The inclusion of space-time in the extended group of relativistic form-invariance, Cl<sub>3</sub>*</sup>, is specified as the inclusion of the whole space-time manifold in this multiplicative Lie gro...The inclusion of space-time in the extended group of relativistic form-invariance, Cl<sub>3</sub>*</sup>, is specified as the inclusion of the whole space-time manifold in this multiplicative Lie group. First physical results presented here are: the geometric origin of the time arrow, a better understanding of the non-simultaneity in optics and a mainly geometric origin for the universe expansion, and its recent acceleration.展开更多
Over recent years, Convolutional Neural Networks (CNN) has improved performance on practically every image-based task, including Content-Based Image Retrieval (CBIR). Nevertheless, since features of CNN have altered o...Over recent years, Convolutional Neural Networks (CNN) has improved performance on practically every image-based task, including Content-Based Image Retrieval (CBIR). Nevertheless, since features of CNN have altered orientation, training a CBIR system to detect and correct the angle is complex. While it is possible to construct rotation-invariant features by hand, retrieval accuracy will be low because hand engineering only creates low-level features, while deep learning methods build high-level and low-level features simultaneously. This paper presents a novel approach that combines a deep learning orientation angle detection model with the CBIR feature extraction model to correct the rotation angle of any image. This offers a unique construction of a rotation-invariant CBIR system that handles the CNN features that are not rotation invariant. This research also proposes a further study on how a rotation-invariant deep CBIR can recover images from the dataset in real-time. The final results of this system show significant improvement as compared to a default CNN feature extraction model without the OAD.展开更多
Data collected from truck payload management systems at various surface mines shows that the payload variance is significant and must be considered in analysing the mine productivity,energy consumption,greenhouse gas ...Data collected from truck payload management systems at various surface mines shows that the payload variance is significant and must be considered in analysing the mine productivity,energy consumption,greenhouse gas emissions and associated cost.Payload variance causes significant differences in gross vehicle weights.Heavily loaded trucks travel slower up ramps than lightly loaded trucks.Faster trucks are slowed by the presence of slower trucks,resulting in‘bunching’,production losses and increasing fuel consumptions.This paper simulates the truck bunching phenomena in large surface mines to improve truck and shovel systems’efficiency and minimise fuel consumption.The study concentrated on completing a practical simulation model based on a discrete event method which is most commonly used in this field of research in other industries.The simulation model has been validated by a dataset collected from a large surface mine in Arizona state,USA.The results have shown that there is a good agreement between the actual and estimated values of investigated parameters.展开更多
This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance mi...This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.展开更多
This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space...This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.展开更多
This paper presents a new method for finding the natural frequency set of a linear time invariant network. In the paper deriving and proving of a common equation are described. It is for the first time that in the co...This paper presents a new method for finding the natural frequency set of a linear time invariant network. In the paper deriving and proving of a common equation are described. It is for the first time that in the common equation the natural frequencies of an n th order network are correlated with the n port parameters. The equation is simple and dual in form and clear in its physical meaning. The procedure of finding the solution is simplified and standardized, and it will not cause the loss of roots. The common equation would find wide use and be systematized.展开更多
Perturbation to Noether quasi-symmetry and adiabatic invariants for the nonholonomic system on time scales are studied. Firstly, some properties of time scale calculus are reviewed. Secondly, the differential equation...Perturbation to Noether quasi-symmetry and adiabatic invariants for the nonholonomic system on time scales are studied. Firstly, some properties of time scale calculus are reviewed. Secondly, the differential equations of motion for the nonholonomic system on time scales, Noether quasi-symmetry and conserved quantity are given. Thirdly, perturbation to Noether quasi-symmetry and adiabatic invariants, which are the main results of this paper, are investigated. The main results are achieved by two steps, the first step is to obtain adiabatic invariants without transforming the time, and the next is to obtain adiabatic invariants under the infinitesimal transformations of both the time and the coordinates. And in the end, an example is given to illustrate the methods and results.展开更多
