Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Quadratic transformations of the sixth Painlevé equation with application to algebraic solutions

In 1991, one of the authors showed the existence of quadratic transformations between the Painlevé VI equations with local monodromy differences (1/2, a, b, ±1/2) and (a, a, b, b). In the present paper we give concise forms of these transformations. They are related to the quadratic transformations obtained by Manin and Ramani–Grammaticos–Tamizhmani via Okamoto transformations. To avoid cumbersome expressions with differentiation, we use contiguous relations instead of the Okamoto transformations. The 1991 transformation is particularly important as it can be realized as a quadratic‐pull back transformation of isomonodromic Fuchsian equations. The new formulas are illustrated by derivation of explicit expressions for several complicated algebraic Painlevé VI functions. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Fast Fourier Continuous Cyclic Voltammetry at Gold Ultramicroelectrode in Flowing Solution for Determination of Ultra Trace Amounts of Penicillin G

In this work, for the first time a fast continuous cyclic voltammetry was used as a highly sensitive detection method for Penicillin G in a flow‐injection system. A special computer‐based numerical calculation method (using Fast Fourier Transformation) is introduced here for enhancing the analyte signal and noise reduction. During the measurements, the potential waveform (consists of potential steps for cleaning, stripping and potential ramp) was continuously applied on an Au disk microelectrode (with a radius 12.5 μm in radius). The stripping time was less than 200 ms. Effects of rest potential, sweep rate, and delay time on the sensitivity of the method were investigated. The limit of detection of the method was 1.0 × 10^?11 M. The detection limit of the method is 660 times lower than the most sensitive reported method. The relative standard deviation of the method at 1.0×10^?7 M of Penicillin G was 2.7% for 10 runs.     

应力对La0.83Sr0.17MnO3薄膜输运性能的影响

采用溶胶-凝胶方法在Si(111)上制备了LSMO(x=0.17)薄膜.研究了块体材料和不同厚度薄膜R -T曲线、红外光谱和X射线衍射.结果表明，LSMO薄膜属于正交晶体结构，薄膜取向与膜厚度 有关，当膜厚度为450nm或680nm时，主要取向〈200〉，而膜厚度为900nm时取向为〈020〉 ：根据离子对相互作用能和谐振子模型，得到了红外吸收与Mn—O—Mn键长和键角关系式，6 00cm^-1附近红外吸收与晶格常数b的变化有关；块体与薄膜的金属—绝缘体转变 温度(T_MI)存在较大差别，薄膜转变温度显著低于块体，并与厚度有一定关系. 认为是LSMO薄膜中的应力诱导了晶格常数变化，引起键角改变及JT效应是转变温度变化的主 要原因. 关键词： 单晶硅 晶格常数 金属—绝缘体转变温度 应力诱导     

Solution Transformations and Their Effects on the Systems with Open Boundary Conditions

The solution transformations and properties of the R-matrices for two-component systems under these transformations are analyzed in details.Not all transformed R-matrices can be put into the Skalyanin‘s formalism.For those R-matrices with all required properties,the effects of solution transformations to the six-and eight-vertex systems with open boundary conditions are discussed.these effects can be one of the following types:the Hamiltonian is invariant or transposition-invariant or made in a similarity transformation,or its coupling coefficients are multiplied by an overall factor,or the spin of the system is rotated around the z axis or/and reflected with respect to some plane.In these cases,the transformed systems remain to be integrable.     

试样薄化导致的Cu－Al贝氏体／马氏体组织变化

加热到１１７３Ｋ的Ｃｕ－２５ａｔ；％Ａｌ合金块状试样经７２３Ｋ６０Ｓ等温淬火后其组织由片状的“羽毛状贝氏体（９Ｒ结构）和β＿１＇马氏体（１８Ｒ结构）组成。当试样被离子束轰去进一步薄化后，在足够薄的区域内生成了许多２Ｈ结构的薄片马氏体。初步分析认为该薄片马氏体形成的原因是由于贝氏体生成时在试样内留下了高的应力场，当试样薄化到一临界厚度以下时，试样区的三维约束条件松弛使试样内的应力场触发了薄片马氏体的生成。这些薄片马氏体是通过位于贝氏体界面上位错的重新启动而长大的。     

小波变换在手写体汉字识别中的应用

汉字识别中的结构类特征具有抗变形的优点，合适做为手写体识别过程使用，但其中笔划特征的提取非常困难。本文用小波变换这一图象分析中有力工具对汉字图象分析处理之后，再进行笔划的提取，其过程简洁、明晰。     

智能化红外焊缝检测仪的实时信号自相关分析

详细介绍了在改进红外焊缝检测仪的过程中实时信号的一种抗干扰方法－－自相关方法。重点离自相关方法的数学模型，软件框图及设计思想，并给出了实验结果。     

Stochastic flows on a countable set: Convergence in distribution

Consider a sequenceF ₁,F ₂,... of i.i.d. random transformations from a countable setV toV. Such a sequence describes a discrete-time stochastic flow onV, in which the position at timen of a particle that started at sitex isM _n(x), whereM _n =F _n F _n–1 F ₁. We give conditions on the law ofF ₁ for the sequence (M _n) to be tight, and describe the possible limiting law. an example called the block charge model is introduced. The results can be formulated as a statement about the convergence in distribution of products of infinite-dimensional random stochastic matrices. In practical terms, they describe the possible equilibria for random motions of systems of particles on a countable set, without births or deaths, where each site may be occupied by any number of particles, and all particles at a particular site move together.     

Evidence for the poisson distribution for quasi-energies in the quantum kicked-rotator model

A transformation on the two-dimensional torus which is related to the problem of limit distribution for the distance between the levels in the kicked-rotator model is considered. The first four moments of the r.w. which describe the numbers of visits of a point in a rectangle of measure are calculated. It is shown that when 0 they converge to the first four moments of a Poisson r.w.