The appeal from municipalities, provinces and regions to financial derivative instruments is tied to the need of overcoming the situations in a state of urgency inherent in a balance. On average, one local Italian aut...The appeal from municipalities, provinces and regions to financial derivative instruments is tied to the need of overcoming the situations in a state of urgency inherent in a balance. On average, one local Italian authority in twenty has decided to underwrite a derivative product, giving life to a number of contracts that had a value of over 35 billion euro with an average value of 6.5 million for each contract until 2007. The boom of swaps has, since 2000 on, experienced a peak period from 2003 to the end of 2005, in which the Euribor rate touched a very low level, maintained itself for long periods at around 2% and fallen in some cases even under this value. Many of the contracts completed before 2006, which link the debt of local authorities to variable rates, but also many of those completed from 2006 onwards that moved debt onto fixed rate, which are now a source of loss for the balance of local authorities that have underwritten them. In the 2002-2008 period, the number of the stipulation of contracts local authorities reported to the Ministry of Economy and Finance is about 900, corresponding to more or less 150 per year, which affected 18 regions, 44 provinces, 532 municipalities and 4 mountain commtmities, for a total of 594 authorities. Therefore, the local authorities have approached the derivative instruments in an often approximate way without a real awareness, both for the conditions that were being negotiated and the effects that they would have produced in perspective. The purpose of this work is to highlight the consequences of the use of derivative instruments on the future management of local authorities.展开更多
Local inhomogeneity in totally asymmetric simple exclusion processes （TASEPs） with different hopping rates was studied. Many biological and chemical phenomena can be described by these non-equilibrium processes. A s...Local inhomogeneity in totally asymmetric simple exclusion processes （TASEPs） with different hopping rates was studied. Many biological and chemical phenomena can be described by these non-equilibrium processes. A simple approximate theory and extensive Monte Carlo computer simulations were used to calculate the steady-state phase diagrams and bulk densities. It is found that the phase diagram for local inhomogeneity in TASEP with different hopping rates p is qualitatively similar to homogeneous models. Interestingly, there is a saturation point pair （a＊, fl＊） for the system, which is decided by parameters p and q. There are three stationary phases in the system, when parameter p is fixed （i.e., p=0.8）, with the increase of the parameter q, the region of LD/LD and HD/HD phase increases and the HD/LD is the only phase which the region shrinks. The analytical results are in good agreement with simulations.展开更多
We consider the design of semidefinite programming （SDP） based approximation algorithm for the problem Max Hypergraph Cut with Limited Unbalance （MHC-LU）： Find a partition of the vertices of a weighted hypergraph...We consider the design of semidefinite programming （SDP） based approximation algorithm for the problem Max Hypergraph Cut with Limited Unbalance （MHC-LU）： Find a partition of the vertices of a weighted hypergraph H = （V, E） into two subsets V1, V2 with ｜｜V2｜ - ｜1/1 ｜｜ ≤ u for some given u and maximizing the total weight of the edges meeting both V1 and V2. The problem MHC-LU generalizes several other combinatorial optimization problems including Max Cut, Max Cut with Limited Unbalance （MC-LU）, Max Set Splitting, Max Ek-Set Splitting and Max Hypergraph Bisection. By generalizing several earlier ideas, we present an SDP randomized approximation algorithm for MHC-LU with guaranteed worst-case performance ratios for various unbalance parameters τ = u/｜V｜. We also give the worst-case performance ratio of the SDP-algorithm for approximating MHC-LU regardless of the value of τ. Our strengthened SDP relaxation and rounding method improve a result of Ageev and Sviridenko （2000） on Max Hypergraph Bisection （MHC-LU with u = 0）, and results of Andersson and Engebretsen （1999）, Gaur and Krishnamurti （2001） and Zhang et al. （2004） on Max Set Splitting （MHC-LU with u = ｜V｜）. Furthermore, our new formula for the performance ratio by a tighter analysis compared with that in Galbiati and Maffioli （2007） is responsible for the improvement of a result of Galbiati and Maffioli （2007） on MC-LU for some range of τ.展开更多
The Friedman's urn model is a popular urn model which is widely used in many disciplines.In particular,it is extensively used in treatment allocation schemes in clinical trials.Its asymptotic properties have been ...The Friedman's urn model is a popular urn model which is widely used in many disciplines.In particular,it is extensively used in treatment allocation schemes in clinical trials.Its asymptotic properties have been studied by many researchers.In literature,it is usually assumed that the expected number of balls added at each stage is a constant in despite of what type of balls are selected,that is,the updating of the urn is assumed to be balanced.When it is not,the asymptotic property of the Friedman's urn model is stated in the book of Hu and Rosenberger(2006) as one of open problems in the area of adaptive designs.In this paper,we show that both the urn composition process and the allocation proportion process can be approximated by a multi-dimensional Gaussian process almost surely for a general multi-color Friedman type urn model with heterogeneous and unbalanced updating.The Gaussian process is a solution of a stochastic differential equation.As an application,we obtain the asymptotic properties including the asymptotic normality and the exact law of the iterated logarithm.展开更多
文摘The appeal from municipalities, provinces and regions to financial derivative instruments is tied to the need of overcoming the situations in a state of urgency inherent in a balance. On average, one local Italian authority in twenty has decided to underwrite a derivative product, giving life to a number of contracts that had a value of over 35 billion euro with an average value of 6.5 million for each contract until 2007. The boom of swaps has, since 2000 on, experienced a peak period from 2003 to the end of 2005, in which the Euribor rate touched a very low level, maintained itself for long periods at around 2% and fallen in some cases even under this value. Many of the contracts completed before 2006, which link the debt of local authorities to variable rates, but also many of those completed from 2006 onwards that moved debt onto fixed rate, which are now a source of loss for the balance of local authorities that have underwritten them. In the 2002-2008 period, the number of the stipulation of contracts local authorities reported to the Ministry of Economy and Finance is about 900, corresponding to more or less 150 per year, which affected 18 regions, 44 provinces, 532 municipalities and 4 mountain commtmities, for a total of 594 authorities. Therefore, the local authorities have approached the derivative instruments in an often approximate way without a real awareness, both for the conditions that were being negotiated and the effects that they would have produced in perspective. The purpose of this work is to highlight the consequences of the use of derivative instruments on the future management of local authorities.
