Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models

Abstract. In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in financial economics, as OU processes are used as models of instantaneous variance in stochastic volatility (SV) models. In this case, an intOU process can be regarded as a model of integrated variance. Hence, the tail behaviour of the intOU process will determine the tail behaviour of returns generated by SV models.     

程序设计方法SPP与OOP的比较

就特性、开发步骤、综合性能三方面分析比较了传统的结构化程序设计方法 ( SPP)与面向对象程序设计方法 ( OOP)的异同点 ,并指出了在学习和应用中应注意的问题     

中国大豆生产效率分析

通过建立中国省别大豆生产的随机前沿生产函数模型 ,分析近年来中国各大豆主产省大豆生产的技术效率及其影响因素 ,结果表明 ,中国大豆生产存在着明显的技术低效 ,但是这种低效近年来呈现出改进的趋势 ,这可能得益于农民负担的减轻、农产品市场化程度的加深以及农村劳动力文化程度的提高。     

随机分布参数系统的最优控制

讨论了用柱布朗运动过程驱动，在Ｂａｎａｃｈ空间中取值，用随机发展方程描述的随机分布参数系统的最优控制问题。用文献［１］中的方法得到了状态过程的轨道变分的表达式和最优控制的必要条件与充分条件。     

单叶双曲面教学软件的设计思想与制作

用Ｃ语言制作单叶双曲面教学软件的设计思想与制作方法．     

摩擦市场的投资决策模型研究

根据摩擦市场的特点，建立了一个含有交易费、税收这两个摩擦因素及送股情况下的多目标规划模型，并利用效用函数将其转化为一个单目标模型。同时，针对投资者一般难以准确描述自己的效用函数这一事实，让投资者根据自己的效用偏好两两比较有效投资组合，然后利用Fabonacci法逐步逼近最优解，最后得到近似最优投资组合。     

Standby redundancies at component level versus system level in series system

Abstract

It is known that the redundancy at the component level is better than the system level for the case of active redundancy. However, few results are available for standby redundancy due to the complexity of convolution. This note stochastically compares allocations of standby redundancies in series systems with exponential components at the component level versus the system level in sense of the likelihood ratio ordering. The established results strengthen and extend some known ones in the literature.     

THE GENERALIZED HARMONIC MEAN AND A PORTFOLIO PROBLEM WITH DEPENDENT ASSETS

McEntire (1984) proved that, for a portfolio problem with independent assets, the generalized harmonic mean plays the role of a risk-free threshold. Based upon this property, he developed a criterion for including or excluding assets in an optimal portfolio, and he proved an ordering theorem showing that an optimal portfolio always consists of positive amounts of the assets with the largest mean values. Also, some commonly used utility functions were shown to satisfy the property that the dominance of an asset over another is unaffected by the addition of other assets. In this paper we extend these results to the case where assets are dependent.     

提高学生VB程序设计能力浅析

在程序设计教学过程中,如何解决程序设计本身枯燥、难懂这个难题,一直是广大计算机教师颇感兴趣的课题.结合教学体会,从培养学生兴趣、基础知识的学习、对算法的理解、知识的灵活运用及编程能力的提高等几方面对提高学生VB程序设计能力的方法作了阐述.     

Distribution-free tests in randomized blocks

Classes of distribution-free tests are proposed for testing homogeneity against order restricted as well as unrestricted alternatives in randomized block designs with multiple observations per cell. Allowing for different interblock scoring schemes, these tests are constructed based on the method of within block rankings. Asymptotic distributions (cell sizes tending to infinity) of these tests are derived under the assumption of homogeneity. The Pitman asymptotic relative efficiencies relative to the least squares statistics are studied. It is shown that when blocks are governed by different distributions, adaptive choice of scores within each block results in asymptotically more efficient tests as compared with methods that ignore such information. Monte Carlo simulations of selected designs indicate that the method of within block rankings is more power robust with respect to differing block distributions.