保底型基金的设计与定价

保底型基金由于既保证最低的收益又可能获得高额的投资回报,满足了一部分投资者的需要,所以,目前在市场上很受欢迎.在无套利原理和双因子模型下,获得了保底基金设计原理和定价方法,无论基金有否担保,都可以用PDE的方法得到解析表达式.     

堵塞恢复时间随机的在线加拿大旅行者问题

针对旅行者在行走过程中遇到的某一或一系列无法预知堵塞事件的加拿大旅行者问题,考虑每个堵塞恢复时间是一个相互独立随机变量的情形,从在线问题与竞争策略的角度,给出了每个堵塞恢复时间都为均匀分布下的等待策略和贪婪策略以及相应策略下的竞争比,并对两种策略的执行效果进行了分析和比较.     

随机过程Wn(x,y)的局部渐近性质

本文讨论了随机过程Wn（x，y）的局部渐近性质，得出y在点y0的邻域取值时，过程弱收敛于Gaussian过程．     

焊接结构疲劳强度预测的局部法研究

以焊缝附近局部半圆区域的平均应力为控制参数,得到焊接结构疲劳切口系数的计算理论,在考虑材料、结构几何形式、残余应力等因素对疲劳强度影响的基础上,建立了对称循环和非对称循环时焊接结构有效应力集中系数预测的局部法模型.通过对几类错位板接头的有限元计算分析,得到这些焊接结构焊缝附近局部区域的应力场,进而预测它们的疲劳强度,并将预测结果与疲劳试验进行了比较,获得了令人满意的结果.用局部法预估焊接结构的疲劳强度,能大量减少疲劳实验,节省经费开支,对工程应用有参考价值     

FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES

In this paper, we use the solutions of forward-backward stochastic differential equations to get the explicit form of the optimal control for linear quadratic stochastic optimal control problem and the open-loop Nash equilibrium point for nonzero sum differential games problem. We also discuss the solvability of the generalized Riccati equation system and give the linear feedback regulator for the optimal control problem using the solution of this kind of Riccati equation system.     

H∞ control for stochastic systems with time-delay

The H∞-control problem of stochastic systems with time-delay is considered. The sufficient conditions are obtained, under which there are always state-feedback control and dynamic output-feedback control so that the resulting closed-loop system is internaly stable and L2 input-output stable in the sense of expectation. Furthermore, the explicit formulas of both kinds of controls are derived. An example is included to illustrate the correctness of theoretic results.     

基于非期望效用函数的随机经济增长模型

采用非期望效用偏好结构，引入生产性政府花费，建立了连续时间随机经济增长模型，利用随机最优化方法，确定了宏观均衡解，在模型中讨论了产出的波动、税后资本平均回报率以及收入税对经济的宏观影响，得出了最优收入税税率的表达式r^*=1α。     

CVaR风险度量下的安全第一标准

通过优化方法给出了在均值 CVaR有效前沿上,满足给定的三种安全第一标准的最优证券组合、最优证券组合的期望收益及其CVaR风险值的求解方法和相关结果.三种安全第一标准的经济意义分别如下使证券组合的回报率低于给定的生存水平的概率达到最小;在证券组合的回报率低于生存水平的概率不超过指定值的条件下,使它的生存水平达到最大;在证券组合的回报率低于给定生存水平的概率不超过指定值的条件下,使它的回报率的期望值达到最大.这些结果可为金融机构和投资者正确决策提供理论依据.     

随机利率下时间盈余模型的破产概率

本文首先介绍了文献[3]在一般化破产模型基础上构造的时间盈余模型，并进一步讨论了此模型下的具有随机利率因素的破产概率，使得相应的破产概率更具实际意义。     

A Theoretical Approach for Estimating Fracture Toughness of Ductile Metals

Fracture toughness is very important when applying Damage Tolerance Design and Assessment Techniques. The traditional testing approach for obtaining fracture toughness values is costly and time consuming. In order to estimate the fracture toughness of ductile metals, the fracture mechanics theory, materials plastic deformation theory and materials constructive relationships are employed here. A series of formulae and a theoretical approach are presented to calculate fracture toughness values of different materials in the plane stress and plane strain conditions. Compared with test results, evaluated values have a good agreement.