基金Project(2011FZ050) supported by Applied Basic Research Program of Yunnan Provincial Science and Technology Department,ChinaProject(2011J084) supported by Master Program of Yunnan Province Education Department,China
文摘Local inhomogeneity in totally asymmetric simple exclusion processes （TASEPs） with different hopping rates was studied. Many biological and chemical phenomena can be described by these non-equilibrium processes. A simple approximate theory and extensive Monte Carlo computer simulations were used to calculate the steady-state phase diagrams and bulk densities. It is found that the phase diagram for local inhomogeneity in TASEP with different hopping rates p is qualitatively similar to homogeneous models. Interestingly, there is a saturation point pair （a＊, fl＊） for the system, which is decided by parameters p and q. There are three stationary phases in the system, when parameter p is fixed （i.e., p=0.8）, with the increase of the parameter q, the region of LD/LD and HD/HD phase increases and the HD/LD is the only phase which the region shrinks. The analytical results are in good agreement with simulations.
基金supported by National Natural Science Foundation of China(Grant Nos.11171160,11331003 and 11471003)the Priority Academic Program Development of Jiangsu Higher Education Institutions+2 种基金the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(Grant No.13KJB1100188)Natural Science Foundation of Guangdong Province(Grant No.S2012040007521)Sienceand Technology Planning Project in Guangzhou(Grant No.2013J4100077)
文摘We consider the design of semidefinite programming （SDP） based approximation algorithm for the problem Max Hypergraph Cut with Limited Unbalance （MHC-LU）： Find a partition of the vertices of a weighted hypergraph H = （V, E） into two subsets V1, V2 with ｜｜V2｜ - ｜1/1 ｜｜ ≤ u for some given u and maximizing the total weight of the edges meeting both V1 and V2. The problem MHC-LU generalizes several other combinatorial optimization problems including Max Cut, Max Cut with Limited Unbalance （MC-LU）, Max Set Splitting, Max Ek-Set Splitting and Max Hypergraph Bisection. By generalizing several earlier ideas, we present an SDP randomized approximation algorithm for MHC-LU with guaranteed worst-case performance ratios for various unbalance parameters τ = u/｜V｜. We also give the worst-case performance ratio of the SDP-algorithm for approximating MHC-LU regardless of the value of τ. Our strengthened SDP relaxation and rounding method improve a result of Ageev and Sviridenko （2000） on Max Hypergraph Bisection （MHC-LU with u = 0）, and results of Andersson and Engebretsen （1999）, Gaur and Krishnamurti （2001） and Zhang et al. （2004） on Max Set Splitting （MHC-LU with u = ｜V｜）. Furthermore, our new formula for the performance ratio by a tighter analysis compared with that in Galbiati and Maffioli （2007） is responsible for the improvement of a result of Galbiati and Maffioli （2007） on MC-LU for some range of τ.
基金supported by National Natural Science Foundation of China (Grant No.11071214)Natural Science Foundation of Zhejiang Province (Grant No. R6100119)+1 种基金the Program for New Century Excellent Talents in University (Grant No. NCET-08-0481)Department of Education of Zhejiang Province(Grant No. 20070219)
文摘The Friedman's urn model is a popular urn model which is widely used in many disciplines.In particular,it is extensively used in treatment allocation schemes in clinical trials.Its asymptotic properties have been studied by many researchers.In literature,it is usually assumed that the expected number of balls added at each stage is a constant in despite of what type of balls are selected,that is,the updating of the urn is assumed to be balanced.When it is not,the asymptotic property of the Friedman's urn model is stated in the book of Hu and Rosenberger(2006) as one of open problems in the area of adaptive designs.In this paper,we show that both the urn composition process and the allocation proportion process can be approximated by a multi-dimensional Gaussian process almost surely for a general multi-color Friedman type urn model with heterogeneous and unbalanced updating.The Gaussian process is a solution of a stochastic differential equation.As an application,we obtain the asymptotic properties including the asymptotic normality and the exact law of the iterated logarithm.
