集值Lebesgue—Stieltjes积分

本文首先刻划了B(R_ )上的集值测度,其次建立了(R_ B(R_ ))上的集值Lebesgue-Stieltjes积分.最后,进—步建立了集值随机Lebesgue-Stietjes积分的理论.     

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.     

CD生产函数与CES生产函数的几点比较

本文对ＣＤ生产函数与ＣＥＳ生产函数进行了几个方面的比较分析，以便于实际运用中的选择。     

What Is a Quantum Stochastic Differential Equation from the Point of View of Functional Analysis?

We prove that a quantum stochastic differential equation is the interaction representation of the Cauchy problem for the Schrödinger equation with Hamiltonian given by a certain operator restricted by a boundary condition. If the deficiency index of the boundary-value problem is trivial, then the corresponding quantum stochastic differential equation has a unique unitary solution. Therefore, by the deficiency index of a quantum stochastic differential equation we mean the deficiency index of the related symmetric boundary-value problem.In this paper, conditions sufficient for the essential self-adjointness of the symmetric boundary-value problem are obtained. These conditions are closely related to nonexplosion conditions for the pair of master Markov equations that we canonically assign to the quantum stochastic differential equation.     

一类It型非线性时滞关联随机大系统的分散鲁棒控制

在非线性项满足全局Lipschitz条件下,本文研究了一类It型非线性时滞关联随机大系统的分散鲁棒控制问题.系统的时滞是关于状态和控制输入的.基于Lyapunov泛函及线性矩阵不等式(LMI)的分析方法,得到了无记忆状态反馈控制器使整个时滞关联随机大系统可镇定的充分条件.     

提前还贷及其隐含期权的分析

可提前还款的定期贷款是隐含着期权的利率衍生物，本文建立CIR利率模型下可提前还款的定期贷款的数学模型，通过离散偏微分方程，建立了模型的计算方法，讨论了随机利率对提前还贷的影响．     

Global Optimization of Stochastic Black-Box Systems via Sequential Kriging Meta-Models

This paper proposes a new method that extends the efficient global optimization to address stochastic black-box systems. The method is based on a kriging meta-model that provides a global prediction of the objective values and a measure of prediction uncertainty at every point. The criterion for the infill sample selection is an augmented expected improvement function with desirable properties for stochastic responses. The method is empirically compared with the revised simplex search, the simultaneous perturbation stochastic approximation, and the DIRECT methods using six test problems from the literature. An application case study on an inventory system is also documented. The results suggest that the proposed method has excellent consistency and efficiency in finding global optimal solutions, and is particularly useful for expensive systems.     

Jensen’s Inequality for Backward Stochastic Differential Equations

Abstract Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen’s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g(t, 0) ≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen’s inequality for g- expectation in [4, 7–9]. *Project supported by the National Natural Science Foundation of China (No.10325101) and the Science Foundation of China University of Mining and Technology.     

Estimates for transition probabilities on a compact manifold

The purpose of this note is to describe a procedure for transferring familiar estimates for transition probabilities on RN to transition probabilities on compact manifolds.     

Theoretical and numerical analysis on multispectral bioluminescence tomography

Recently, molecular imaging has been rapidly developed to studyphysiological and pathological processes in vivo at the cellularand molecular levels. Among molecular imaging modalities, opticalimaging has attracted a major attention for its unique advantages.In this paper, we establish a mathematical framework for multispectralbioluminescence tomography (BLT) that allows simultaneous studiesof multiple optical reporters. We show solution existence, uniquenessand continuous dependence on data as well as the limiting behaviourswhen the regularization parameter approaches zero or when thepenalty parameter approaches infinity. Then, we propose twonumerical schemes for multispectral BLT and derive error estimatesfor the corresponding solutions.