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常系数投资消费模型的一些优化性质
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作者 许世蒙 张玉忠 《运筹学学报》 CSCD 北大核心 2002年第1期79-84,共6页
本文在有交易费的常系数投资消费模型下,讨论了折算函数和价值函数的一些基本性质,即给出了价值函数的凹性、连续性、正则性和变分不等式的粘性上解以及粘性解存在性等结果.
关键词 系数投资消费模型 优化性质 交易费 折算函数 价值函数 粘性上解 最优投资策略
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常方差弹性系数模型下波动率指数期权定价
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作者 马长福 许威 《同济大学学报(自然科学版)》 EI CAS CSCD 北大核心 2019年第11期1664-1669,共6页
作为对冲市场波动率变动风险的波动率指数期权,其定价问题一直受到广泛的关注.为了对其进行定价,首先构建服从常方差弹性系数模型的指数价格柳树,然后根据指数价格柳树确定柳树节点上相应波动率指数的值从而得到波动率指数柳树,最后在... 作为对冲市场波动率变动风险的波动率指数期权,其定价问题一直受到广泛的关注.为了对其进行定价,首先构建服从常方差弹性系数模型的指数价格柳树,然后根据指数价格柳树确定柳树节点上相应波动率指数的值从而得到波动率指数柳树,最后在波动率指数柳树上运用倒向递归的方法得到波动率指数期权的价格.所给出柳树法定价波动率指数期权的方法,其结果随着柳树空间节点数的增加快速逼近嵌套蒙特卡罗模拟的结果,当柳树空间节点数超过200时,柳树法给出的结果具有相当高的精度. 展开更多
关键词 期权定价 柳树法 波动率指数 方差弹性系数模型
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常系数投资消费模型中资产折算函数常用 被引量:1
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作者 许世蒙 刘俊红 谢古今 《装甲兵工程学院学报》 2000年第1期96-99,共4页
在有交易费的常系数投资消费模型下,讨论了资产折算的一个重要的基本性质,即给出了资产折算函数是变分不等式的粘性上解这一基本结果。
关键词 投资消费 常系数模型 折算函数 粘性上解 交易费
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Stackelberg微分博弈下的鲁棒最优投资-再保险问题
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作者 颜炳文 陈密 刘海燕 《吉林大学学报(理学版)》 CAS 北大核心 2024年第2期273-284,共12页
考虑一个以模糊厌恶再保险公司为领导者,模糊中立保险公司为追随者的Stackelberg随机微分博弈问题.通过求解拓展的HJB(Hamilton-Jacobi-Bellman)方程组,给出时间一致性均值-方差准则下的鲁棒最优投资-再保险策略以及相应的值函数.最后,... 考虑一个以模糊厌恶再保险公司为领导者,模糊中立保险公司为追随者的Stackelberg随机微分博弈问题.通过求解拓展的HJB(Hamilton-Jacobi-Bellman)方程组,给出时间一致性均值-方差准则下的鲁棒最优投资-再保险策略以及相应的值函数.最后,通过数值例子和敏感性分析说明最优策略与主要参数之间的关系. 展开更多
关键词 比例再保险 系数方差弹性模型 Stackelberg微分博弈 时间一致性均值-方差框架 模糊厌恶
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对我国货币供给量指标有效性的探讨——兼论我国货币传导机制的效应 被引量:1
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作者 熊国兵 《企业经济》 北大核心 2003年第7期125-127,共3页
关键词 中国 货币供给量 货币传导机制 指标 有效性 系数线性模型
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The Saturation Model and Its Application on Partition Equilibria for Main Types of Heterogeneous Systems
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作者 Jozef Siska 《Journal of Chemistry and Chemical Engineering》 2011年第3期269-282,共14页
Within the model, a definition of novel saturation and dilution degree is presented. A novel expression of equilibrium constant is derived by including interactions between components to reversible processes running b... Within the model, a definition of novel saturation and dilution degree is presented. A novel expression of equilibrium constant is derived by including interactions between components to reversible processes running between the components particles under a dynamic equilibrium. For partition equilibria, three types of basic processes are proposed and corresponding partition isotherms were derived. The isotherms are applied to the components partition between two phases for main heterogenous systems types. For construction and prediction ternary phase diagrams, a new method, the Component Binding by Saturation Model (CBSM) method, is proposed. Applying the partition isotherms derived, new extraction, evaporation and adsorption isotherms are expressed. Directly, or after an approximation, from the new adsorption isotherms, well-known adsorption isotherms are obtained. 展开更多
关键词 Equilibrium PARTITION ISOTHERM phase diagram extraction EVAPORATION adsorption.
