Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations

The purpose of this paper is to investigate the asymptotic properties of the least squares estimates (L ₂-estimates) and the least absolute deviation estimates (L ₁-estimates) of the parameters of a nonlinear regression model subject to a set of equality and inequality restrictions, which has a long-range dependent stationary process as its stochastic errors. Then we will compare the asymptotic relative efficiencies of the above estimators.     

Fractional Brownian Heavy Traffic Approximations of Multiclass Feedforward Queueing Networks

We consider multiclass feedforward queueing networks under first in first out and priority service disciplines driven by long-range dependent arrival and service time processes. We show that in critical loading the normalized workload, queue length and sojourn time processes can converge to a multi-dimensional reflected fractional Brownian motion. This weak heavy traffic approximation is deduced from a deterministic pathwise approximation of the network behavior close to constant critical load in terms of the solution of a Skorokhod problem. Since we model the doubly infinite time interval, our results directly cover the stationary case.AMS subject classification: primary 90B15, secondary 60K25, 68M20     

Continuous dependence on modelling for a complex Ginzburg–Landau equation with complex coefficients

Continuous dependence on a modelling parameter is established for solutions of a problem for a complex Ginzburg–Landau equation. A homogenizing boundary condition is also used to discuss the continuous dependence results. We derive a priori estimates that indicate that solutions depend continuously on a parameter in the governing differential equation. Copyright © 2004 John Wiley & Sons, Ltd.     

Analytic Feynman integrals of transforms of variation of cylinder type functions over Wiener paths in abstract Wiener space

In this paper, we evaluate various analytic Feynman integrals of first variation, conditional first variation, Fourier-Feynman transform and conditional Fourier-Feynman transform of cylinder type functions defined over Wiener paths in abstract Wiener space. We also derive the analytic Feynman integral of the conditional Fourier-Feynman transform for the product of the cylinder type functions which define the functions in a Banach algebra introduced by Yoo, with n linear factors.     

Continuous dependence on the geometry and on the initial time for a class of parabolic problems I

In this paper, we investigate the continuous dependence on the geometry and the initial time for solutions u( x , t) of a class of nonlinear parabolic initial‐boundary value problems. Copyright © 2007 John Wiley & Sons, Ltd.     

Effect of core-shell micelle formation on the redox properties of phenothiazine-labeled poly(ethyl glycidy ether)-block-poly(ethylene oxide)

Redox properties of phenothiazine-labeled poly(ethyl glycidy ether)-block-poly(ethylene oxide) (PT-EGE_n-b-EO_m) are reversibly changed by core-shell micelle formation. In the temperature range higher than the critical micellization temperature (cmt), the anodic potential of PT group positively shifts and concomitantly its anodic current decrease, or levels off compared to those of the reference polymer PT-EO_m without the thermo-responsive EGE_n segment. The former alteration is caused by incorporation of hydrophobic PT groups into a core of the micelle and the latter by the decrease in the diffusion coefficient of PT groups due to formation of the core-shell micelles. The cmt value and the temperature-dependent alteration in the redox properties strongly depend on the polymer structure, especially the length of thermo-responsive EGE_n segment. The electrochemically determined hydrodynamic radii of the polymer aggregates seem to be overestimated, compared to the values reported for the aggregates of other thermo-responsive polymers with similar molecular weights, implying the presence of electrochemically inactive PT groups in the copolymers having longer thermo-responsive segments.     

Ergodic theory and the Strong Law of Large Numbers on Riesz spaces

In [W.-C. Kuo, C.C.A. Labuschagne, B.A. Watson, Discrete-time stochastic processes on Riesz spaces, Indag. Math. (N.S.) 15 (3) (2004) 435-451], we introduced the concepts of conditional expectations, martingales and stopping times on Riesz spaces. Here we formulate and prove order theoretic analogues of the Birkhoff, Hopf and Wiener ergodic theorems and the Strong Law of Large Numbers on Riesz spaces (vector lattices).     

原子核电荷半径的新公式

结合原子核的电荷半径的实验数据,详细分析了描述原子核电荷半径的经验公式,表明电荷半径的Z^1/3律优于A^1/3律.更细致的考察发现,对于远离β稳定线的核素,电荷半径具有近似线性的同位旋相关性.由此得到的同位旋相关的Z^1/3公式更适合描述原子核的电荷半径.     

Time Consistent Dynamic Risk Measures

We introduce the time-consistency concept that is inspired by the so-called “principle of optimality” of dynamic programming and demonstrate – via an example – that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures based on the theory and structure of the target-percentile risk measure.     

沪深股市相关结构分析研究

在金融市场风险分析中,对金融资产相关结构的讨论有着重要意义,从而引出对如何选取好的相关结构模型来捕捉金融资产间的相关变化规律的讨论。针对这一问题,我们用混合相关结构函数Copula对上海、深圳股票市场进行了相关分析研究,用极值分布刻画了每支股票的边缘分布,用两步估计法对Copula中的参数进行了估计。分析结果表明:混合Copula相关结构能够捕捉金融市场间相关性变化规律,比单个Copula相关结构更灵活,更能全面地反映市场间非对称变化的相关程度和模式,此方法还可以推广到对多种金融资产收益率进行相关性分析。