完备可分度量群上的齐次Levy过程的复合Poisson逼近

该文利用算子半群的方法给出了取值于具有左不变度量的完备可分群的齐次Levy过程是复合Poisson过程的弱极限这一结论．     

A Fixed Point Theorem for Multi—valued Composite Increasing Operators

Ａ　Ｆｉｘｅｄ　Ｐｏｉｎｔ　Ｔｈｅｏｒｅｍ　ｆｏｒ　Ｍｕｌｔｉ－ｖａｌｕｅｄ　Ｃｏｍｐｏｓｉｔｅ　Ｉｎｃｒｅａｓｉｎｇ　ＯｐｅｒａｔｏｒｓＬｉＦｅｎｇｙｏｕ（李凤友）（ＤｅｐａｒｔｍｅｎｔｏｆＭａｔｈｅｍａｔｉｃｓ，Ｔｉａｎｊｉｎ＇ＮｏｒｍａｌＵｎｉ...     

The projective method for solving linear matrix inequalities

Numerous problems in control and systems theory can be formulated in terms of linear matrix inequalities (LMI). Since solving an LMI amounts to a convex optimization problem, such formulations are known to be numerically tractable. However, the interest in LMI-based design techniques has really surged with the introduction of efficient interior-point methods for solving LMIs with a polynomial-time complexity. This paper describes one particular method called the Projective Method. Simple geometrical arguments are used to clarify the strategy and convergence mechanism of the Projective algorithm. A complexity analysis is provided, and applications to two generic LMI problems (feasibility and linear objective minimization) are discussed.     

OU型Markov过程的不变测度及弱对偶性

本文研究ＯＵ型Ｍａｒｋｏｖ过程的不变测度、参考测度和弱对偶半群的存在性问题，并得出了不变测度的唯一性。     

Quadratic Functionals with General Boundary Conditions

The purpose of this paper is to give the Reid ``Roundabout Theorem' for quadratic functionals with general boundary conditions. In particular, we describe the so-called coupled point and regularity condition introduced in [16] in terms of Riccati equation solutions. Accepted 27 February 1996     

GIRSANOV'S THEOREM ON ABSTRACT WIENER SPACES

ＧＩＲＳＡＮＯＶ’ＳＴＨＥＯＲＥＭＯＮＡＢＳＴＲＡＣＴＷＩＥＮＥＲＳＰＡＣＥＳＺＨＡＮＧＹＩＮＮＡＮＡｂｓｔｒａｃｔＬｅｔ（Ｅ，Ｈ，μ）ｂｅａｎａｂｓｔｒａｃｔＷｉｅｎｅｒｓｐａｃｅｉｎｔｈｅｓｅｎｓｅｏｆＬ．Ｇｒｏｓ．Ｉｔｉｓｐｒｏｖｅｄｔｈ...     

横向放大率法确定复合光学系统的基点

介绍了应用测量横向放大率确定两薄透镜组成的复合光学系统基点的方法。由于采用线阵光电耦合器件（CCD）测量物经光学系统成像的横向放大率，提高了测量精度。     

Computation of the quasi-stationary distributions inM(n)/GI/1/K andGI/M(n)/1/K queues

In this paper, we provide numerical means to compute the quasi-stationary (QS) distributions inM/GI/1/K queues with state-dependent arrivals andGI/M/1/K queues with state-dependent services. These queues are described as finite quasi-birth-death processes by approximating the general distributions in terms of phase-type distributions. Then, we reduce the problem of obtaining the QS distribution to determining the Perron-Frobenius eigenvalue of some Hessenberg matrix. Based on these arguments, we develop a numerical algorithm to compute the QS distributions. The doubly-limiting conditional distribution is also obtained by following this approach. Since the results obtained are free of phase-type representations, they are applicable for general distributions. Finally, numerical examples are given to demonstrate the power of our method.     

Stationary Distribution Function Estimation for Ergodic Diffusion Process

The problem of nonparametric stationary distribution function estimation by the observations of an ergodic diffusion process is considered. The local asymptotic minimax lower bound on the risk of all the estimators is found and it is proved that the empirical distribution function is asymptotically efficient in the sense of this bound.     

Vasicek债券定价模型的推广形式

V asicek债券定价模型假定即期利率r(t)遵循O-U过程,利率的长期均值θ为一个常数.对此进行推广,假设θ遵循一个离散跳跃过程,跳跃的次数与幅度由中央银行根据物价指数确定,建立一个新的模型.运用Ito引理和无套利原理给出到期日价值为1的零息票债券的定价公式.