Single-server queues with spatially distributed arrivals

Consider a queueing system where customers arrive at a circle according to a homogeneous Poisson process. After choosing their positions on the circle, according to a uniform distribution, they wait for a single server who travels on the circle. The server's movement is modelled by a Brownian motion with drift. Whenever the server encounters a customer, he stops and serves this customer. The service times are independent, but arbitrarily distributed. The model generalizes the continuous cyclic polling system (the diffusion coefficient of the Brownian motion is zero in this case) and can be interpreted as a continuous version of a Markov polling system. Using Tweedie's lemma for positive recurrence of Markov chains with general state space, we show that the system is stable if and only if the traffic intensity is less than one. Moreover, we derive a stochastic decomposition result which leads to equilibrium equations for the stationary configuration of customers on the circle. Steady-state performance characteristics are determined, in particular the expected number of customers in the system as seen by a travelling server and at an arbitrary point in time.     

SOLVABILITY OF FORWARD-BACKWARD SDES AND THE NODAL SET OF HAMILTON-JACOBI-BELLMAN EQUATIONS

The solvability of a class of forward-backward stochastic differential equations (SDEs for short) over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control problem, with both drift and difftusion all being controlled, so that the solvability problem is converted to a problem of finding the nodal set of the viscosity solution to a certain Hamilton-Jacobi-Bellman equation. This method overcomes the fatal difficulty encountered in the traditional contraction mapping approach to the existence theorem of such SDEs.     

关于双重时序AR-MA模型的相关结构及与ARMA模型的比较

本文在文［４］的基础上讨论了双重时序ＡＲ（１）－ＭＡ（ｑ）模型的相关结构，在不假定白噪声序列为正态的情况下，证明了安鸿志［２］关于模型的相关结构的猜想是正确的，具体地构造了ＡＲ（１）－ＭＡ（３）模型的相关结构，并与ＡＲＭＡ模型进行了初步的比较，给出了一些抛砖引玉的讨论．     

“String” formulation of the dynamics of the forward interest rate curve

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string must obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial (possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation. Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998     

Modified Equations for Stochastic Differential Equations

We describe a backward error analysis for stochastic differential equations with respect to weak convergence. Modified equations are provided for forward and backward Euler approximations to Itô SDEs with additive noise, and extensions to other types of equation and approximation are discussed.     

Superluminal Signals and the Resolution of the Causal Paradox

The experimental evidence for electromagnetic signals propagating with superluminal group velocity is recalled. Transformations of space and time depending on a synchronization parameter, e₁, indicate the existence of a privileged inertial system. The Lorentz transformations are obtained for a particular e₁≠0. No standard experiment on relativity depends on e₁, but if accelerations are considered only e₁=0 remains possible. The causal paradox generated by superluminal signals (SLS) in the theory of relativity does not exist in the theory with e₁=0. The irrelevance of SLS for the Einstein, Podolsky and Rosen paradox is pointed out.     

基于线性耦合下混沌系统的同步条件

将混沌同步问题用精确的数学语言给予描述，通过数学分析将其转化为微分方程组的稳定性问题.以Lorenz系统族的Chen氏系统作为典型系统，在线性耦合下分析系统参数，得到了系统达到同步时的充分条件，且在理论上加以证明.结合该条件，提出了一种确定耦合系数的方法.最后用仿真实验验证了该方法的正确性，并验证了在不同耦合方式和参考系统的情况下定理的有效性. 关键词： 混沌同步 耦合 稳定性     

随机参数Duffing系统中的随机混沌及其延迟反馈控制

研究了谐和激励下含有界随机参数Duffing系统(简称随机Duffing系统)中的随机混沌及其延迟反馈控制问题.借助Gegenbauer多项式逼近理论，将随机Duffing系统转化为与其等效的确定性非线性系统.这样，随机Duffing系统在谐和激励下的混沌响应及其控制问题就可借等效的确定性非线性系统来研究.分析阐明了随机混沌的主要特点，并采用Wolf算法计算等效确定性非线性系统的最大Lyapunov指数，以判别随机Duffing系统的动力学行为.数值计算表明，恰当选取不同的反馈强度和延迟时间，可分别达到抑制或诱发系统混沌的目的，说明延迟反馈技术对随机混沌控制也是十分有效的. 关键词： 随机Duffing系统 延迟反馈控制 随机混沌 Gegenbauer多项式     

耦合发电机系统的自适应控制与同步

讨论了耦合发电机系统的自适应控制和参数未知时的自适应同步问题.设计了自适应控制器，将耦合发电机系统的混沌轨道镇定到平衡点，并使得两个参数未知的耦合发电机系统达到了混沌同步.数值模拟验证了所设计的控制器的有效性. 关键词： 耦合发电机系统 自适应控制 平衡点 同步     

Soluble models for dynamics driven by a super-diffusive noise

We explicitly discuss scalar Langevin type of equations where the deterministic part is linear, but where the integrated noise source is a non-linear diffusion process exhibiting superdiffusive behavior. We calculate transient and stationary probabilities and study the possibility of noise induced transitions from a unimodal to a bimodal probability shape. Illustrations from finance and dynamical systems are given.