The current standard for measuring tumor response using X-ray, CT and MRI is based on the response evaluation criterion in solid tumors (RECIST) which, while providing simplifications over previous (WHO) 2-D methods, ...The current standard for measuring tumor response using X-ray, CT and MRI is based on the response evaluation criterion in solid tumors (RECIST) which, while providing simplifications over previous (WHO) 2-D methods, stipulate four response categories: CR (complete response), PR (partial response), PD (progressive disease), SD (stable disease) based purely on percentage changes without consideration of any measurement uncertainty. In this paper, we propose a statistical procedure for tumor response assessment based on uncertainty measures of radiologist’s measurement data. We present several variance estimation methods using time series methods and empirical Bayes methods when a small number of serial observations are available on each member of a group of subjects. We use a publically available database which contains a set of over 100 CT scan images on 23 patients with annotated RECIST measurements by two radiologist readers. We show that despite of bias in each individual reader’s measurements, statistical decisions on tumor change can be made on each individual subject. The consistency of the two readers can be established based on the intra-reader change assessments. Our proposal compares favorably with the RECIST standard protocol, raising the hope that, statistically sound decision on change analysis can be made in future based on careful variability and measurement uncertainty analysis.展开更多
This paper discusses the problem of finite-time stability with respect to a closed, but not necessarily compact, invariant set for a class of nonlinear systems with discontinuous right-hand sides in the sense of the F...This paper discusses the problem of finite-time stability with respect to a closed, but not necessarily compact, invariant set for a class of nonlinear systems with discontinuous right-hand sides in the sense of the Filippov solutions. When the Lyapunov function is Lipschitz continuous and regular, the Lyapunov theorem on finite-time stability with respect to a closed invariant set is presented.展开更多
Perturbation to Noether symmetry and adiabatic invariants for Birkhoffian system,Hamiltonian system and Lagrangian system with delta derivative are investigated,respectively.Firstly,the definition and some related pro...Perturbation to Noether symmetry and adiabatic invariants for Birkhoffian system,Hamiltonian system and Lagrangian system with delta derivative are investigated,respectively.Firstly,the definition and some related properties of time scale calculus are listed simply as preliminaries.Secondly,the Birkhoffian system with delta derivative is studied.Based on the differential equation of motion as well as Noether symmetry and conserved quantity,perturbation to Noether symmetry and adiabatic invariant are investigated.Thirdly,adiabatic invariants for the Hamiltonian system and the Lagrangian system are presented through some transformations.And finally,an example is given to illustrate the methods and results.展开更多
In the first step, the Ehrenfest reasoning concerning the adiabatic invariance of the angular orbital momentum is applied to the electron motion in the hydrogen atom. It is demonstrated that the time of the energy emi...In the first step, the Ehrenfest reasoning concerning the adiabatic invariance of the angular orbital momentum is applied to the electron motion in the hydrogen atom. It is demonstrated that the time of the energy emission from the quantum level n+1 to level n can be deduced from the orbital angular momentum examined in the hydrogen atom. This time is found precisely equal to the time interval dictated by the Joule-Lenz law governing the electron transition between the levels n+1 and n. In the next step, the mechanical parameters entering the quantum systems are applied in calculating the time intervals characteristic for the electron transitions. This concerns the neighbouring energy levels in the hydrogen atom as well as the Landau levels in the electron gas submitted to the action of a constant magnetic field.展开更多
After the birth of quantum mechanics, the notion in physics that the frequency of light is the only factor that determines the energy of a single photon has played a fundamental role. However, under the assumption tha...After the birth of quantum mechanics, the notion in physics that the frequency of light is the only factor that determines the energy of a single photon has played a fundamental role. However, under the assumption that the theory of Lewis-Riesenfeld invariants is applicable in quantum optics, it is shown in the present work that this widely accepted notion is valid only for light described by a time-independent Hamiltonian, i.e., for light in media satisfying the conditions, ε(t) = ε(0), u(t) = u(0), and σ(t) = 0 simultaneously. The use of the Lewis Riesenfeld invariant operator method in quantum optics leads to a marvelous result: the energy of a single photon propagating through time-varying linear media exhibits nontrivial time dependence without a change of frequency.展开更多
