The long‐term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

Different from the short‐term risk measure for traditional financial assets (stocks, bonds, etc.), the key to illiquid inventory portfolio traded in the over‐the‐counter markets is to estimate the long‐term extreme price risk with time varying volatility. In this article, a new long‐term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average‐Exponential Generalized Autoregressive Conditional Heteroskedasticity‐Extreme Value Theory model and multivariatet‐Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long‐term extreme price risk with time varying volatility via Monte Carlo simulation instead of square‐root‐of time rule. The results show that, first, benefits from risk diversification is significant; second, long‐term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square‐root‐of time rule; the last is that the dynamic rate interval based on the long‐term price risk is superior to the crude rules of thumb in terms of reducing efficiency loss and improving risk coverage. In summary, this article provides a new quantitative framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation. © 2014 Wiley Periodicals, Inc. Complexity 20: 17–34, 2015     

球形Dirac方程的空间格点求解及假态问题

本文在空间格点上利用虚时间步长方法求解了球形Dirac方程, 着重研究了出现的假态问题. 利用三点数值导数公式离散方程中一阶导数项, 可以证明对于量子数为 κ 和 -κ的单粒子能级能量是完全相同的, 其中一个为物理解, 另一个为假态. 通过在径向Dirac方程中引入Wilson 项, 可以解决假态问题, 得到全部物理解. 文章以 Woods-Saxon 势为例, 考虑 Wilson 项后, 得到与打靶法一致的结果.     

An efficient splitting technique for two‐layer shallow‐water model

We consider the numerical approximation of the weak solutions of the two‐layer shallow‐water equations. The model under consideration is made of two usual one‐layer shallow‐water model coupled by nonconservative products. Because of the nonconservative products of the system, which couple both one‐layer shallow‐water subsystems, the usual numerical methods have to consider the full model. Of course, uncoupled numerical techniques, just involving finite volume schemes for the basic shallow‐water equations, are very attractive since they are very easy to implement and they are costless. Recently, a stable layer splitting technique was introduced [Bouchut and Morales de Luna, M2AN Math Model Numer Anal 42 (2008), 683–698]. In the same spirit, we exhibit new splitting technique, which is proved to be well balanced and non‐negative preserving. The main benefit issuing from the here derived uncoupled method is the ability to correctly approximate the solution of very severe benchmarks. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 1396–1423, 2015     

Dynamics and optimal control in a spatially structured economic growth model with pollution diffusion and environmental taxation

In the first part of this paper we present a spatially structured dynamic economic growth model which takes into account the level of pollution and a possible taxation based on the amount of produced pollution. In the second part we analyze an optimal harvesting control problem with an objective function composed of three terms, namely the intertemporal utility of the decision maker, the space–time average of the level of pollution in the habitat, and the disutility due to the imposition of taxation.     

一类具有连续变量的二阶非线性阻尼差分方程的振动准则

考虑了一类具有连续变量的二阶非线性阻尼差分方程,利用积分变换和广义R iccati变换,给出了此类方程的振动准则.     

带次线性中立项的二阶广义Emden-Fowler微分方程的Philos型振动准则

研究一类带次线性中立项的二阶非线性广义Emden-Fowler时滞微分方程的振动性.利用Riccati变换和不等式技巧,在非正则条件下建立了该类方程多个简便的Philos型和Kamenev型新振动准则.所得定理也适应于包括经典Euler方程等线性非中立型方程,推广和改进了已有文献中的相应结果.最后还给出应用实例展示了所...     

热光伏能量转换器件的热力学极限与优化性能预测

受不可逆损失的影响,热光伏能量转换器件在高品位热能回收与利用方面受到限制.本文揭示不可逆损失来源,提供热光伏能量转换器件性能提升方案.利用半导体物理和普朗克热辐射理论,确定热光伏能量转换器件在理想条件下的最大效率.进而考虑Auger与Shockley-Reed-Hall非辐射复合和不可逆传热损失对光伏电池的电学、光学和热学特性的影响,预测热光伏器件优化性能.确定功率密度、效率和光子截止能量的优化区间.结果表明:相比于理想热光伏器件,非理想热光伏器件的开路电压、短路电流密度和效率有所降低;优化热光伏电池电压、光子截止能量和热源温度,可提升器件的功率密度和效率.通过对比发现理论与实验结果较一致,所得结果可为实际热光伏能量转换器件的研制提供理论指导.     

概率语言多属性群决策方法及其在新型智慧城市市民获得感评价中的应用

针对公众参与的语言信息多属性群决策问题,研究了考虑参与者满意度的概率语言多属性群决策方法。首先,根据参与者的语言评价信息确定并规范化概率语言决策矩阵。然后,对大群体进行共识分析,由最大化参与者群体的满意度构建线性规划模型,确定参与者群组的权重;构造正、负理想方案的评价向量,构建多目标规划模型,用拉格朗日乘子法求解属性权重;定义各方案的加权贴近度,并以此对方案进行排序和优选。最后,通过新型智慧城市市民获得感评价案例验证了模型的可行性和有效性。     

带阻尼项的三阶脉冲微分方程的振动性与渐近性

解决了一类带阻尼项的三阶脉冲微分方程的非振动解与其一阶、二阶导数的符号关系,用迭代法得到其振动性与渐近性的判别准则,并举例说明准则的有效性.