THE SOLUTION OF _b－EQUATION OF （P，Q）－FORMS AND IT＇S L~P＆HOLDER ESTIMATES ON A STEIN MANIFOLD

ＴＨＥＳＯＬＵＴＩＯＮＯＦ_ｂ－ＥＱＵＡＴＩＯＮＯＦ（Ｐ，Ｑ）－ＦＯＲＭＳＡＮＤＩＴ＇ＳＬ￣Ｐ＆ＨＯＬＤＥＲＥＳＴＩＭＡＴＥＳＯＮＡＳＴＥＩＮＭＡＮＩＦＯＬＤ￥ＷｕＸｉａｏｑｉｎ（ＤｅｐｔｏｆＭａｔｈ，ＪｉｍｅｉＴｅａｃｈｅｒｓＣｏｌｌｅｇｅＸｉａ?..     

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.     

用~(13)C NMR弛豫研究星形聚苯乙烯在溶液中的分子运动(Ⅱ)

对不同支化度和不同支链链长的20％(W/V)星形聚苯乙烯溶液测定了~(13)C NMR弛豫参数,用1g-x~2分布、Cole-Cole分布和构象跳跃模型对主链的分子运动进行了分析讨论,并对芳环侧基的内旋转运动也进行了分析,求出了活化能和跳跃速率。结果表明,轻度化学交联对相关时间分布有一定影响,对链段运动的势垒没有明显影响。支链链长对~(13)C NMR弛豫的影响和对线形聚合物的影响是类似的。     

Non parametric estimation of the diffusion coefficients of a diffusion with jumps

In this article, we consider a jump diffusion process ${\left(X_t\right)}_{t\ge 0}$, with drift function $b$, diffusion coefficient $\sigma$ and jump coefficient ${\xi }^2$. This process is observed at discrete times $t=0,\Delta ,\dots ,n\Delta$. The sampling interval $\Delta$ tends to 0 and the time interval $n\Delta$ tends to infinity. We assume that ${\left(X_t\right)}_{t\ge 0}$ is ergodic, strictly stationary and exponentially $\beta$-mixing. We use a penalized least-square approach to compute adaptive estimators of the functions ${\sigma }^2+{\xi }^2$ and ${\sigma }^2$. We provide bounds for the risks of the two estimators.     

Robust stabilization of a class of state-dependent jump linear systems

In this article, we consider a continuous-time state-dependent jump linear system (SDJLS), a kind of stochastic hybrid system, with the presence of uncertainties in system parameters. In SDJLS, we consider that the transition rates of the underlying random jump process depend on the state variable. In particular, we assume the transition rates to have different values across suitably defined sets to which the state of the system belongs, and address a problem of robust stability and stabilization analysis. We obtain sufficient conditions for robust stability and state-feedback stabilization in terms of linear matrix inequalities (LMIs). We validate the obtained sufficient robust stability and stabilization conditions with numerical examples.     

Dividend optimization for jump–diffusion model with solvency constraints

Belhaj (2010) established that a barrier strategy is optimal for the dividend problem under jump–diffusion model. However, if the optimal dividend barrier level is set too low, then the bankruptcy probability may be too high to be acceptable. This paper aims to address this issue by taking the solvency constrain into consideration. Precisely, we consider a dividend payment problem with solvency constraint under a jump–diffusion model. Using stochastic control and PIDE, we derive the optimal dividend strategy of the problem.     

Efficient simulation of general stochastic hybrid systems

General Stochastic Hybrid System (SHS) are characterised by Stochastic Differential Equations (SDEs) with discontinuities and Poisson jump processes. SHS are useful in model based design of Cyber-Physical System (CPS) controllers under uncertainty. Industry standard model based design tools such as Simulink/Stateflow® are inefficient when simulating, testing, and validating SHS, because of dependence on fixed-step Euler–Maruyama (EM) integration and discontinuity detection. We present a novel efficient adaptive step-size simulation/integration technique for general SHSs modelled as a network of Stochastic Hybrid Automatons (SHAs). We propose a simulation algorithm where each SHA in the network executes synchronously with the other, at an integration step-size computed using adaptive step-size integration. Ito’ multi-dimensional lemma and the inverse sampling theorem are leveraged to compute the integration step-size by making the SDEs and Poisson jump rate integration dependent upon discontinuities. Existence and convergence analysis along with experimental results show that the proposed technique is substantially faster than Simulink/Stateflow®when simulating general SHSs.     

On a Conjecture of Kleene and Post

A proof is given that 0 ′ (the argest Turing degree containing a computably enumerable set) is definable in the structure of the degrees of unsolvability. This answers a long‐standing question of Kleene and Post, and has a number of corollaries including the definability of the jump operator.     

关于非负下半连续函数最优可测耦合的存在性及其应用

本文证明了两个转移概率关于非负下半连续函数最优可测耦合的存在性定理．作为对这一结果的应用,推广了Ｓｔｒａｓｓｅｎ定理,进而证明了跳过程的随机可比性等价于保序耦合的存在性．     

Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance

The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The result is applied to a cash flow valuation problem with terminal wealth constraint in a financial market. An explicit optimal strategy is obtained in this example.