Optimal Investment Strategies for an Insurer with SAHARA Utility

In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

Effect of the subdivision strategy on convergence and efficiency of some global optimization algorithms

We investigate subdivision strategies that can improve the convergence and efficiency of some branch and bound algorithms of global optimization. In particular, a general class of so called weakly exhaustive simplicial subdivision processes is introduced that subsumes all previously known radial exhaustive processes. This result provides the basis for constructing flexible subdivision strategies that can be adapted to take advantage of various problem conditions.     

线性方程组通解并行数值方法

1预备知识 线性方程组消息传递MIMD算法是20世纪90年代至今的活跃课题，但尚无此问题 的通用有效算法发表.用!.}.}表示矩阵列分块划分，记AX=b为[AI司.定理1、2是文 {l]、[s]成果综述和推广. 定理i[‘]设有线性方程组!e}己l，e〔尺”“m，d〔R”“‘，rank(e)=r.当且仅当rank(!     

无线移动自组网络的动态源路由策略

文章介绍无线移动自组网中动态源路由策略的路由发现和路由维护,并提出改进思路和今后研究的方向。     

Radon变换在低信噪比图像中的线段检测

Radon变换在数学理论上有重要价值,并可用于图像直线特征的提取,但是在检测线段时,Radon变换无法提供线段的端点以及长度信息,低信噪比时检测难度加大。探讨了Radon变换在低信噪比图像特征检测的适用性,分析了Radon变换的优势与不足,并从信息融合的角度出发,提出了Radon变换补充的应用策略,对低信噪比的机场跑道图像进行了验证,显示出较好的检测效果。     

加热炉热过程动态操作数学模型

根据加热炉生产特点,建立了钢坯加热过程的动态操作数学模型,分析了待轧时间变化时炉内钢坯温度分布情况。并针对加热炉待轧的灰色性,采用多目标灰色局势决策方法,得出了相应合理的待轧优化控制策略。模拟结果表明:该方法具有良好的动态性能,适合于在线控制。     

Pattern forming precipitation in gels due to coupling of chemical reactions with diffusion

Precipitate-forming chemical reactions have been studied in chemically cross-linked poly(vinyl alcohol) gel medium. One of the reactive components was incorporated into the gel, the other was allowed to diffuse into it. Depending on the experimental conditions the reaction-diffusion process often results in patterns of different type. Experiments performed in tubes and in thin layers were carried out in order to investigate the effects of various factors (cross-linking density, swelling degree as well as the concentrations of the outer and inner electrolytes) on the morphologies of the precipitate patterns. It was found that precipitation occurs not only in the Liesegang bands, but also between bands. Beside Liesegang-type structures, tree-like patterns have been observed, showing a characteristic periodicity in the density profile obtained by digitalized image analyses.     

光致变色多阶游程光存储研究

多阶游程存储是一种不改变光学系统而显著提高光存储容量和数据传输率的新方法.介绍了光致变色多阶游程存储原理和实验系统.提出了基于光致变色原理的多阶游程存储数学模型，该模型反映了记录符反射率与曝光功率、曝光时间之间的非线性关系，并在此基础上确定了光致变色多阶游程存储的写策略.基于650nm光致变色材料进行了4阶游程存储的动态实验.结果表明，实验中采用的650nm光致变色材料可用于多阶游程存储，采用的写策略能够有效地使记录信道线性化，利于采用适合线性系统的信号处理方法. 关键词： 多阶游程 光致变色 光存储 写策略     

投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

Calorimetric study of Diepoxide Chain-Extended Poly(Ethylene Terephthalate)

A series of chain-extended PET samples were obtained by the use of different amounts of a diepoxide as chain extender, which was prepared for this purpose. These samples exhibited different intrinsic viscosities and degrees of branching or cross-linking. The effects of this differentiation on the thermal properties were studied by differential scanning calorimetry. The thermal parameters studied were the glass transition temperature (T_g), the cold-crystallization temperature (T_cc), the melting temperature (T_m), the enthalpy (ΔH_m) and the degree of crystallinity. The data revealed that, the higher the quantity of chain extender or the chain extension time, the higher T_gand T_cc, but the lower T_mand ΔH_m, i.e. the more amorphous the chain-extended samples, as also shown by density measurements. This revised version was published online in July 2006 with corrections to the Cover Date.