应用复合极值理论计算VaR1

本文介绍了一种复合极值理论,并将其应用到VaR的计算上。实际中大的损失发生的频率也是风险的一种度量,在应用复合极值理论方法计算VaR时,我们第一次将在一定时期内金融资产的损失率超过一定阈值的次数的分布和收益率的分布结合了起来,对欧元/人民币、日元/人民币两种汇率进行了VaR的计算,经过实证分析,得到了一些有意义的结果。     

不同月龄Beagle犬的心电图研究

对不同月龄的６６只健康Ｂｅａｇｌｅ犬采用３％戊巴比妥钠麻醉，进行了９个导联的心电图描记和分析。结果表明：健康Ｂｅａｇｌｅ犬为窦性心律：３０月龄以下育成犬心律平均为１７３．８次／分，种用犬（５０月龄以上）心率平均为１３１．７次／分；二者经统计学处理，有极显著差异。Ｐ波间期平均为０．０５１±０．０１３Ｓｅｃ。Ｐ波振幅平均０．０６１ｍｖ，Ｐ波直立在导联中占９２．６％，在ａＶＲ导联中Ｐ波倒置率９８．７５％；ＱＲＳ波间期均值为：０．０２７±０．００５Ｓｅｃ。在Ⅱ导联中范围为０．０２－０．０４Ｓ－ｅｃ。在各导联中，Ⅰ导联以ｒ波为主（５１．８５％），Ⅱ导联以Ｒｓ波多见（５０％），Ｑｒ波和ｑｒ波在ａＶＲ导联中出现较多（３８．８９％，３１．４８％）。Ｔ波在Ⅰ、Ⅱ、Ⅲ、ａｖＦ、Ⅴ１、Ⅴ２、Ⅴ３导联中直立为主，在ａｖＬ导联中倒置多见（８９．２％，７３．１％）。Ｔ波方向与ＱＲＳ波一致。Ｔ波振幅平沟０．１３７ｍｖ。Ｐ－Ｒ间期范围在此０。０７５－０．１４０Ｓｅｃ。在９个导联中，无明显Ｓ－Ｐ段偏移。Ｐ－Ｐ间隔＜０．０１Ｓｅｃ。     

Optimal times for constrained nonlinear control problems without local controllability

We study optimal times to reach a given closed target for controlled systems with a state constraint. Our goal is to characterize these optimal time functions in such a way that it is possible to compute them numerically and we do not need to compute trajectories of the controlled system. In this paper we provide new results using viability theory. This allows us to study optimal time functions free from the controllability assumptions classically made in the partial differential equations approach.     

基于知识价值链的企业知识创新动态模式研究

企业知识创新是一个完整而连续的动态过程。在企业知识创新研究领域,野中郁次郎的SECI模型对知识在企业中的动态转化过程有很好的解释力,但他仅注重隐性知识的研究。本文在SECI模型的基础上,引入知识价值链,对隐性知识和显性知识转化进行合成研究,提出了企业知识创新的动态模式,并对这一模式运行所需的知识场和知识库进行了描述,形成了一个比较完善的企业知识创新过程体系。     

Characterization of acceptance sets for co-monotone risk measures

We present a geometric characterization of acceptance sets for monotone, co-monotone and convex risk measures on finite state spaces. Geometrically, such acceptance sets can be represented by convex polygons with edges only on certain hyperplanes. We also provide some lower dimensional examples, and study acceptance sets for value at risk and expected shortfall.     

On meromorphic solutions of nonlinear partial differential equations of first order

We prove a uniqueness theorem in terms of value distribution for meromorphic solutions of a class of nonlinear partial differential equations of first order, which shows that such solutions f are uniquely determined by the zeros and poles of f−cj (counting multiplicities) for two distinct complex numbers c₁ and c₂.     

A system-theoretic model for cooperation, interaction and allocation

A system-theoretic approach to cooperation, interaction and allocation is presented that simplifies, unifies and extends the results on classical cooperative games and their generalizations. In particular, a general Weber theory of linear values is obtained and a new theory for local cooperation and general interaction indices is established. The model is dynamic and based on the notion of states of cooperation that change under actions of agents. Careful distinction between “local” states of cooperation and general “system” states leads to a notion of entropy for arbitrary non-negative and efficient allocations and thus to a new information-theoretic criterion for fairness of allocation mechanisms. Shapley allocations, for instance, are exhibited as arising from random walks with maximal entropy. For a large class of cooperation systems, a characterization of game symmetries in terms of λ-values is given. A concept for cores and Weber sets is proposed and it is shown that a Weber set of a game with selection structure always contains the core.     

A piecewise-linearized algorithm based on the Krylov subspace for solving stiff ODEs

Numerical methods for solving Ordinary Differential Equations (ODEs) have received considerable attention in recent years. In this paper a piecewise-linearized algorithm based on Krylov subspaces for solving Initial Value Problems (IVPs) is proposed. MATLAB versions for autonomous and non-autonomous ODEs of this algorithm have been implemented. These implementations have been compared with other piecewise-linearized algorithms based on Padé approximants, recently developed by the authors of this paper, comparing both precisions and computational costs in equal conditions. Four case studies have been used in the tests that come from stiff biology and chemical kinetics problems. Experimental results show the advantages of the proposed algorithms, especially when the dimension is increased in stiff problems.     

多复变全纯映射正规族关于连续移动超平面的一个充要条件

证明了从C~n的一个区域到P~N(C)中的多复变全纯映射族为正规族的一个充要条件.这个充要条件与P~N(C)中的逐点处于一般位置的连续移动超平面族有关.证明的主要方法来自于微分方程.     

一阶线性模糊微分方程的解

利用文[8]中的扩展原理求解了一阶线性模糊微分方程,给出了解可表示的条件,讨论了同其他求解方法之间的关系,最后给出了具体算例。