Smoothness on bubble tree compactified instanton moduli spaces

The bubble tree compactified instanton moduli space -Mκ （X） is introduced. Its singularity set Singκ（X） is described. By the standard gluing theory, one can show that- Mκ（X） - Singκ（X） is a topological orbifold. In this paper, we give an argument to construct smooth structures on it.     

应用留数定理计算一类实积分

应用留数定理,通过构造被积函数,将一类实积分的计算问题转化为求留数的计算,得到求此类问题的一种解法.     

The valuation of convertible bonds with numeraire changes

The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM （Geometric Brownian Motion） and interest rate follows Vasicek＇s model.     

水中气泡光散射动态特征及其与水粒光散射特征的对比研究

基于VirtualLab虚拟仿真软件建立了粒径在几十到几百微米内不同大小和形状的气泡模型。对其在平面光照射下的散射进行了仿真模拟,得到了气泡的前向、后向光散射特征分布,将结果与水粒的光散射特征进行比较分析,发现:同一气泡前向散射远大于后向散射,但两者拥有十分相近的变化趋势。光源和气泡大小影响气泡远场散射幅值的大小、振荡频率、角宽度及次极大与主极大的比值。气泡结构的对称性影响着气泡远场散射的对称性。气泡与水粒的远场散射特性既联系又区别。该研究的结果可以为气泡的分析检测提供了一定的理论依据。     

Buying on margin,selling short in an agent-based market model

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in financial markets, where agents tend to increase their leverages for increased profits. This paper presents an agent-based asset market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this model, heterogeneous agents can assume fundamental value-converging expectations or trend-persistence expectations, and their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the wealth constraints to some extent. The asset market price is determined by a market maker, who watches the market excess demand, and is influenced by noise factors. By simulations, we examine market results for different leverage ratios. At the individual level, we focus on how the leverage ratio influences agents’ wealth accumulation. At the market level, we focus on how the leverage ratio influences changes in the asset price, volatility, and trading volume. Qualitatively, our model provides some meaningful results supported by empirical facts. More importantly, we find a continuous phase transition as we increase the leverage threshold, which may provide a further prospective of credit trading.     

基于多重散射强度和偏振特征的舰船尾流气泡激光探测方法

研究多重散射效应对舰船尾流气泡群光散射强度和偏振特征的影响是舰船光尾流探测以及新型光自导鱼雷研究的基础. 基于矢量Monte Carlo方法建立了舰船尾流气泡群激光后向探测仿真模型, 重点研究了尾流气泡群的多重散射机理,分析了多重散射效应、尾流气泡群密度对回波信号强度和偏振特征的影响规律. 基于粒子碰撞重要性抽样的基本思想, 在传统能量接收方法的基础上, 提出了回波光子偏振贡献接收方法和回波信号偏振信息统计方法, 解决了小视场系统光子返回概率低无法形成回波能量的难题. 构建了模拟尾流气泡群激光散射强度和偏振探测实验平台, 从实验的角度验证了模拟结果的准确性. 实验和模拟结果的一致性表明, 利用回波强度、偏振信息可表征气泡群距离、密度信息, 从而可对舰船尾流特别是低密度尾流进行高精度的探测和辨识. 关键词： Monte Carlo 偏振 多重散射 气泡     

The convolution of associated homogeneous distributions on R–Part II

This is the second in a series of two papers in which we construct a convolution product for the set ?′ (R) of associated homogeneous distributions (AHDs) with support in R. In Part I we showed that if f ^a and g ^b are AHDs with degrees of homogeneity a ? 1 and b ? 1, the convolution f ^a * g ^b exists as an AHD, if the resulting degree of homogeneity a + b?1 ? N. In this article, we develop a functional extension process, based on the Hahn–Banach theorem, to give a meaning to the convolution product of two AHDs of degrees a ? 1 and b ? 1, in the critical case that a + b ? 1 ∈ N. With respect to this construction, the structure (?′(R), *) is shown to be closed.     

A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment

Motivated by the theory of bond markets, we consider an infinite assets model driven by marked point process and Wiener process. The self-financed wealth processes are defined by using measure-valued strategies. Going further on the works of Bjork et al. [“Bond market structure in the presence of marked point processes”, Mathematical Finance, 7 (1997a) pp. 211–239; “Towards a general theory of bond markets”, Finance and Stochastics, 1 (1997b) pp. 141–174] who focus on the existence of martingale measures and market completeness questions, we study here the incompleteness case. Our main result is a predictable decomposition theorem for supermartingales in this infinite assets model context. The concept of approximate wealth processes is introduced, and we show in an example that the space of measure-valued strategies is not complete with respect to the semimartingale topology. As in the case of stock markets, one can then derive a dual representation of the super-replication cost and study the problem of utility maximization by duality methods.     

Optimal consumption and portfolio under inflation and Markovian switching

In this paper, a financial market with Markovian switching and inflation is described, and the problem of maximizing expected utility of consumption discounted by inflation is given. Then, by a generalized Itô formula for Markov-modulated processes, the verification theorems of optimal policies are derived. Finally, the optimal consumption and portfolio policies for the constant relative risk aversion utility are given explicitly, and an economic analysis is made by numerical examples.     

A note on arbitrage,approximate arbitrage and the fundamental theorem of asset pricing

We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde [Stochastics 82 (2010), pp. 189–200] in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counter example.