We extend the information-based asset-pricing framework by Brody,Hughston&Macrina to incorporate a stochastic bankruptcy time for the writer of the asset.Our model introduces a non-defaultable cash flow Zr to be m...We extend the information-based asset-pricing framework by Brody,Hughston&Macrina to incorporate a stochastic bankruptcy time for the writer of the asset.Our model introduces a non-defaultable cash flow Zr to be made at time T,alongside the time T of a possible bankruptcy of the writer of the asset are in line with the filtration generated by a Brownian random bridge with length v=T^T and pinning point ZT,where is a constant.Quantities Z and T are not necessarily independent.The model does not depend crucially on the interpretation of as a bankruptcy time.We derived the price process of the asset and compute the prices of associated options.The dynamics of the price process satisfy a diffusion equation.Employing the approach of P.-A.Meyer,we provide the explicit computation of the compensator of v.Leveraging special properties of the bridge process,we also provide the explicit expression of the compensator of Zr I(v,+o).The resulting conclusion highlights the totally inaccessible property of the stopping time v.This characteristic is particularly suitable for financial markets where the time of default of a writer cannot be predictable from any other signal in the system until default happens.展开更多
In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Usin...In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem.展开更多
Real-time functional magnetic resonance imaging (rtfMRI) technology has been widely used to train subjects to actively regulate the activity of specific brain regions. Although many previous studies have demonstrated ...Real-time functional magnetic resonance imaging (rtfMRI) technology has been widely used to train subjects to actively regulate the activity of specific brain regions. Although many previous studies have demonstrated that neurofeedback training alters the functional connectivity between brain regions in the task state and resting state, it is unclear how the regulation of the key hub of the default mode network (DMN) affects the topological properties of the resting-state brain network. The current study aimed to investigate what topological changes would occur in the large-scale intrinsic organization of the resting state after the real-time down-regulation of the posterior cingulate cortex (PCC). The results indicated that the down-regulation of the PCC in the DMN reduced the functional connectivity of the PCC with the nodes outside of the DMN and reduced functional connectivity between the superior medial frontal gyrus (SFGmed) and parahippocampal gyrus (PHG) in the experimental group. Moreover, the nodal graph properties of the SFGmed were reduced, while that of the PHG showed the opposite alteration after the down-regulation of the PCC. These findings possibly suggest that the regulation of the key hub of the DMN, the PCC, mainly changed the information transfer of the SFGmed and PHG.展开更多
文摘We extend the information-based asset-pricing framework by Brody,Hughston&Macrina to incorporate a stochastic bankruptcy time for the writer of the asset.Our model introduces a non-defaultable cash flow Zr to be made at time T,alongside the time T of a possible bankruptcy of the writer of the asset are in line with the filtration generated by a Brownian random bridge with length v=T^T and pinning point ZT,where is a constant.Quantities Z and T are not necessarily independent.The model does not depend crucially on the interpretation of as a bankruptcy time.We derived the price process of the asset and compute the prices of associated options.The dynamics of the price process satisfy a diffusion equation.Employing the approach of P.-A.Meyer,we provide the explicit computation of the compensator of v.Leveraging special properties of the bridge process,we also provide the explicit expression of the compensator of Zr I(v,+o).The resulting conclusion highlights the totally inaccessible property of the stopping time v.This characteristic is particularly suitable for financial markets where the time of default of a writer cannot be predictable from any other signal in the system until default happens.
基金supported by Humanities and Social Science Research Youth Fund of the Ministry of Education (11YJC790015)Economic and Financial Research Department, National Centre for Mathematics and interdisciplinary Sciences, CAS+2 种基金the Innovative Research Team Support Program of Central University of Finance and EconomicsThe second author is supported by the Mathematical Tianyuan Foundation of China(Grant No. 11126050)the Specialized Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20113207120002)
文摘In this paper we study the one-dimensional reflected backward stochastic differential equations which are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. Using a penalization method, we prove the existence and uniqueness of the solutions to these equations. As an application, we show that under proper assumptions the solution of the reflected equation is the value of the related mixed optimal stopping-control problem.
文摘Real-time functional magnetic resonance imaging (rtfMRI) technology has been widely used to train subjects to actively regulate the activity of specific brain regions. Although many previous studies have demonstrated that neurofeedback training alters the functional connectivity between brain regions in the task state and resting state, it is unclear how the regulation of the key hub of the default mode network (DMN) affects the topological properties of the resting-state brain network. The current study aimed to investigate what topological changes would occur in the large-scale intrinsic organization of the resting state after the real-time down-regulation of the posterior cingulate cortex (PCC). The results indicated that the down-regulation of the PCC in the DMN reduced the functional connectivity of the PCC with the nodes outside of the DMN and reduced functional connectivity between the superior medial frontal gyrus (SFGmed) and parahippocampal gyrus (PHG) in the experimental group. Moreover, the nodal graph properties of the SFGmed were reduced, while that of the PHG showed the opposite alteration after the down-regulation of the PCC. These findings possibly suggest that the regulation of the key hub of the DMN, the PCC, mainly changed the information transfer of the SFGmed and PHG.
文摘目的研究遗忘型轻度认知障碍(amnestic mild cognitive impairment,aMCI)患者默认网络动态功能连接变化及其与认知功能的相关性。方法收集24例aMCI患者及55例正常对照组静息态功能磁共振影像及认知功能数据。利用滑动时间窗(sliding time window,SW)方法分析动态功能连接变化,比较两组间默认网络动态功能连接时间特征参数(时间占比、状态转换次数、平均居留时间、自身转移概率)差异,计算与简易精神状态量表(mini-mental state examination,MMSE)评分的相关性。结果默认网络显示强连接和弱连接两种动态功能连接模式。与正常组比较,aMCI患者强连接状态平均居留时间明显增加(P=0.005),自身转移概率增高(P=0.008)。aMCI患者强弱状态间转换次数与MMSE评分呈正相关(P=0.034,r=0.433)。结论aMCI患者较正常人默认网络动态功能连接时间特征发生改变,且与认知功能下降相关,这一发现为早期诊断aMCI提供了新思路。
