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.     

Spectral shifts and spectral switches in diffraction of ultrashort pulsed beams passing through a circular aperture

Based on the Fourier transform method, a simple closed-form expression for the on-axis power spectrum of ultrashort Gaussian pulsed beams in diffraction at a circular aperture is derived, which permits us to study spectral changes both analytically and numerically. It is shown that for diffracted pulsed beams there exist spectral red and blue shifts, spectral narrowing, and spectral switches in the near field. The aperture diffraction plays an important role in spectral switching, but both the truncation parameter and bandwidth (or equally, Fourier transform limited pulse duration) affect the behavior of spectral switches.     

Fourier-Feynman transform, convolution and first variation

We examine several interesting relationships and expressions involving Fourier-Feynman transform, convolution product and first variation for functionals in the Fresnel class F(B) of an abstract Wiener space B. We also prove a translation theorem and Parseval's identity for the analytic Feynman integral. This revised version was published online in June 2006 with corrections to the Cover Date.     

Universal elementary constituents of potential transformations shifting waves (qualitative theory)

It is shown that the potential perturbation that shifts a chosen standing wave in space is a block of potential barrier and well for every wave bump between neighbouring knots. The algorithms shifting the range of the primary localization of a chosen bound state in a potential well of finite width are as well applicable to the scattering functions if states of the continuous spectrum are considered as bound states normalized to unity but distributed on an infinite interval with vanishing density. The potential perturbations of the same type on the half-axis concentrate the scattering wave at the origin, thus creating a bound state embedded into the continuous spectrum (zero width resonance).     

集值Lebesgue—Stieltjes积分

本文首先刻划了B(R_ )上的集值测度,其次建立了(R_ B(R_ ))上的集值Lebesgue-Stieltjes积分.最后,进—步建立了集值随机Lebesgue-Stietjes积分的理论.     

Extreme behavior of bivariate elliptical distributions

This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result.     

High order generalized upwind schemes and numerical solution of singular perturbation problems

High even order generalizations of the traditional upwind method are introduced to solve second order ODE-BVPs without recasting the problem as a first order system. Both theoretical analysis and numerical comparison with central difference schemes of the same order show that these new methods may avoid typical oscillations and achieve high accuracy. Singular perturbation problems are taken into account to emphasize the main features of the proposed methods. AMS subject classification (2000)  65L10, 65L12, 65L50     

基于MPEG-4的视频流式传输系统及动态带宽分配方法

提出了一个基于MPEG 4精细可分级编码技术的视频流式传输系统。介绍了系统中主要模块的作用,并重点研究了速率控制模块。速率控制模块采用了适合视频流式传输的动态带宽分配方法。它可以根据实时的网络通道波动状况来动态调整滑动参数,以适应网络波动和高效地利用网络的有限资源。实验结果表明,动态带宽分配方法在动态带宽波动条件下不仅可以使相邻帧间的视频质量更加平滑,而且可以大大提高解码视频图像的总体质量,也就是说可同时改善解码视频的主客观性能。     

直径不超过4的树的割宽

§ 1　IntroductionThe cutwidth problem for graphs,as well as a class of optimal labeling and embed-ding problems,have significant applications in VLSI designs,network communicationsand other areas (see [2 ] ) .We shall follow the graph-theoretic terminology and notation of [1 ] .Let G=(V,E)be a simple graph with vertex set V,| V| =n,and edge set E.A labeling of G is a bijec-tion f:V→ { 1 ,2 ,...,n} ,which can by regarded as an embedding of G into a path Pn.Fora given labeling f of G,th…