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投资消费模型中价值函数的正则性
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作者 许世蒙 刘俊红 《装甲兵工程学院学报》 2002年第2期13-15,21,共4页
在有交易费的常系数投资消费模型下,讨论了价值函数的一些重要的基本性质,即给出了价值函数的正则性等结果.
关键词 投资消费 常系数模型 价值函数 正则性
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Impact of the latest measurement of Hubble constant on constraining inflation models 被引量:1
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作者 Xin Zhang 《Science China(Physics,Mechanics & Astronomy)》 SCIE EI CAS CSCD 2017年第6期78-79,共2页
Recently,Riess et al.[1]reported the new result of local measurement of the Hubble constant,H_0=(73.00±1.75)km s^(-1) Mpc^(-1),which is 3.3σhigher than the fit result of ocal measurement of the Hubble constant, ... Recently,Riess et al.[1]reported the new result of local measurement of the Hubble constant,H_0=(73.00±1.75)km s^(-1) Mpc^(-1),which is 3.3σhigher than the fit result of ocal measurement of the Hubble constant, H_0 = (73.00 ± 1.75) km s^(-1) Mpc^(-1), which is 3.3σ higher than the fit result of (66.93±0.62) km s^(-1) Mpc^(-1) derived by the Planck collaboration based on theΛCDM model withmν=0.06 e V using the latest Planck CMB data.The tension between the latest H0measurement and the Planck data has inspired numerous discussions.On one hand,it might be caused by some systematic uncertainties in the measurements.On the other hand,perhaps one has omitted some unknown physical factors in the cosmological model,which leads to some inconsistencies among different data sets.For example,replacing the cosmological constant with a dynamical dark energy[2]and considering the extra relativistic degrees of freedom(i.e.,an additional parameter Neff)[1,3,4]both can help relieve this tension to some extent.It was also shown in ref.[4]that the involvement of light sterile neutrinos in the cosmological model can simultaneously relieve almost all the tensions among the current astrophysical observations,which leads to a new cosmic concordance. 展开更多
关键词 inflation relativistic Planck sterile freedom relieve dynamical numerous collaboration perhaps
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Dynamic Analysis of Vibrating Systems with Nonlinearities 被引量:1
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作者 M.Kalami Yazdi H.Ahmadian +1 位作者 A.Mirzabeigy A.Yildirim 《Communications in Theoretical Physics》 SCIE CAS CSCD 2012年第2期183-187,共5页
The max-min approach is applied to mathematical models of some nonlinear oscillations.The models are regarding to three different forms that are governed by nonlinear ordinary differential equations.In this context,th... The max-min approach is applied to mathematical models of some nonlinear oscillations.The models are regarding to three different forms that are governed by nonlinear ordinary differential equations.In this context,the strongly nonlinear Duffing oscillator with third,fifth,and seventh powers of the amplitude,the pendulum attached to a rotating rigid frame and the cubic Duffing oscillator with discontinuity are taken into consideration.The obtained results via the approach are compared with ones achieved utilizing other techniques.The results indicate that the approach has a good agreement with other well-known methods.He's max-min approach is a promising technique and can be successfully exerted to a lot of practical engineering and physical problems. 展开更多
关键词 nonlinear oscillation He's max-min approach dynamic analysis
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