非齐次隐马尔可夫模型随机变换的若干强极限定理

利用鞅方法讨论了非齐次隐马尔可夫模型变换的强极限定理,作为特殊情形,将随机选择的概念拓展到非齐次隐马尔可夫模型中,得到了关于有限非齐次隐马尔可夫模型随机选择与随机公平比的若干极限定理.     

NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS

§1.IntroductionLet(?,F)be a measurable space and let Lb(F)be the space of F-measurable andbounded real functions.A nonlinear expectation is a continuous functionalE[·]:Lb(F)?→Rthat is order preserving(i.e.,E[X1]≥E[X2],if X1≥X2)and constant preserving     

On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay

We study the connection between the martingale and free-boundary approaches in sequential detection problems for the drift of a Brownian motion, under the assumption of exponential penalty for the delay. By means of the solution of a suitable free-boundary problem, we show that the reward process can be decomposed into the product between a gain function of the boundary point and a positive martingale inside the continuation region.     

随机市场系数的M-V最优投资组合选择:一个鞅方法

通过引进凹函数U(x)以及等价鞅测度p^-，应用鞅的性质得到了随机市场系数情形下的M—V模型的最优投资策略以及有效前沿．     

On representation and regularity of continuous parameter multivalued martingales

In this paper we study multivalued martingales in continuous time. First we show that every multivalued martingale in continuous time can be represented as the closure of a sequence of martingale selections. Then we prove two results concerning the cadlag modifications of continuous time multivalued martingales, in Kuratowski-Mosco convergence and in convergence in the Hausdorff metric respectively.

     

带有重置条款的可转换债券定价

可转换债券是中国证券市场的热点之一.本文主要研究如何给带有重置条款的可转换债券进行定价.文中采用了等价鞅测度的思想将标的物从风险世界转换到风险中性世界中,然后在风险中性世界中应用鞅评价方法对带有重置条款的可转换债券进行定价.     

Minimal Martingale Measures for Discrete-time Incomplete Financial Markets

Abstract In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market.Then we concretely work out the minimal martingale messure for a specificdiscrete-time market model in which the assets'returns in different times are independent.     

Quadratic Hedging Methods for Defaultable Claims

We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity.     

NON-NEGATIVE SOLUTIONS FOR A CLASS OF NON-POSITONE PROBLEMS

1IntroduInthispaperwestudyill(.)(l}xlsl(.)ll(:()noTI-1)ega,t]v(3s(>1lltionsfort,h(i1,woilo]lit,boundaryvalueproblemsu\ry;l;(:i.t>(v,>\,:t),:j:=fti-i'...ifn(j)>l),A>0isdcollstanta,f,dj'e(!'l,.,ti,fi<,,f(())<0(l.:i)111.of)i(lfllsifs{.1.l:)-(.I.2)havel,ecnsi…     

基于高通量解析算法的复杂样品重叠气相色谱-质谱信号的快速分析

化学计量学算法为重叠气相色谱-质谱(GC-MS)信号的解析提供了有效手段,但其在计算过程中一般需要将数据进行分段处理,然后只对信号的某些区间进行解析,难以实现真正意义上的高通量分析。该文结合移动窗口目标转换因子分析(MWTTFA)和非负免疫算法(NNIA),建立了一种高通量解析方法。首先,根据所有可能存在的目标组分的标准质谱信息,利用MWTTFA检验复杂信号中存在的组分,并确定目标组分的质谱信息和洗脱时间区域。以得到的质谱信息作为后续计算的输入值,利用NNIA解析得到相应的色谱信息。采用快速升温程序对17种和42种农药混合标准样品的GC-MS信号进行分析,利用所建立的方法可在10 min内得到全部组分的色谱和质谱信息。