This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to foll...This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to follow a discrete-time Markov chain. The authors derive the optimal strategy and the efficient frontier of the model in closed-form. Some results in the existing literature are obtained as special cases of our results.展开更多
Regime switching,which is described by a Markov chain,is introduced in a Markov copula model.We prove that the marginals（X,H^i）,i = 1,2,3 of the Markov copula model（X,H） are still Markov processes and have marting...Regime switching,which is described by a Markov chain,is introduced in a Markov copula model.We prove that the marginals（X,H^i）,i = 1,2,3 of the Markov copula model（X,H） are still Markov processes and have martingale property.In this proposed model,a pricing formula of credit default swap（CDS） with bilateral counterparty risk is derived.展开更多
Condition assessment is one of the most significant techniques of the equipment’s health management.Also,in PHM methodology cycle,which is a developed form of CBM,condition assessment is the most important step of th...Condition assessment is one of the most significant techniques of the equipment’s health management.Also,in PHM methodology cycle,which is a developed form of CBM,condition assessment is the most important step of this cycle.In this paper,the remaining useful life of the equipment is calculated using the combination of sensor information,determination of degradation state and forecasting the proposed health index.The combination of sensor information has been carried out using a new approach to determining the probabilities in the Dempster-Shafer combination rules and fuzzy c-means clustering method.Using the simulation and forecasting of extracted vibration-based health index by autoregressive Markov regime switching(ARMRS)method,final health state is determined and the remaining useful life(RUL)is estimated.In order to evaluate the model,sensor data provided by FEMTO-ST Institute have been used.展开更多
In this paper, we derive the stochastic maximum principle for optimal control problems of the forward-backward Markovian regime-switching system. The control system is described by an anticipated forward-backward stoc...In this paper, we derive the stochastic maximum principle for optimal control problems of the forward-backward Markovian regime-switching system. The control system is described by an anticipated forward-backward stochastic pantograph equation and modulated by a continuous-time finite-state Markov chain. By virtue of classical variational approach, duality method, and convex analysis, we obtain a stochastic maximum principle for the optimal control.展开更多
Monetary growth uncertainty in China can come from either monetary policy shocks or macroeconomic shocks. Our examination of the relationship between Chinese economic growth and monetary growth uncertainty indicates t...Monetary growth uncertainty in China can come from either monetary policy shocks or macroeconomic shocks. Our examination of the relationship between Chinese economic growth and monetary growth uncertainty indicates that monetary growth uncertainty results mainly from maeroeconomic shocks. The pre-1998 period saw quite a high level of uncertainty, but this was markedly reduced after 1998. Monetary growth uncertainty caused by monetary policy shocks can be an effective stimulus for economic growth, implying the effectiveness of monetary policy regulation. From 2003 on, however, monetary growth uncertainty caused by macroeconomic shocks has inhibited economic growth, indicating the marked negative impact on China＇s steady growth of the economic shock represented by the international financial crisis. Active measures should be taken at the national level for early warning and prevention of economic risk.展开更多
基金This research is supported by the National Science Foundation for Distinguished Young Scholars under Grant No. 70825002, the National Natural Science Foundation of China under Grant No. 70518001, and the National Basic Research Program of China 973 Program, under Grant No. 2007CB814902.
文摘This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to follow a discrete-time Markov chain. The authors derive the optimal strategy and the efficient frontier of the model in closed-form. Some results in the existing literature are obtained as special cases of our results.
基金Supported by Jiangsu Government Scholarship for Overseas Studiesthe NNSF of China(Grant Nos.11401419,11301369,11371274)+1 种基金the CPSF(2014M561453)the NSF of Jiangsu Province(Grant Nos.BK20140279,BK20130260)
文摘Regime switching,which is described by a Markov chain,is introduced in a Markov copula model.We prove that the marginals（X,H^i）,i = 1,2,3 of the Markov copula model（X,H） are still Markov processes and have martingale property.In this proposed model,a pricing formula of credit default swap（CDS） with bilateral counterparty risk is derived.
文摘Condition assessment is one of the most significant techniques of the equipment’s health management.Also,in PHM methodology cycle,which is a developed form of CBM,condition assessment is the most important step of this cycle.In this paper,the remaining useful life of the equipment is calculated using the combination of sensor information,determination of degradation state and forecasting the proposed health index.The combination of sensor information has been carried out using a new approach to determining the probabilities in the Dempster-Shafer combination rules and fuzzy c-means clustering method.Using the simulation and forecasting of extracted vibration-based health index by autoregressive Markov regime switching(ARMRS)method,final health state is determined and the remaining useful life(RUL)is estimated.In order to evaluate the model,sensor data provided by FEMTO-ST Institute have been used.
文摘In this paper, we derive the stochastic maximum principle for optimal control problems of the forward-backward Markovian regime-switching system. The control system is described by an anticipated forward-backward stochastic pantograph equation and modulated by a continuous-time finite-state Markov chain. By virtue of classical variational approach, duality method, and convex analysis, we obtain a stochastic maximum principle for the optimal control.
基金sponsored by the National Social Science Fund of China(No.:10ZD&006)the National Natural Science Foundation of China(No.:71203076)the Youth Project of Humanities and Social Sciences Research of the Ministry of Education(No.:11YJC790158)
文摘Monetary growth uncertainty in China can come from either monetary policy shocks or macroeconomic shocks. Our examination of the relationship between Chinese economic growth and monetary growth uncertainty indicates that monetary growth uncertainty results mainly from maeroeconomic shocks. The pre-1998 period saw quite a high level of uncertainty, but this was markedly reduced after 1998. Monetary growth uncertainty caused by monetary policy shocks can be an effective stimulus for economic growth, implying the effectiveness of monetary policy regulation. From 2003 on, however, monetary growth uncertainty caused by macroeconomic shocks has inhibited economic growth, indicating the marked negative impact on China＇s steady growth of the economic shock represented by the international financial crisis. Active measures should be taken at the national level for early warning and prevention of economic risk.
