带有通胀风险的退休后期最优投资管理

考虑通货膨胀的影响,研究了一个确定缴费养老计划退休后期最优投资决策问题.自退休时刻开始,退休者定期从账户里抽取一定的金额维持日常支出,然后将剩余的财富投资于一个无风险资产、一个股票指数和一个通胀指数债券,直到强制购买年金的时刻.为保障退休后的正常生活,退休者在每个时刻设定投资的目标值,采取二次效用函数衡量投资财富水平和目标值的差距,并选择最优的投资策略以最小化平均累计差距.运用动态规划和随机控制方法,得到了没有上方惩罚的目标值、最优投资策略、最优值函数、破产概率以及终端财富与目标值差距的分布函数等指标的显式表达式.运用数学分析和数值分析手段,得到了每个时刻目标值的性质,分析了终端目标值和消费金额对破产概率的影响,研究了物价指数的瞬间变化率和波动率对财富值与目标值的差距、各时刻财富均值以及破产概率的影响.     

中立型分数阶微分控制系统能控性

研究一类分数阶中立型微分控制系统的能控性问题,对系统状态方程的分析,利用拉普拉斯变换通过基本控制系统的基础解给出了控制系统通解的表达式,并且通过构造格拉姆矩阵,研究了控制系统能控性的充分必要条件;最后通过举出一个格拉姆矩阵的计算举例来进行验证。     

Modeling eBay price using stochastic differential equations

Online auctions have become increasingly popular in recent years. There is a growing body of research on this topic, whereas modeling online auction price curves constitutes one of the most interesting problems. Most research treats price curves as deterministic functions, which ignores the random effects of external and internal factors. To account for the randomness, a more realistic model using stochastic differential equations is proposed in this paper. The online auction price is modeled by a stochastic differential equation in which the deterministic part is equivalent to the second‐order differential equation model proposed in Wang et al. (Journal of the American Statistical Association, 2008, 103, 1100–1118). The model also includes a component representing the measurement errors. Explicit expressions for the likelihood function are also obtained, from which statistical inference can be conducted. Forecast accuracy of the proposed model is compared with the ODE (ordinary differential equation) approach. Simulation results show that the proposed model performs better.     

两种改进的非线性方程组四阶迭代求解法

文章基于两点Gauss型求积公式,分别结合梯形积分公式和Adomian分解法构造了两种牛顿型迭代格式.借助泰勒展开式,文章证明了这两种迭代格式都具有四阶收敛,并通过数值实验例子验证这两种迭代格式的有效性.     

IMPLICITIZATION OF PARTIAL DIFFERENTIAL RATIONAL PARAMETRIC EQUATIONS

In this paper, we propose algorithms for the following problems in the implicitization of a set of partial differential rational parametric equations P. （1）To find a characteristic set for the implicit prime ideal of P; （2） To find a canonical representation for the image of P; （3）To decide whether the parameters of P are independent, and if not, to re-parameterize P so that the new parametric equations have independent parameters; （4） To compute the inversion maps of P, and as a consequence, to decide whether P is proper.     

城乡贫富差距中的人口因素探析

城乡人口差异是导致城乡贫富差距的重要根源,解决城乡贫富差距问题应该逐渐降低农村人口比例、提高农村人口素质。     

化学方程式配平的矩阵解法

基于矩阵解方程的理论，定义出了一个化学元素矩阵，从而找到了一种配平化学方程式的新方法，称之为矩阵解法。     

湍流大小尺度涡量方程组及其封闭

利用流体大小尺度 (LSS)方程组推导出湍流大小尺度涡量 (LSSV)方程组 ,给出两个关于湍流大小尺度涡量的命题 ,从而得到湍流封闭大小尺度涡量 (CLSSV)方程组。同时 ,对近程相互作用命题进行了推广。     

Banach空间中二阶Volterra型积分微分方程边值问题解的存在性

利用上、下解法在正规锥上证明了二阶非线性Volterra型积分微分方程边值问题解的存在性。     

A new class of variational equation problems

Abstract Applying an analysis method to a group of multivariable equations, a new class of variational equations are proved. Thismethod is more concise and more direct than the others. This result can be applied to some stochastic control models.