This paper proposes a method to ascertain the stability of two dimensional linear time invariant discrete system within the shifted unit circle which is represented by the form of characteristic equation. Further an e...This paper proposes a method to ascertain the stability of two dimensional linear time invariant discrete system within the shifted unit circle which is represented by the form of characteristic equation. Further an equivalent single dimensional characteristic equation is formed from the two dimensional characteristic equation then the stability formulation in the left half of Z-plane, where the roots of characteristic equation f(Z) = 0 should lie within the shifted unit circle. The coefficient of the unit shifted characteristic equation is suitably arranged in the form of matrix and the inner determinants are evaluated using proposed Jury’s concept. The proposed stability technique is simple and direct. It reduces the computational cost. An illustrative example shows the applicability of the proposed scheme.展开更多
In traditional system identification (SI), actual values of system parameters are concealed in the input and output data;hence, it is necessary to apply estimation methods to determine the parameters. In signal proces...In traditional system identification (SI), actual values of system parameters are concealed in the input and output data;hence, it is necessary to apply estimation methods to determine the parameters. In signal processing, a signal with N elements must be sampled at least N times. Thus, most SI methods use N or more sample data to identify a model with N parameters;however, this can be improved by a new sampling theory called compressive sensing (CS). Based on CS, an SI method called compressive measurement identification (CMI) is proposed for reducing the data needed for estimation, by measuring the parameters using a series of linear measurements, rather than the measurements in sequence. In addition, the accuracy of the measurement process is guaranteed by a criterion called the restrict isometric principle. Simulations demonstrate the accuracy and robustness of CMI in an underdetermined case. Further, the dynamic process of a DC motor is identified experimentally, establishing that CMI can shorten the identification process and increase the prediction accuracy.展开更多
We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance finan...We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.展开更多
In this paper, some computational tools are proposed to determine the largest invariant set, with respect to either a continuous-time or a discrete-time system, that is contained in an algebraic set. In particular, it...In this paper, some computational tools are proposed to determine the largest invariant set, with respect to either a continuous-time or a discrete-time system, that is contained in an algebraic set. In particular, it is shown that if the vector field governing the dynamics of the system is polynomial and the considered analytic set is a variety, then algorithms from algebraic geometry can be used to solve the considered problem. Examples of applications of the method(spanning from the characterization of the stability to the computation of the zero dynamics) are given all throughout the paper.展开更多
In this paper, we have studied the perfect fluid distribution in the scale invariant theory of gravitation, when the space-time described by Einstein-Rosen metric with a time dependent gauge function. The cosmological...In this paper, we have studied the perfect fluid distribution in the scale invariant theory of gravitation, when the space-time described by Einstein-Rosen metric with a time dependent gauge function. The cosmological equations for this space-time with gauge function are solved and some physical properties of the model are studied.展开更多
In this paper, we consider the perturbation analysis of linear time-invariant systems, which arise from the linear optimal control in continuous-time. We provide a method to compute condition numbers of continuous-tim...In this paper, we consider the perturbation analysis of linear time-invariant systems, which arise from the linear optimal control in continuous-time. We provide a method to compute condition numbers of continuous-time linear time-invariant systems. It solves the perturbed linear time-invariant systems via Riccati differential equations and continuous-time algebraic Riccati equations in finite and infinite time horizons. We derive the explicit expressions of measuring the perturbation bounds of condition numbers with respect to the solution of the linear time-invariant systems. Furthermore, condition numbers and their upper bounds of Riccati differential equations and continuous-time algebraic Riccati equations are also discussed. Numerical simulations show the sharpness of the perturbation bounds computed via the proposed methods.展开更多
In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain wit...In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.展开更多
文摘The inclusion of space-time in the extended group of relativistic form-invariance, Cl<sub>3</sub>*</sup>, is specified as the inclusion of the whole space-time manifold in this multiplicative Lie group. First physical results presented here are: the geometric origin of the time arrow, a better understanding of the non-simultaneity in optics and a mainly geometric origin for the universe expansion, and its recent acceleration.
