Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

Generalized 3G theorem and application to relativistic stable process on non-smooth open sets

Let G(x,y) and GD(x,y) be the Green functions of rotationally invariant symmetric α-stable process in Rd and in an open set D, respectively, where 0<α<2. The inequality GD(x,y)GD(y,z)/GD(x,z)?c(G(x,y)+G(y,z)) is a very useful tool in studying (local) Schrödinger operators. When the above inequality is true with c=c(D)∈(0,∞), then we say that the 3G theorem holds in D. In this paper, we establish a generalized version of 3G theorem when D is a bounded κ-fat open set, which includes a bounded John domain. The 3G we consider is of the form GD(x,y)GD(z,w)/GD(x,w), where y may be different from z. When y=z, we recover the usual 3G. The 3G form GD(x,y)GD(z,w)/GD(x,w) appears in non-local Schrödinger operator theory. Using our generalized 3G theorem, we give a concrete class of functions belonging to the non-local Kato class, introduced by Chen and Song, on κ-fat open sets. As an application, we discuss relativistic α-stable processes (relativistic Hamiltonian when α=1) in κ-fat open sets. We identify the Martin boundary and the minimal Martin boundary with the Euclidean boundary for relativistic α-stable processes in κ-fat open sets. Furthermore, we show that relative Fatou type theorem is true for relativistic stable processes in κ-fat open sets. The main results of this paper hold for a large class of symmetric Markov processes, as are illustrated in the last section of this paper. We also discuss the generalized 3G theorem for a large class of symmetric stable Lévy processes.     

相关系数与相关性度量

研究了度量相关性的两个主要工具:线性相关系数和尾部相关系数.线性相关系数反映了变量间的线性相关性,这对于一般的椭圆型分布是合适的.但如果随机变量具有不对称的尾部变化特征时,要用尾部相关系数描述它们之间的相关性.通过相关函数C opu la,对沪深股市的尾部相关系数进行了定量分析.结果表明:沪深股市具有较强的相关性.     

A web-based workforce management system for Sainsburys Supermarkets Ltd

Labour scheduling plays an important and critical role in Sainsburys day to day operations and profitability. The integrated workforce management solution for Sainsburys is an intelligent solution for the operational deployment of human resources, integrated business forecasting, generation and calculation of workload and staff scheduling. The workforce management technology has provided Sainsburys with a fully web-based and centralised system that produces optimised schedules for all employees satisfying the forecasted demand of work with granularity of fifteen minutes. The system is configured to respect all operational and business requirements as well as employee contractual constraints. This paper introduces the workforce management solution system designed, developed and implemented for Sainsburys. We concentrate on two modelling structures, namely the work pattern model and optimisation model, and briefly discuss the optimisation process.     

综合网管中基于模型驱动的元数据管理

提出了一种基于模型驱动的元数据管理方案．方案采用了基于模型的形式化描述方法，统一了专业网管子系统间的元数据模式；通过引入模型驱动技术，从元模型的抽象层次消除了不同专业网管子系统之间存在的“信息孤岛”；方案还对综合网管环境下的元数据理论和交换机制进行了研究，并给出了元数据的管理框架以及元数据交换的Java接口映射．     

On multiple integrals of special form

Multiple integrals generalizing the iterated kernels of integral operators are expressed as single integrals in the case of a special representation of the kernel (this is our theorem). Besides integral equations, Markov processes involve these integrals as well. As a consequence of the theorem, we obtain transition probability densities of certain Markov processes. As an illustration, we consider nine examples.     

Dynamic Nonlinear Modelization of Operational Supply Chain Systems

Supply Chain Management (SCM) is an important activity in all producing facilities and in many organizations to enable vendors, manufacturers and suppliers to interact gainfully and plan optimally their flow of goods and services. To realize this, a dynamic modelling approach for characterizing supply chain activities is opportune, so as to plan efficiently the set of activities over a distributed network in a formal and scientific way. The dynamical system will result so complex that it is not generally possible to specify the functional forms and the parameters of interest, relating outputs to inputs, states and stochastic terms by experiential specification methods. Thus the algorithm that will presented is Data Driven, determining simultaneously the functional forms, the parameters and the optimal control policy from the data available for the supply chain. The aim of this paper is to present this methodology, by considering dynamical aspects of the system, the presence of nonlinear relationships and unbiased estimation procedures to quantify these relations, leading to a nonlinear and stochastic dynamical system representation of the SCM problem. Moreover, the convergence of the algorithm will be proved and the satisfaction of the required statistical conditions demonstrated. Thus SCM problems may be formulated as formal scientific procedures, with well defined algorithms and a precise calculation sequence to determine the best alternative to enact. A “Certainty equivalent principle” will be indicated to ensure that the effects of the inevitable uncertainties will not lead to indeterminate results, allowing the formulation of demonstrably asymptotically optimal management plans.     

Recent radiochemical studies of the fission process

This article summarizes the recent radiochemical investigations on mass, charge kinetic energy and fragment angular distributions in low energy fission of actinides.     

Optimal production and rationing decisions in supply chains with information sharing

This paper considers a two-echelon capacitated supply chain with two non-identical retailers and information sharing. We characterize the optimal inventory policies. We also study the benefits of the optimal stock rationing policy over the first come first served (FCFS) and the modified echelon-stock rationing (MESR) policies.     

Growth of Lévy trees

We construct random locally compact real trees called Lévy trees that are the genealogical trees associated with continuous-state branching processes. More precisely, we define a growing family of discrete Galton–Watson trees with i.i.d. exponential branch lengths that is consistent under Bernoulli percolation on leaves; we define the Lévy tree as the limit of this growing family with respect to the Gromov–Hausdorff topology on metric spaces. This elementary approach notably includes supercritical trees and does not make use of the height process introduced by Le Gall and Le Jan to code the genealogy of (sub)critical continuous-state branching processes. We construct the mass measure of Lévy trees and we give a decomposition along the ancestral subtree of a Poisson sampling directed by the mass measure. T. Duquesne is supported by NSF Grants DMS-0203066 and DMS-0405779. M. Winkel is supported by Aon and the Institute of Actuaries, EPSRC Grant GR/T26368/01, le département de mathématique de l’Université d’Orsay and NSF Grant DMS-0405779.