Strict stability in terms of two measures for impulsive differential equations with ‘supremum’

Strict stability for a nonlinear system of impulsive differential equations with ‘supremum’ is defined and studied. Razhumikhin method with piecewise continuous scalar Lyapunov functions and comparison results for scalar impulsive differential equations are the bases of the main proofs. To unify a variety of stability concepts and to offer a general framework for the investigation of the stability theory, the notion of stability in terms of two measures has been applied. An example illustrating the usefulness of the obtained sufficient conditions is also included.     

Estimates for the Distributions of the Sums of Subexponential Random Variables

Let be a random walk with independent identically distributed increments . We study the ratios of the probabilities P(S _n >x) / P(₁ > x) for all n and x. For some subclasses of subexponential distributions we find upper estimates uniform in x for the ratios which improve the available estimates for the whole class of subexponential distributions. We give some conditions sufficient for the asymptotic equivalence P(S > x) E P(₁ > x) as x . Here is a positive integer-valued random variable independent of . The estimates obtained are also used to find the asymptotics of the tail distribution of the maximum of a random walk modulated by a regenerative process.     

Optimal behavior of weighted Hardy operators on rearrangement-invariant spaces

The behavior of certain weighted Hardy-type operators on rearrangement-invariant function spaces is thoroughly studied. Emphasis is put on the optimality of the obtained results. First, the optimal rearrangement-invariant function spaces guaranteeing the boundedness of the operators from/to a given rearrangement-invariant function space are described. Second, the optimal rearrangement-invariant function norms being sometimes complicated, the question of whether and how they can be simplified to more manageable expressions is addressed. Next, the relation between optimal rearrangement-invariant function spaces and interpolation spaces is investigated. Last, iterated weighted Hardy-type operators are also studied.     

von Neumann代数中的*-偏序

设H是复Hilbert空间,B(H)是H上的有界线性算子全体组成的代数,M?B(H)是von Neumann代数,"≤"表示M中的*-偏序,即A,B∈M,若A~*A=A~*B,AA~*=BA~*,则A≤B.本文研究了von Neumann代数中*-偏序的上确界和下确界,证明了von Neumann代数M的子集关于*-偏序的上、下确界和B(H)中的上、下确界一致.同时,给出了M的*-偏序遗传子空间的表示,证明了弱~*闭子空间A?M,满足A∈M,B∈A,由A≤B可得A∈A,当且仅当存在唯一具有相同中心投影的投影对E,F∈M,使得A=EMF.     

Statutory financial reporting for variable annuity guaranteed death benefits: Market practice,mathematical modeling and computation

As more regulatory reporting requirements for equity-linked insurance move towards dependence on stochastic approaches, insurance companies are experiencing increasing difficulty with detailed forecasting and more accurate risk assessment based on Monte Carlo simulations. While there is vast literature on pricing and valuations of various equity-linked insurance products, very few have focused on the challenges of financial reporting for regulatory requirement and internal risk management. Most insurers use either simulation-based spreadsheet calculations or employ third-party vendor software packages. We intend to use a basic variable annuity death benefit as a model example to decipher the common mathematical structure of US statutory financial reporting. We shall demonstrate that alternative deterministic algorithms such as partial differential equation (PDE) methods can also be used in financial reporting, and that a fully quantified model allows us to compare alternatives of risk metrics for financial reporting.     

Joint and supremum distributions in the compound binomial model with Markovian environment

In this paper, we study the compound binomial model in Markovian environment, which is proposed by Cossette, et al. (2003). We obtain the recursive formula of the joint distributions of T, X(T − 1) and |X(T)| (i.e., the time of ruin, the surplus before ruin and the deficit at ruin) by the method of mass function of up-crossing zero points, as given by Liu and Zhao (2007). By using the same method, the recursive formula of supremum distribution is obtained. An example is included to illustrate the results of the model.     

带有"上确界"的非线性脉冲微分方程无穷边值问题

应用上下解方法和单调迭代技术研究了带有上确界的一阶非线性脉冲微分方程无穷边值问题，并获得了其极值解的存在性结果．     

带有″上确界″的非线性脉冲微分方程无穷边值问题(英文)

应用上下解方法和单调迭代技术研究了带有上确界的一阶非线性脉冲微分方程无穷边值问题,并获得了其极值解的存在性结果.     

Pricing without no-arbitrage condition in discrete time

In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using martingale measures and no-arbitrage conditions. We propose a different approach based on convex duality instead of martingale measures duality: The prices are expressed using Fenchel conjugate and bi-conjugate without using any no-arbitrage condition. The super-hedging problem resolution leads endogenously to a weak no-arbitrage condition called Absence of Instantaneous Profit (AIP) under which prices are finite. We study this condition in detail, propose several characterizations and compare it to the usual no-arbitrage condition NA.     

鞅差序列滑动和过程的极限结果

该文获得了鞅差序列滑动和过程的完全收敛性, Marcinkiewicz-Zygmund强大数定律, 矩完全收敛性以及讨论了极大值矩的存在性问题, 推广和改进了已有的结果.