纯生跳跃扩散型交换期权定价公式

在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生跳跃扩散型交换期权的定价的例子.     

Search for cosmic γ-ray bursts in the (1÷50) GeV energy range

Summary A search for cosmic gamma-ray bursts in the GeV energy range has been performed by means of the EAS-TOP Extensive Air Shower array at Campo Imperatore (Gran Sasso Laboratories) during the period March–December 1990. In 2566.5 hours of measurement the obtained upper limit to the rate of bursts of amplitude >2% of the cosmic-ray intensity and time duration τ=1 s, isR≤7.9y⁻¹ (90% c.l.). Assuming for γ-rays a differential energy spectrumS(E ₀ )≈E ₀ ^−2.5 , the corresponding upper limit to the energy flux of γ-rays with energy >5 GeV in bursts of duration τ≤1 s is Φ<8.3·10⁻⁵erg cm⁻².     

关于随机过程循序可测性的一个注记

本文引进了可测空间的自然乘积空间和随机过程的自然提升过程等概念 .在此基础上 ,证明了一个随机过程循序可测的充分必要条件是其自然提升过程是适应过程 .此外 ,我们还得到其他一些有趣的结果 .     

Optimal inspection and perfect repair

Models are developed for decision making about monitoring andmaintenance of systems whose performance through time is describedby a general stochastic process. The system is monitored andpreventive and corrective maintenance actions are carried outin response to the observed system state. The decision processis simplified by using the maximum process as a decision variable.The models developed generalize age replacement models and othersimple maintenance strategies. The approach can deal with failuresthat prevent the system functioning further, and also failuresthat are defined by regulation or economic considerations. Attentionis restricted to perfect repair and inspection, but the structureprovides the framework for further developments.     

Fixed Point Theorems on Product Topological Spaces and Applications

A new collectively fixed point theorem for a family of set-valued mappings defined on product spaces of non-compact topological spaces without linear structure is proved and some special cases are also discussed. As applications, some non-empty intersection theorems of sets with convex sections and equilibrium existence theorem of abstract economies are obtained under much weaker assumptions. Our results includes a number of known results as many special cases.     

Nonlinear Filtering for Diffusions in Random Environments

Suppose that the signal X to be estimated is a diffusion process in a random medium W and the signal is correlated with the observation noise. We study the historical filtering problem concerned with estimating the signal path up until the current time based upon the back observations. Using Dirichlet form theory, we introduce a filtering model for general rough signal X ^W and establish a multiple Wiener integrals representation for the unnormalized pathspace filtering process. Then, we construct a precise nonlinear filtering model for the process X itself and give the corresponding Wiener chaos decomposition.     

A simple four-node quadrilateral finite element for plates

A simple and accurate four-node quadrilateral finite element based on the Mindlin plate theory and Kirchhoff constraints is presented for general thin plate bending applications. The derivation of the element stiffness properties is straightforward, starting with a specified eight-node interpolation; usual discrete Kirchhoff (DK) constraints are employed to constrain out the four midside nodes of the element. The present resulting DK element passes patch tests with elements of arbitrary and even highly distorted mesh types. Numerical studies of the element convergence behaviours are undertaken for various plate bending problems so far investigated. It is indicated from comparative examples that fairly good convergence characteristics have been achieved.     

Morphology of Nylon-6 blends with styrenic polymers

The morphology of blends of styrenic polymers in a matrix of 75% Nylon-6 prepared in a Brabender Plasti-Corder was examined by scanning electron microscopy. Styrene/acrylonitrile copolymers (SAN) form smaller particles as the AN level increases owing to the corresponding decrease in the SAN–polyamide interfacial tension. Various styrenic polymers containing functional groups, maleic anhydride or oxazoline type, that can react with Nylon-6 during melt processing were added to the SAN phase which also led to a decrease in the particle size owing to the graft copolymer formed in situ. The effects of functional group type, amount of functional groups per chain, amount of functional polymer added, and the miscibility of the styrene/maleic anhydride (SMA) and SAN copolymers on the morphology of the styrenic phase in the Nylon-6 matrix are described. © 1992 John Wiley & Sons, Inc.