文摘Over recent years, Convolutional Neural Networks (CNN) has improved performance on practically every image-based task, including Content-Based Image Retrieval (CBIR). Nevertheless, since features of CNN have altered orientation, training a CBIR system to detect and correct the angle is complex. While it is possible to construct rotation-invariant features by hand, retrieval accuracy will be low because hand engineering only creates low-level features, while deep learning methods build high-level and low-level features simultaneously. This paper presents a novel approach that combines a deep learning orientation angle detection model with the CBIR feature extraction model to correct the rotation angle of any image. This offers a unique construction of a rotation-invariant CBIR system that handles the CNN features that are not rotation invariant. This research also proposes a further study on how a rotation-invariant deep CBIR can recover images from the dataset in real-time. The final results of this system show significant improvement as compared to a default CNN feature extraction model without the OAD.
基金CRC MiningThe University of Queensland for their financial support for this study
文摘Data collected from truck payload management systems at various surface mines shows that the payload variance is significant and must be considered in analysing the mine productivity,energy consumption,greenhouse gas emissions and associated cost.Payload variance causes significant differences in gross vehicle weights.Heavily loaded trucks travel slower up ramps than lightly loaded trucks.Faster trucks are slowed by the presence of slower trucks,resulting in‘bunching’,production losses and increasing fuel consumptions.This paper simulates the truck bunching phenomena in large surface mines to improve truck and shovel systems’efficiency and minimise fuel consumption.The study concentrated on completing a practical simulation model based on a discrete event method which is most commonly used in this field of research in other industries.The simulation model has been validated by a dataset collected from a large surface mine in Arizona state,USA.The results have shown that there is a good agreement between the actual and estimated values of investigated parameters.
基金supported by the National Natural Science Foundation of China(10801056)the Natural Science Foundation of Ningbo(2010A610094)
文摘This paper studies the limit average variance criterion for continuous-time Markov decision processes in Polish spaces. Based on two approaches, this paper proves not only the existence of solutions to the variance minimization optimality equation and the existence of a variance minimal policy that is canonical, but also the existence of solutions to the two variance minimization optimality inequalities and the existence of a variance minimal policy which may not be canonical. An example is given to illustrate all of our conditions.
文摘This paper considers the variance optimization problem of average reward in continuous-time Markov decision process (MDP). It is assumed that the state space is countable and the action space is Borel measurable space. The main purpose of this paper is to find the policy with the minimal variance in the deterministic stationary policy space. Unlike the traditional Markov decision process, the cost function in the variance criterion will be affected by future actions. To this end, we convert the variance minimization problem into a standard (MDP) by introducing a concept called pseudo-variance. Further, by giving the policy iterative algorithm of pseudo-variance optimization problem, the optimal policy of the original variance optimization problem is derived, and a sufficient condition for the variance optimal policy is given. Finally, we use an example to illustrate the conclusion of this paper.
文摘This paper presents a new method for finding the natural frequency set of a linear time invariant network. In the paper deriving and proving of a common equation are described. It is for the first time that in the common equation the natural frequencies of an n th order network are correlated with the n port parameters. The equation is simple and dual in form and clear in its physical meaning. The procedure of finding the solution is simplified and standardized, and it will not cause the loss of roots. The common equation would find wide use and be systematized.
