Valuing the Future and Discounting in Random Environments: A Review

We address the process of discounting in random environments, which allows valuation of the future in economic terms. We review several approaches to the problem regarding different well-established stochastic market dynamics in the continuous-time context and include the Feynman–Kac approach. We also review the relation between bond-pricing theory and discounting and introduce both the market price of risk and the risk neutral measure from an intuitive point of view devoid of excessive formalism. We provide the discount for each economic model and discuss their key results. We finally present a summary of our previous empirical studies for several countries on the long-run discount problem.     

Some new embeddings and nonimmersions of real projective spaces

We obtain new families of embeddings and nonimmersions of real projective spaces in Euclidean space. The method involves obstruction theory, and includes several new insights.     

Totally nonnegative and oscillatory elements in semisimple groups

We generalize the well known characterizations of totally nonnegative and oscillatory matrices, due to F. R. Gantmacher, M. G. Krein, A. Whitney, C. Loewner, M. Gasca, and J. M. Peña to the case of an arbitrary complex semisimple Lie group.     

Totally real algebraic integers in small intervals

We show that there are irreducible monic polynomials having all roots in an interval of length close to 4. These are obtained by perturbing the coefficients of the respective Chebyshev polynomials. In particular, we obtain that our earlier lower bound for the house of totally real algebraic integers is sharp up to a logarithmic factor. Partially supported by the Lithuanian State Science and Studies Foundation. Published in Lietuvos Matematikos Rinkinys, Vol. 40, No. 3, pp. 307–312, July–September, 2000.     

Eigenvalue distribution of certain ray patterns

In this paper, the eigenvalue distribution of complex matrices with certain ray patterns is investigated. Cyclically real ray patterns and ray patterns that are signature similar to real sign patterns are characterized, and their eigenvalue distribution is discussed. Among other results, the following classes of ray patterns are characterized: ray patterns that require eigenvalues along a fixed line in the complex plane, ray patterns that require eigenvalues symmetric about a fixed line, and ray patterns that require eigenvalues to be in a half-plane. Finally, some generalizations and open questions related to eigenvalue distribution are mentioned.     

The Construction of Multivariate Distributions from Markov Random Fields

We address the problem of constructing and identifying a valid joint probability density function from a set of specified conditional densities. The approach taken is based on the development of relations between the joint and the conditional densities using Markov random fields (MRFs). We give a necessary and sufficient condition on the support sets of the random variables to allow these relations to be developed. This condition, which we call the Markov random field support condition, supercedes a common assumption known generally as the positivity condition. We show how these relations may be used in reverse order to construct a valid model from specification of conditional densities alone. The constructive process and the role of conditions needed for its application are illustrated with several examples, including MRFs with multiway dependence and a spatial beta process.     

有功与无功功率最优实时定价新方法

本文给出了一种基于社会收益最大化的有功与无功功率最优实时定价新方法 .传统的研究仅仅考虑了电力系统运行成本最小这一目标 .本文则把有功运行成本、无功运行成本与消费者的收益结合起来 ,利用把消费者的反映表示为需求函数的逆形式的手段 ,使最大化电力市场参与者的社会收益目标变为可能 ,每条母线上的有功与无功功率定价结果也可相应求出 .     

切换成本对线性市场投资决策影响的实物期权分析

本文基于Hotelling模型,针对一个企业在线性区域内的投资决策,考虑投资者在采用为自己作为新进入公司,为新客户使用本公司的产品付出切换成本来竞争市场的策略行为,建立需求不确定环境中的连续动态模型,应用实物期权分析方法评价投资者的投资机会价值和最优投资策略,研究切换成本对投资者投资机会的价值和投资决策的影响.本文研究结果给出了投资者在付出切换成本获得市场份额和减少成本增加投资价值之间的权衡.     

飞机发动机进口流场综合压力畸变指数W的实时采集处理软件实现技术

简要介绍了一个改进的飞机发动机进口流场压力畸变指数测量系统的硬件体系,重点讨论了系统的软件实现方法及其部分关键技术,其中用扩展内存技术解决了实时大容量稳态数据的长时间存储问题,使用此系统对飞机发动机进口流场综合压力畸变指数Ｗ进行了测量和处理     

基于CVaR方法的房地产组合投资最优化模型研究

房地产开发项目投资是具有高风险高回报的典型的风险投资.在这个高风险的投资环境中要想达到预期目标,就必须对整个项目进行开发投资风险分析.本文运用CVaR对房地产项目投资存在的风险进行识别度量,通过建立基于CVaR下的房地产组合投资模型,达到项目风险防范的目的,提高投资回报的稳定性.