当2个信号功率相差较大时,常规的空间谱估计算法往往不能估计出弱信源的波达方向(Direction of Arrival,DOA)。针对该问题,文中基于强干扰和弱信源对应的特征矢量具有保向正交性这一特性,提出了一种强干扰背景下相干弱信源DOA估计方法...当2个信号功率相差较大时,常规的空间谱估计算法往往不能估计出弱信源的波达方向(Direction of Arrival,DOA)。针对该问题,文中基于强干扰和弱信源对应的特征矢量具有保向正交性这一特性,提出了一种强干扰背景下相干弱信源DOA估计方法——特征矢量剔除法。相比于其他算法,该算法最大的优点是无需预知强干扰的方位及数目信息,实施简单,运算量较小。计算机仿真结果证明了所提算法的正确性和有效性。展开更多
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal ...This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein(2002). The price is determined by two optimal stochastic control problems(mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations.By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates.The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.展开更多
文摘当2个信号功率相差较大时,常规的空间谱估计算法往往不能估计出弱信源的波达方向(Direction of Arrival,DOA)。针对该问题,文中基于强干扰和弱信源对应的特征矢量具有保向正交性这一特性,提出了一种强干扰背景下相干弱信源DOA估计方法——特征矢量剔除法。相比于其他算法,该算法最大的优点是无需预知强干扰的方位及数目信息,实施简单,运算量较小。计算机仿真结果证明了所提算法的正确性和有效性。
基金supported by National Natural Science Foundation of China(Grant Nos.11271143,11371155 and 11326199)University Special Research Fund for Ph D Program(Grant No.20124407110001)+1 种基金National Natural Science Foundation of Zhejiang Province(Grant No.Y6110775)the Oxford-Man Institute of Quantitative Finance
文摘This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein(2002). The price is determined by two optimal stochastic control problems(mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations.By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates.The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.
