股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

Index Heuristics for Multiclass M/G/1 Systems with Nonpreemptive Service and Convex Holding Costs

We consider the optimal service control of a multiclass M/G/1 queueing system in which customers are served nonpreemptively and the system cost rate is additive across classes and increasing convex in the numbers present in each class. Following Whittle's approach to a class of restless bandit problems, we develop a Langrangian relaxation of the service control problem which serves to motivate the development of a class of index heuristics. The index for a particular customer class is characterised as a fair charge for service of that class. The paper develops these indices and reports an extensive numerical investigation which exhibits strong performance of the index heuristics for both discounted and average costs.     

估计死亡率分布的一个最大熵模型

本文提出了一种估计死亡率分布的新模型一最大熵模型。该模型直接从样本信息出发，不需要对待估分布的概率密度函数或先验分布作任何假定，从而克服了极大似然估计和贝叶斯估计的不足。而且通过两个例子的计算结果，表明该方法与样本数据的拟合效果要好于其它两种方法。     

Control Policy for a Manufacturing System with Random Yield and Rework

We develop a production policy that controls work-in-process (WIP) levels and satisfies demand in a multistage manufacturing system with significant uncertainty in yield, rework, and demand. The problem addressed in this paper is more general than those in the literature in three aspects: (i) multiple products are processed at multiple workstations, and the capacity of each workstation is limited and shared by multiple operations; (ii) the behavior of a production policy is investigated over an infinite-time horizon, and thus the system stability can be evaluated; (iii) the representation of yield and rework uncertainty is generalized. Generalizing both the system structure and the nature of uncertainty requires a new mathematical development in the theory of infinite-horizon stochastic dynamic programming. The theoretical contributions of this paper are the existence proofs of the optimal stationary control for a stochastic dynamic programming problem and the finite covariances of WIP and production levels under the general expression of uncertainty. We develop a simple and explicit sufficient condition that guarantees the existence of both the optimal stationary control and the system stability. We describe how a production policy can be constructed for the manufacturing system based on the propositions derived.     

审讯过程的数学模型

本文从经济学的观点出发，利用对策论方法建立了审讯过程的数学模型，并由此研究了讯问人三种主要策略对审讯成功的效度。     

基于Web的图书馆管理系统访问控制策略

针对基于Web的图书馆管理系统资源访问控制的动态性问题，提出了一种基于角色的访问控制策略描述方案．通过对基于Web的图书馆管理系统访问控制管理影响因素和访问控制需求的分析，结合NIST基于角色的访问控制统一模型标准，构造了一种基于角色的访问控制元模型．并在这一元模型的基础上，提出了一种紧凑的基于角色的访问控制XML策略描述语言框架．结果表明该访问控制策略描述语言框架适合表述动态环境下对图书馆资源的访问策略，提高了基于Web的图书馆管理系统资源访问的安全性．     

OPTIMAL HARVESTING POLICY FOR INSHORE-OFFSHORE FISHERY MODEL WITH IMPULSIVE DIFFUSION

This article studies the inshore-offshore fishery model with impulsive diffusion. The existence and global asymptotic stability of both the trivial periodic solution and the positive periodic solution are obtained. The complexity of this system is also analyzed. Moreover, the optimal harvesting policy are given for the inshore subpopulation, which includes the maximum sustainable yield and the corresponding harvesting effort.     

Analyzing the effect of the inventory policy on order and inventory variability with linear control theory

In this paper we apply linear control theory to study the effect of various inventory policies on order and inventory variability, which are key drivers of supply chain performance. In particular, we study a two-echelon supply chain with a stationary demand pattern under the influence of three inventory policies: an inventory-on-hand policy that bases orders on the visible inventory at an installation, an installation-stock policy that bases orders on the inventory position (on-hand plus on-order inventory) at an installation, and an echelon-stock policy that bases orders on the inventory position at that installation and all downstream installations. We prove analytically that the inventory-on-hand policy is unstable in practical settings, confirming analytically what has been observed in experimental settings and in practice. We also prove that the installation-stock and echelon-stock policies are stable and analyze their effect on order and inventory fluctuation. Specifically, we show the general superiority of the echelon-stock in our setting and demonstrate analytically the effect of forecasting parameters on order and inventory fluctuations, confirming the results in other research.     

技术不确定环境下新产品策略的设计应用

技术的动态发展和企业间的竞争对企业新产品策略有很大影响,直接决定新产品的引进周期。本文在产业技术动态变化的随机环境下构建随机动态规划模型,关注产业技术进步、投资成本和产品市场竞争等影响因素,探讨企业进行新产品引进的周期选择,对新产品引进的周期和质量决策进行方法设计和应用举例。利用随机动态规划模型得出新产品引进的最优时间周期,用算例分析技术进步和产品研发成本对企业引进周期策略的影响,采取策略迭代的方法进行求解,发现技术进步较快时企业的新产品引进步伐也较快,研发成本的提高使企业的新产品引入步伐降低。