基金Supported by the National Natural Science Foundation of China(11802193,11572212)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(18KJB130005)+2 种基金the Jiangsu Government Scholarship for Overseas Studiesthe Science Research Foundation of Suzhou University of Science and Technology(331812137)the Natural Science Foundation of Suzhou University of Science and Technology
文摘Perturbation to Noether quasi-symmetry and adiabatic invariants for the nonholonomic system on time scales are studied. Firstly, some properties of time scale calculus are reviewed. Secondly, the differential equations of motion for the nonholonomic system on time scales, Noether quasi-symmetry and conserved quantity are given. Thirdly, perturbation to Noether quasi-symmetry and adiabatic invariants, which are the main results of this paper, are investigated. The main results are achieved by two steps, the first step is to obtain adiabatic invariants without transforming the time, and the next is to obtain adiabatic invariants under the infinitesimal transformations of both the time and the coordinates. And in the end, an example is given to illustrate the methods and results.
文摘The current standard for measuring tumor response using X-ray, CT and MRI is based on the response evaluation criterion in solid tumors (RECIST) which, while providing simplifications over previous (WHO) 2-D methods, stipulate four response categories: CR (complete response), PR (partial response), PD (progressive disease), SD (stable disease) based purely on percentage changes without consideration of any measurement uncertainty. In this paper, we propose a statistical procedure for tumor response assessment based on uncertainty measures of radiologist’s measurement data. We present several variance estimation methods using time series methods and empirical Bayes methods when a small number of serial observations are available on each member of a group of subjects. We use a publically available database which contains a set of over 100 CT scan images on 23 patients with annotated RECIST measurements by two radiologist readers. We show that despite of bias in each individual reader’s measurements, statistical decisions on tumor change can be made on each individual subject. The consistency of the two readers can be established based on the intra-reader change assessments. Our proposal compares favorably with the RECIST standard protocol, raising the hope that, statistically sound decision on change analysis can be made in future based on careful variability and measurement uncertainty analysis.
基金supported by the Mathematical Tianyuan Foundation (No. 10826078)the National Natural Science Foundation of China (No. 60874006)
文摘This paper discusses the problem of finite-time stability with respect to a closed, but not necessarily compact, invariant set for a class of nonlinear systems with discontinuous right-hand sides in the sense of the Filippov solutions. When the Lyapunov function is Lipschitz continuous and regular, the Lyapunov theorem on finite-time stability with respect to a closed invariant set is presented.
基金supported by the National Natural Science Foundations of China (Nos. 11802193, 11572212)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (No. 18KJB130005)+1 种基金the Jiangsu Government Scholarship for Overseas Studies, the Science Research Foundation of Suzhou University of Science and Technology (No.331812137)Natural Science Foundation of Suzhou University of Science and Technology
文摘Perturbation to Noether symmetry and adiabatic invariants for Birkhoffian system,Hamiltonian system and Lagrangian system with delta derivative are investigated,respectively.Firstly,the definition and some related properties of time scale calculus are listed simply as preliminaries.Secondly,the Birkhoffian system with delta derivative is studied.Based on the differential equation of motion as well as Noether symmetry and conserved quantity,perturbation to Noether symmetry and adiabatic invariant are investigated.Thirdly,adiabatic invariants for the Hamiltonian system and the Lagrangian system are presented through some transformations.And finally,an example is given to illustrate the methods and results.
文摘In the first step, the Ehrenfest reasoning concerning the adiabatic invariance of the angular orbital momentum is applied to the electron motion in the hydrogen atom. It is demonstrated that the time of the energy emission from the quantum level n+1 to level n can be deduced from the orbital angular momentum examined in the hydrogen atom. This time is found precisely equal to the time interval dictated by the Joule-Lenz law governing the electron transition between the levels n+1 and n. In the next step, the mechanical parameters entering the quantum systems are applied in calculating the time intervals characteristic for the electron transitions. This concerns the neighbouring energy levels in the hydrogen atom as well as the Landau levels in the electron gas submitted to the action of a constant magnetic field.
