纯生跳跃扩散型交换期权定价公式

在假定标的资产价格服从纯生跳跃过程的条件下,研究一类多资产期权——资产权重不同的交换期权,并在风险中性的条件下建立相应的定价方程,运用条件期望等相关知识得出交换期权的解析公式。文中最后列出一些特殊纯生跳跃扩散型交换期权的定价的例子.     

Optimal inspection and perfect repair

Models are developed for decision making about monitoring andmaintenance of systems whose performance through time is describedby a general stochastic process. The system is monitored andpreventive and corrective maintenance actions are carried outin response to the observed system state. The decision processis simplified by using the maximum process as a decision variable.The models developed generalize age replacement models and othersimple maintenance strategies. The approach can deal with failuresthat prevent the system functioning further, and also failuresthat are defined by regulation or economic considerations. Attentionis restricted to perfect repair and inspection, but the structureprovides the framework for further developments.     

Nonlinear Filtering for Diffusions in Random Environments

Suppose that the signal X to be estimated is a diffusion process in a random medium W and the signal is correlated with the observation noise. We study the historical filtering problem concerned with estimating the signal path up until the current time based upon the back observations. Using Dirichlet form theory, we introduce a filtering model for general rough signal X ^W and establish a multiple Wiener integrals representation for the unnormalized pathspace filtering process. Then, we construct a precise nonlinear filtering model for the process X itself and give the corresponding Wiener chaos decomposition.     

Mechanism of Interaction of γ-Halogenated Salts of Pyrylium and Benzopyrylium with Aromatic Amines

Stoichiometry and kinetics of reactions of 2,6-diphenyl-4-chloropyrylium, 4-chloroflavylium, 4-bromoflavylium, and 4-iodoflavylium perchlorates with nucleophiles N,N-dimethylaniline and n-phenylenediamine are studied using cyclic voltammetry and spectroscopy. Nucleophilic substitution in these compounds proceeds via the formation of a charge-transfer complex, which converts into a radical ion pair as a result of the electron transfer. Heterolytic clevage of the C–Hal bond occurs at the stage of pyranyl (flavanyl) radical.     

复合广义齐次Poisson过程的多险种破产概率

本文推广了经典的复合泊松风险模型，建立了两类复合广义齐次poisson过程的多险种破产模型．对于新模型，我们得到了初始资本为u的破产概率φ(u)的精确表达式以及特殊情况下φ(0)的表达式，并且导出了调节系数方程和调节系数R的上下界．     

气相色谱仪的技术指标测算方法

通过对气相色谱各项技术指标及意义的介绍，使应用者娴熟地掌握气相色谱的各项技术指标和测算方法，正确的表达分析检测结果。     

Inorganic Sol-Gel Preparation of Medium Sized Microparticles of Li2TiO3 from TiCl4 as Tritium Breeding Material for Fusion Reactors

Microspheres of Li₂TiO₃ were fabricated by a classical, inorganic sol-gel process from commercially available TiCl₄. Elaborated process consists of the following main steps: (1) dissolving of TiCl₄ in concentrated aqueous HCl and addition of LiOH; (2) formation of sol emulsion in 2-ethylhexanol-1 containing the surfactant SPAN-80 (EH); (3) gelation of emulsion drops by extraction of water with partially dehydrated EH; (4) impregnation of gel to Li:Ti molar ratio MR = 2; (5) thermal treatment at 1200°C in order to receive chloride free product. This temperature can be significantly lowered (to 750°C) by dechlorination starting solution TiCl₄ by chemical treatment of the with nitric acid to form of nitrate-stabilized titania sols. Tritium release from sol-gel made Li₂TiO₃ microspheres were found very close to that observed for other traditional materials, however for the first sample process starts slightly earlier.     

Fluctuation Theory for a Three-Dimensional Model of Maxwellian Molecules

Under suitable assumptions, a functional central limit theorem is obtained for a three-dimensional model of Maxwellian molecules. This model is related to a nonlinear Boltzmann-type equation. It will be proved that the family of the distributions induced by fluctuation processes converges weakly.