An inequality connecting entropy distance,Fisher Information and large deviations

In this paper we introduce a new generalisation of the relative Fisher Information for Markov jump processes on a finite or countable state space, and prove an inequality which connects this object with the relative entropy and a large deviation rate functional. In addition to possessing various favourable properties, we show that this generalised Fisher Information converges to the classical Fisher Information in an appropriate limit. We then use this generalised Fisher Information and the aforementioned inequality to qualitatively study coarse-graining problems for jump processes on discrete spaces.     

猜想M(2k,k+1)=3k-1+[(k-1)/2]的反例

Brualdi与Jung在[1]中研究了一类具有固定线和k的n×n矩阵上的最大跳跃数M(n,k),并提出猜想M(2k, k + 1) = 3k - 1 + [(k-1)/2].本文给出了这一猜想的两个反例．     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Delay-dependent stochastic stability of delayed Hopfield neural networks with Markovian jump parameters

In this paper, the problem of stochastic stability for a class of time-delay Hopfield neural networks with Markovian jump parameters is investigated. The jumping parameters are modeled as a continuous-time, discrete-state Markov process. Without assuming the boundedness, monotonicity and differentiability of the activation functions, some results for delay-dependent stochastic stability criteria for the Markovian jumping Hopfield neural networks (MJDHNNs) with time-delay are developed. We establish that the sufficient conditions can be essentially solved in terms of linear matrix inequalities.     

一类几乎最优循环图{C_p(m,m+1,p/a)}

本文比较了循环图类{c_p(n_1,…,n_p)}和{c-p(n_1…,n_p,p/α)}的直径下界。对于p和α满足一定条件的循环图类{c_p(n_1,n_2,p/α)},本文给出了达到或几乎达到此图类直径下界的一类几乎最优循环图{c_p(m,m+1,p/α)}。     

电子直线加速器磁控管频率稳定的自适应线性神经元方法

 电子直线加速器电子束能量的稳定与否取决于功率源工作频率的稳定性,磁控管在短时间内的散谱和轻微跳谱造成稳频系统的控制精度下降,最后电子束的扫描均匀度下降。引入自适应线性神经元方法(ADALINE)和噪声对消技术以消除对工作频率长期稳定性的影响,从而保证了电子束的扫描均匀度。     

Concentration factors for functions with harmonic bounded mean variation

We discuss determination of jumps for functions with generalized bounded variation. The questions are motivated by A. Gelb and E. Tadmor [1], F. Móricz [5] and [6] and Q. L. Shi and X. L. Shi [7]. Corollary 1 improves the results proved in B. I. Golubov [2] and G. Kvernadze [3]. Supported by NSFC 10671062.     

标的股价服从混合过程的期权定价公式及有限元算法

本文将马尔科夫跳跃过程叠加于 Ito过程 ,形成混合过程 ,并用该过程来刻画股价走势情况。而后在标的股价服从混合过程的基础上 ,推导出了欧式看涨期权的定价公式 ,并对美式看跌期权定价给出了有限元算法。     

Time-Reversed Dynamical Entropy and Irreversibility in Markovian Random Processes

A concept of time-reversed entropy per unit time is introduced in analogy with the entropy per unit time by Shannon, Kolmogorov, and Sinai. This time-reversed entropy per unit time characterizes the dynamical randomness of a stochastic process backward in time, while the standard entropy per unit time characterizes the dynamical randomness forward in time. The difference between the time-reversed and standard entropies per unit time is shown to give the entropy production of Markovian processes in nonequilibrium steady states.     

Robust H∞ control for linear Markovian jump systems with unknown nonlinearities

This paper studies the problem of stochastic stability and disturbance attenuation for a class of linear continuous-time uncertain systems with Markovian jumping parameters. The uncertainties are assumed to be nonlinear and state, control and external disturbance dependent. A sufficient condition is provided to solve the above problem. An H_∞ controller is designed such that the resulting closed-loop system is stochastically stable and has a disturbance attenuation γ for all admissible uncertainties. It is shown that the control law is in terms of the solutions of a set of coupled Riccati inequalities. A numerical example is included to demonstrate the potential of the proposed technique.