美式期权定价中非局部问题的有限元方法

在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .     

NECESSARY CONDITIONS FOR OPTIMAL CONTROLS OF SEMILINEAR ELLIPTIC VARIATIONAL INEQUALITIES INVOLVING STATE CONSTRAINT

This paper deals with maximum principle for some optimal control problem governed by some elliptic variational inequalities. Some state constraints are discussed. The basic techniques used here are based on those in [1] and a new penalty functional defined in this paper.     

反对称正交对称矩阵反问题

本文讨论一类反对称正交对称矩阵反问题及其最佳逼近．研究了这类矩阵的一些性质，利用这些性质给出了反问题解存在的一些条件和解的一般表达式，不仅证明了最佳逼近解的存在唯一性，而且给出了此解的具体表达式．     

基于改进遗传算法的布局优化子问题

本针对子问题，构造了布局子问题(关于同构布局等价类)的改进遗传算法。将该算法应用于二维布局优化子问题，数值实验表明该算法能够在很好地保持图元的邻接关系的前提下找到子问题的最优解。由于布局优化问题可分解为有限个子问题，所以利用该算法可以找到整个布局优化问题的全局最优解。     

逆（反）对策问题与“奇门遁甲”预测理论（术）

本文首先提出逆（反）对策这一新问题，给出了数学模型；探讨了“奇门遁甲”预测理论（术）中的数学问题；通过系统分析“专门遁甲”预测过程，可知它的预测过程隐含着一个特殊的逆（反）对策问题；最后指出逆（反）对策问题的广泛存在并给出案例分析．     

Control Policy for a Manufacturing System with Random Yield and Rework

We develop a production policy that controls work-in-process (WIP) levels and satisfies demand in a multistage manufacturing system with significant uncertainty in yield, rework, and demand. The problem addressed in this paper is more general than those in the literature in three aspects: (i) multiple products are processed at multiple workstations, and the capacity of each workstation is limited and shared by multiple operations; (ii) the behavior of a production policy is investigated over an infinite-time horizon, and thus the system stability can be evaluated; (iii) the representation of yield and rework uncertainty is generalized. Generalizing both the system structure and the nature of uncertainty requires a new mathematical development in the theory of infinite-horizon stochastic dynamic programming. The theoretical contributions of this paper are the existence proofs of the optimal stationary control for a stochastic dynamic programming problem and the finite covariances of WIP and production levels under the general expression of uncertainty. We develop a simple and explicit sufficient condition that guarantees the existence of both the optimal stationary control and the system stability. We describe how a production policy can be constructed for the manufacturing system based on the propositions derived.     

Field optimized initial state based control of photodissociation

A new scheme for controlling photodissociation through preparation of a variationally optimized linear superposition of field free vibrational eigenstates is applied for selective control of IBr and HI dissociation. The dependence of photodissociation on various field parameters and initial conditions is examined to investigate the mechanistic basis of selective control. The parametric equations of motion approach for determining vibrational dynamics as a function of field parameters without having to solve the time dependent Schrödinger equation explicitly for each field parameter separately is outlined and its use to identify field characteristics which will provide the requisite population mix represented by the optimal linear superposition of vibrational states is advocated.     

审讯过程的数学模型

本文从经济学的观点出发，利用对策论方法建立了审讯过程的数学模型，并由此研究了讯问人三种主要策略对审讯成功的效度。     

Application of stochastic optimal control to the suboptimal design of thrust-mass profiles

Stochastic optimal control techniques are applied to compare the performance of identical medium-range air-to-air missiles which have different thrust-mass profiles. The measure of the performance is the probability of reaching a lock-on-point with a favorable range of guidance and flight parameters, during a fixed time interval [0,t _f ], given that, during the flight, the trajectories of the missile are subjected to a variety of constraints including dynamic pressure constraints.