The technology investment strategy under uncertainty is the key subject. However, the expected utility maximization often employed as the decision process fails to consider the high risk with low probability cases. On...The technology investment strategy under uncertainty is the key subject. However, the expected utility maximization often employed as the decision process fails to consider the high risk with low probability cases. On the other hand, the existing min-max regret strategy tends to be dominated by the ＂worst assumption＂ regardless of its probability. This research proposes a new framework by formulating the regret by the Minkowski＇s generalized distance. The authors then apply the formulation to the IAM （integrated assessment model） MARIA. This study focuses on the uncertainties of CCS （carbon capture and storage） costs and the global warming damages. This formulation is then extended to the multi-stage decision frame, known as ATL （act-then-learn） method. The simulation results suggest that the substantial changes in CCS and nuclear deployment strategies depending on the future uncertainty scenarios. The results also suggest that the minimum regret strategy favors the capital accumulation in the early stage.展开更多
Determining initial pretension values of pre-stressed cables is one of the key problems for a steel mega frame and pre-stressed composite bracing structure.Through the mechanical analysis of the composite bracing unde...Determining initial pretension values of pre-stressed cables is one of the key problems for a steel mega frame and pre-stressed composite bracing structure.Through the mechanical analysis of the composite bracing under vertical loading,the critical factors deciding the initial pretention value were found.According to these factors,a rule for the initial pretension value was put forward.The determination equations were acquired based on the principle of force equilibrium at nodes.The numerical results indicate that the internal force disequilibrium in composite bracings resulted from symmetrical load can be eliminated only in a symmetrical way,so that initial pretention values are decided only by vertical loads.The influencing coefficient leveling method,taking into account interactions between story and story,is accurate and feasible.展开更多
This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)modelunder Pozdnyakov and Steele(2004)'s martingale framework for futures prices.Under the CIR modelfor short term interest rate,we p...This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)modelunder Pozdnyakov and Steele(2004)'s martingale framework for futures prices.Under the CIR modelfor short term interest rate,we prove that there exists a unique futures price process associated withthe terminal value and the standard financial market,and that this unique futures price process has amartingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contractsis obtained in the CIR model.展开更多
文摘The technology investment strategy under uncertainty is the key subject. However, the expected utility maximization often employed as the decision process fails to consider the high risk with low probability cases. On the other hand, the existing min-max regret strategy tends to be dominated by the ＂worst assumption＂ regardless of its probability. This research proposes a new framework by formulating the regret by the Minkowski＇s generalized distance. The authors then apply the formulation to the IAM （integrated assessment model） MARIA. This study focuses on the uncertainties of CCS （carbon capture and storage） costs and the global warming damages. This formulation is then extended to the multi-stage decision frame, known as ATL （act-then-learn） method. The simulation results suggest that the substantial changes in CCS and nuclear deployment strategies depending on the future uncertainty scenarios. The results also suggest that the minimum regret strategy favors the capital accumulation in the early stage.
基金Project of Ministry of Housing and Urban-Rural Development of China(No.2012-K2-28)
文摘Determining initial pretension values of pre-stressed cables is one of the key problems for a steel mega frame and pre-stressed composite bracing structure.Through the mechanical analysis of the composite bracing under vertical loading,the critical factors deciding the initial pretention value were found.According to these factors,a rule for the initial pretension value was put forward.The determination equations were acquired based on the principle of force equilibrium at nodes.The numerical results indicate that the internal force disequilibrium in composite bracings resulted from symmetrical load can be eliminated only in a symmetrical way,so that initial pretention values are decided only by vertical loads.The influencing coefficient leveling method,taking into account interactions between story and story,is accurate and feasible.
基金supported by the National Natural Science Foundation of China under Grant Nos.70971006,70501003,70831001the National Basic Research Program of China (973 Program) under Grant No.2007CB814906
文摘This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)modelunder Pozdnyakov and Steele(2004)'s martingale framework for futures prices.Under the CIR modelfor short term interest rate,we prove that there exists a unique futures price process associated withthe terminal value and the standard financial market,and that this unique futures price process has amartingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contractsis obtained in the CIR model.
