标的股价服从混合过程的期权定价公式及有限元算法

本文将马尔科夫跳跃过程叠加于 Ito过程 ,形成混合过程 ,并用该过程来刻画股价走势情况。而后在标的股价服从混合过程的基础上 ,推导出了欧式看涨期权的定价公式 ,并对美式看跌期权定价给出了有限元算法。     

An expansion in the exponent for compound binomial approximations

The purpose of this paper is two-fold. First, we introduce a new asymptotic expansion in the exponent for the compound binomial approximation of the generalized Poisson binomial distribution. The dependence of its accuracy on the symmetry and shifting of distributions is investigated. Second, for compound binomial and compound Poisson distributions, we present new smoothness estimates, some of which contain explicit constants. Finally, the ideas used in this paper enable us to prove new precise bounds in the compound Poisson approximation. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 1, pp. 67–110, January–March, 2006.     

正相协列乘积和的重对数律与强大数律

证明了强平稳正相协列乘积和的重对数律与不同分布正相协列乘积和的强大数律,指出了部分和服从强大数律但乘积和未必服从强大数律这一事实,并讨论了定理2中一个条件的必要性．     

高强混凝土弯压极限应变试验研究与计算

由于混凝土材料理化特性的差异,高强混凝土的弯压极限应变明显地小于普通混凝土,依据试验结果分析了高强混凝土的弯压极限应变变化规律,并给出了它的计算公式.     

Discrete approximation of integral operators

A method to approximate the eigenvalues of linear operators depending on an unknown distribution is introduced and applied to weighted sums of squared normally distributed random variables. This area of application includes the approximation of the asymptotic null distribution of certain degenerated U- and V-statistics.

     

Approximation of Matrices and a Family of Gander Methods for Polar Decomposition

Two matrix approximation problems are considered: approximation of a rectangular complex matrix by subunitary matrices with respect to unitarily invariant norms and a minimal rank approximation with respect to the spectral norm. A characterization of a subunitary approximant of a square matrix with respect to the Schatten norms, given by Maher, is extended to the case of rectangular matrices and arbitrary unitarily invariant norms. Iterative methods, based on the family of Gander methods and on Higham’s scaled method for polar decomposition of a matrix, are proposed for computing subunitary and minimal rank approximants. Properties of Gander methods are investigated in details. AMS subject classification (2000) 65F30, 15A18     

Harmonic Analysis on the Compact Homogeneous Spaces──about Fourier Multiplier ofH~P（M） Space

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Multispectral imaging of Mars: ISM results

Summary Multispectral imaging of planets opens a new class of studies of atmospheric and surface signatures. With ISM experiment on board Phobos, the first IR multispectral imaging of Mars from space was achieved. In viem of the Future Omega experiment on board Mars 94, we present here a sample of data and results (and problems) which can be achieved by studying spectral reflectance. Paper presented at the V Cosmic Physics National Conference, S. Miniato, November 27–30, 1990.     

总延误问题顺时安排法的性能比

给定一组工件的加工时间与工期，要求确定这些工件在一台机器上的加．工排列，使相应的总延误达到最小，这就是总延误问题．该问题在近年已被证明是NP困难的．由Wilkermn和Irwin（1971），林勋（1983）等所研究的顺时安排法能得到相邻交换意义下的局部解．在本文中，我们进一步证明该算法能得到前移邻域意义下的局部解，并确定了该算法的性能比．