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.     

完备可分度量群上的齐次Levy过程的复合Poisson逼近

该文利用算子半群的方法给出了取值于具有左不变度量的完备可分群的齐次Levy过程是复合Poisson过程的弱极限这一结论．     

Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

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。