Rapid Growth Paths in Multivalued Dynamical Systems Generated by Homogeneous Convex Stochastic Operators

The paper examines dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors. The primary goal is to investigate the growth rates of random trajectories of these dynamical systems. Existence and characterization theorems for rapid trajectories, growing faster in a certain sense than others, are obtained.     

General financial market model defined by a liquidation value process

Financial market models defined by a liquidation value process generalize the conic models of Schachermayer and Kabanov where the transaction costs are proportional to the exchanged volumes of traded assets. The solvency set of all portfolio positions that can be liquidated without any debt is not necessary convex, e.g. in presence of proportional transaction costs and fixed costs. Therefore, the classical duality principle based on the Hahn–Banach separation theorem is not appropriate to characterize the prices super hedging a contingent claim. Using an alternative method based on the concepts of essential supremum and maximum, we provide a characterization of European and American contingent claim prices under the absence of arbitrage opportunity of the second kind.     

退化抛物型方程与单侧约束系统

本文讨论了一类非线性非自治多值的退化抛物型方程解的存在性和解的正则性等。它代表一类具非线性本构约束及不可微外约束的能量耗散的物理、力学和优化等问题。     

基于二值计算机的实时多值逻辑控制系统的研究

在工业控制系统中,常常遇到多值逻辑问题,用二值逻辑概念去解决极不方便,有时甚至是困难的．本文提出一种在二值计算机上建立起完备的多值逻辑运算集和多值逻辑接口的方法,从而实现了在二值计算机上有效地解决多值逻辑问题．     

Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth

We consider a problem of optimal reinsurance and investment with multiple risky assets for an insurance company whose surplus is governed by a linear diffusion. The insurance company’s risk can be reduced through reinsurance, while in addition the company invests its surplus in a financial market with one risk-free asset and n risky assets. In this paper, we consider the transaction costs when investing in the risky assets. Also, we use Conditional Value-at-Risk (CVaR) to control the whole risk. We consider the optimization problem of maximizing the expected exponential utility of terminal wealth and solve it by using the corresponding Hamilton-Jacobi-Bellman (HJB) equation. Explicit expression for the optimal value function and the corresponding optimal strategies are obtained.     

Banach空间一类H-增生算子的混合拟变分包含的邻近算子方程

本文在Banach空间中引入一类H-增生算子的混合拟变分包含,并提出求该变分包含问题解的邻近点法.通过H-增生算子的预解算子技术,建立了混合拟变分包含问题与邻近算子方程的等价关系,由这个等价关系得到求解邻近算子方程的迭代算法,该算法收敛于上述混合拟变分包含问题的解.     

改进差分进化算法求解装载率凹费用装箱问题

研究了广泛存在于物流作业中一类新型的装箱问题,主要特征体现在箱子使用费用是关于装载率的凹函数。为求解问题,提出了一种基于分组编码策略的改进差分进化算法,以避免常规实数和整数编码方法存在放大搜索空间的不足。针对分组编码策略,定制化设计了以促进优秀基因传播为导向的新型变异和交叉操作,另外还嵌入了以物品置换为邻域的自适应局部搜索操作以增强局部搜索能力。对以往文献给出算例在不同凹费用函数下进行测试,实验结果显示所提出的算法明显优于BFD启发式算法,并且较遗传算法也有显著性改进。     

Numerical solution of an optimal investment problem with proportional transaction costs

This paper mainly concerns the numerical solution of a nonlinear parabolic double obstacle problem arising in a finite-horizon optimal investment problem with proportional transaction costs. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints and the properties of the utility function allow to obtain the optimal investment solution from a nonlinear problem posed in one spatial variable. The proposed numerical methods mainly consist of a localization procedure to pose the problem on a bounded domain, a characteristics method for time discretization to deal with the large gradients of the solution, a Newton algorithm to solve the nonlinear term in the governing equation and a projected relaxation scheme to cope with the double obstacle (free boundary) feature. Moreover, piecewise linear Lagrange finite elements for spatial discretization are considered. Numerical results illustrate the performance of the set of numerical techniques by recovering all qualitative properties proved in Dai and Yi (2009) [6].     

Approximation of thermoelasticity contact problem with nonmonotone friction

The paper presents the formulation and approximation of a static thermoelasticity problem that describes bilateral frictional contact between a deformable body and a rigid foundation. The friction is in the form of a nonmonotone and multivalued law. The coupling effect of the problem is neglected. Therefore, the thermic part of the problem is considered independently on the elasticity problem. For the displacement vector, we formulate one substationary problem for a non-convex, locally Lipschitz continuous functional representing the total potential energy of the body. All problems formulated in the paper are approximated with the finite element method.     

考虑成本因素的税企博弈模型

本在献[1]的基础上,进一步考虑成本因素在更为一般的条件下建立了新的税企博弈模型,得到国家税务机关最优混合策略及其骗税罚款系数公式,并且指出献[1]的结论是本的一个推论。