some properties of the bilevel programming problem

The purpose of this paper is to elaborate on the difficulties accompanying the development of efficient algorithms for solving the bilevel programming problem (BLPP). We begin with a pair of examples showing that, even under the best of circumstances, solutions may not exist. This is followed by a proof that the BLPP is NP-hard.This work was partially supported by a grant from the Advanced Research Program of the Texas Higher Education Coordinating Board.     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

Avoider-Enforcer games

Let p and q be positive integers and let H be any hypergraph. In a (p,q,H) Avoider-Enforcer game two players, called Avoider and Enforcer, take turns selecting previously unclaimed vertices of H. Avoider selects p vertices per move and Enforcer selects q vertices per move. Avoider loses if he claims all the vertices of some hyperedge of H; otherwise Enforcer loses. We prove a sufficient condition for Avoider to win the (p,q,H) game. We then use this condition to show that Enforcer can win the (1,q) perfect matching game on K2n for every q?cn/logn for an appropriate constant c, and the (1,q) Hamilton cycle game on Kn for every q?cnloglogloglogn/lognlogloglogn for an appropriate constant c. We also determine exactly those values of q for which Enforcer can win the (1,q) connectivity game on Kn. This result is quite surprising as it substantially differs from its Maker-Breaker analog. Our method extends easily to improve a result of Lu [X. Lu, A note on biased and non-biased games, Discrete Appl. Math. 60 (1995) 285-291], regarding forcing an opponent to pack many pairwise edge disjoint spanning trees in his graph.     

Runge–Kutta Methods for Itô Stochastic Differential Equations with Scalar Noise

A general class of stochastic Runge–Kutta methods for Itô stochastic differential equation systems w.r.t. a one-dimensional Wiener process is introduced. The colored rooted tree analysis is applied to derive conditions for the coefficients of the stochastic Runge–Kutta method assuring convergence in the weak sense with a prescribed order. Some coefficients for new stochastic Runge–Kutta schemes of order two are calculated explicitly and a simulation study reveals their good performance.     

Second order Runge–Kutta methods for Stratonovich stochastic differential equations

The weak approximation of the solution of a system of Stratonovich stochastic differential equations with a m–dimensional Wiener process is studied. Therefore, a new class of stochastic Runge–Kutta methods is introduced. As the main novelty, the number of stages does not depend on the dimension m of the driving Wiener process which reduces the computational effort significantly. The colored rooted tree analysis due to the author is applied to determine order conditions for the new stochastic Runge–Kutta methods assuring convergence with order two in the weak sense. Further, some coefficients for second order stochastic Runge–Kutta schemes are calculated explicitly. AMS subject classification (2000)  65C30, 65L06, 60H35, 60H10     

Noncooperative facility location games

A noncooperative game theoretical approach is considered for the multifacility location problem. It turns out that the facility location game is a potential game in the sense of Monderer and Shapley and some properties of the game are studied.     

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

We study a class of ‘nonpoissonian’ transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon–Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals.     

The Problem of Capacity Addition in Multi-user Elastic Demand Communication Networks

In this paper we consider some properties on prices under flow control in a network that is to be shared by noncooperative users. Each user is faced with an optimization problem which is formulated as the minimization of its own criterion subject to constraint on the flows of the other users. The operating points of the network are the Nash equilibria of the underlying routing game. Our objective is to study the behavior of prices of all users when the network designer needs to allocate capacities to network links. For parallel links topologies, we show that degradation of the performances such as prices will not take place, as well as the users may find it beneficial to improve their requests     

带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法

我们首先提出了一个带ARMA(1,1)条件异方差相关的随机波动模型,它是基本的随机波动模型的一个自然的推广.进一步,对于这一新模型,我们给出了一个马尔可夫链蒙特卡罗(M CM C)算法.最后,利用该模型的模拟数据,展示了M CM C算法在这种模型中的应用.