基金supported by National Research Foundation of Korea Grant funded by the Korean Government (No. 2009-0077951)
文摘After the birth of quantum mechanics, the notion in physics that the frequency of light is the only factor that determines the energy of a single photon has played a fundamental role. However, under the assumption that the theory of Lewis-Riesenfeld invariants is applicable in quantum optics, it is shown in the present work that this widely accepted notion is valid only for light described by a time-independent Hamiltonian, i.e., for light in media satisfying the conditions, ε(t) = ε(0), u(t) = u(0), and σ(t) = 0 simultaneously. The use of the Lewis Riesenfeld invariant operator method in quantum optics leads to a marvelous result: the energy of a single photon propagating through time-varying linear media exhibits nontrivial time dependence without a change of frequency.
文摘This paper proposes a method to ascertain the stability of two dimensional linear time invariant discrete system within the shifted unit circle which is represented by the form of characteristic equation. Further an equivalent single dimensional characteristic equation is formed from the two dimensional characteristic equation then the stability formulation in the left half of Z-plane, where the roots of characteristic equation f(Z) = 0 should lie within the shifted unit circle. The coefficient of the unit shifted characteristic equation is suitably arranged in the form of matrix and the inner determinants are evaluated using proposed Jury’s concept. The proposed stability technique is simple and direct. It reduces the computational cost. An illustrative example shows the applicability of the proposed scheme.
基金Supported by the National Natural Science Foundation of China(61605218)National Defense Science and Technology Innovation Foundation of Chinese Academy of Sciences(CXJJ-17S023)
文摘In traditional system identification (SI), actual values of system parameters are concealed in the input and output data;hence, it is necessary to apply estimation methods to determine the parameters. In signal processing, a signal with N elements must be sampled at least N times. Thus, most SI methods use N or more sample data to identify a model with N parameters;however, this can be improved by a new sampling theory called compressive sensing (CS). Based on CS, an SI method called compressive measurement identification (CMI) is proposed for reducing the data needed for estimation, by measuring the parameters using a series of linear measurements, rather than the measurements in sequence. In addition, the accuracy of the measurement process is guaranteed by a criterion called the restrict isometric principle. Simulations demonstrate the accuracy and robustness of CMI in an underdetermined case. Further, the dynamic process of a DC motor is identified experimentally, establishing that CMI can shorten the identification process and increase the prediction accuracy.
文摘We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.
文摘In this paper, some computational tools are proposed to determine the largest invariant set, with respect to either a continuous-time or a discrete-time system, that is contained in an algebraic set. In particular, it is shown that if the vector field governing the dynamics of the system is polynomial and the considered analytic set is a variety, then algorithms from algebraic geometry can be used to solve the considered problem. Examples of applications of the method(spanning from the characterization of the stability to the computation of the zero dynamics) are given all throughout the paper.
文摘In this paper, we have studied the perfect fluid distribution in the scale invariant theory of gravitation, when the space-time described by Einstein-Rosen metric with a time dependent gauge function. The cosmological equations for this space-time with gauge function are solved and some physical properties of the model are studied.
文摘In this paper, we consider the perturbation analysis of linear time-invariant systems, which arise from the linear optimal control in continuous-time. We provide a method to compute condition numbers of continuous-time linear time-invariant systems. It solves the perturbed linear time-invariant systems via Riccati differential equations and continuous-time algebraic Riccati equations in finite and infinite time horizons. We derive the explicit expressions of measuring the perturbation bounds of condition numbers with respect to the solution of the linear time-invariant systems. Furthermore, condition numbers and their upper bounds of Riccati differential equations and continuous-time algebraic Riccati equations are also discussed. Numerical simulations show the sharpness of the perturbation bounds computed via the proposed methods.
文摘In this paper, we establish properties for the switch-when-safe mean-variance strategies in the context of a Black-Scholes market model with stochastic volatility processes driven by a continuous-time Markov chain with a finite number of states. More precisely, expressions for the goal-achieving probabilities of the terminal wealth are obtained and numerical comparisons of lower bounds for these probabilities are shown for various market parameters. We conclude with asymptotic results when the Markovian changes in the volatility parameters appear with either higher or lower frequencies.