公司债券违约率的结构化模型研究

采用期权定价和违约率函数的结构化处理方法建立估计公司债券违约率的模型，应用美国国内公司的整体数据给出了将模型具体化的处理方法，得到一个带马尔可夫链的违约率函数。根据实证数据的初步检验，该函数的拟合效果比较理想，可用于估计一般性上市公司群体的债券违约率。文中的处理方法具有良好的可行性，只要拥有模型必需的股权价值、债务价值和违约率的数据，就能按照该方法将模型具体化，拟合出违约率函数，并由此来估计公司债券的违约率。     

基于GSPN方法的柔性制造系统过程模型和性能分析

应用广义随机Petri网方法,对柔性制造系统进行建模和分析,提出了控制策略和优化方法.针对柔性制造系统的离散性,对整个系统的过程模型进行分析.利用广义随机Petri网结合马尔可夫链的方法,确立了系统的配置参数,得出了系统的平均运行时间,机床的平均使用率,系统的生产率,故障概率,对系统的优化和生产效率的提高以及柔性的提高提供了理论支持.最后,通过柔性制造系统实例,对该方法进行了检验.     

Web-Based Information Extraction Technology

Information extraction techniques on the Web are the current research hotspot. Now many information extraction techniques based on different principles have appeared and have different capabilities. We classify the existing information extraction techniques by the principle of information extraction and analyze the methods and principles of semantic information adding, schema defining,rule expression, semantic items locating and object locating in the approaches. Based on the above survey and analysis,several open problems are discussed.     

一类随机过程的多尺度建模

基于多尺度随机模型具有有效性和高度并行算法这一优势，提出如何用三阶树多尺度模型来表示1-D Reciprocal过程；并如何获得多尺度模型的参数。这就为具有Markov统计特性的信号或过程建立起一般的三阶树多尺度随机模型，为更有效的解决实际问题提供了理沦基础，同时，给出了一类定义在单位区间上的随机过程三阶树多尺度表示的仿真示例。     

向量值有限平均MDP

讨论了向量值离散时间平均准则下的有限马氏决策模型；在采取确定性平稳策略时所得马氏决策过程为遍历的假设下，证明了存在一个至多在Ｋ－１个状态是随机的平稳最优策略，并给出了其线性规划算法。同时证明了存在强最优策略的充要条件是其存在强确定性平稳最优策略。     

密度演化方法在求解股市上扬天数中的应用

将股市上扬的天数转化为随机游程的长度，利用密度演化方法求得了股市上扬天数的分布以及均值和方差该文首次将密度演化方法用来研究股市的一般宏观规律，其结论可指导投资决策．     

随机环境中的线性控制分枝链

介绍了随机环境中线性控制分枝链的概念，在文献[5]的基础上，进一步讨论了母函数之间的关系；得到了随机环境中的线性控制分枝链的期望公式，介绍了方差函数的求法．     

Ruin Probability with Variable Premium Rate and Disturbed by Diffusion in a Markovian Environment

We consider a risk model with a premium rate which varies with the level of free reserves. In this model, the occurrence of claims is described by a Cox process with Markov intensity process, and the influence of stochastic factors is considered by adding a diffusion process. The integro-differential equation for the ruin probability is derived by a infinitesimal method.     

AVAILABILITY ANALYSIS OF THE QUEUEING SYSTEM GI/PH/I WITH SERVER BREAKDOWNS

In the existing literature of Repairable Queueing Systems (RQS), i.e., queueing systems with server breakdowns, it is almost all assumed that interarrival times of successive customers are independent, identically exponentially distributed. In this paper, we deal with more generic system GI/PH/1 with server's exponential uptime and phase-type repair time. With matrix analysis theory, we establish the equilibrium condition and the characteristics of the system, derive the transient and stationary availability behavior of the system.     

Subset threshold autoregression

We develop in this paper an efficient way to select the best subset threshold autoregressive model. The proposed method uses a stochastic search idea. Differing from most conventional approaches, our method does not require us to fix the delay or the threshold parameters in advance. By adopting the Markov chain Monte Carlo techniques, we can identify the best subset model from a very large of number of possible models, and at the same time estimate the unknown parameters. A simulation experiment shows that the method is very effective. In its application to the US unemployment rate, the stochastic search method successfully selects lag one as the time delay and five best models from more than 4000 choices. Copyright © 2003 John Wiley & Sons, Ltd.