一类新复合型积分因子的存在充要条件

本文根据微分方程复合类型积分因子的定义,得到了复合类型积分因子存在的充要条件和计算公式,为解决某些非全微分方程求解问题提供了更加快捷的工具,避免了传统求解方法的繁琐及盲目。     

Modeling attitudes toward uncertainty through the use of the Sugeno integral

The aim of this paper is to present under uncertainty, and in an ordinal framework, an axiomatic treatment of the Sugeno integral in terms of preferences which parallels some earlier derivations devoted to the Choquet integral. Some emphasis is given to the characterization of uncertainty aversion.     

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

We consider the linear‐impact case in the continuous‐time market impact model with transient price impact proposed by Gatheral. In this model, the absence of price manipulation in the sense of Huberman and Stanzl can easily be characterized by means of Bochner’s theorem. This allows us to study the problem of minimizing the expected liquidation costs of an asset position under constraints on the trading times. We prove that optimal strategies can be characterized as measure‐valued solutions of a generalized Fredholm integral equation of the first kind and analyze several explicit examples. We also prove theorems on the existence and nonexistence of optimal strategies. We show in particular that optimal strategies always exist and are nonalternating between buy and sell trades when price impact decays as a convex function of time. This is based on and extends a recent result by Alfonsi, Schied, and Slynko on the nonexistence of transaction‐triggered price manipulation. We also prove some qualitative properties of optimal strategies and provide explicit expressions for the optimal strategy in several special cases of interest.     

政策驱动农村居住空间集中与城乡一体化发展

城市化进程主要由两股力量推动,一是市场力量推动;二是政府政策驱动。政府驱动城市化进程的可能路径是:选择规模较大、有发展潜力的县城和建制镇作为未来五十年的发展重点,促使更多农村居民搬迁至上述县城和建制镇。同时,将旧村迁出后新增的可利用建设用地指标进行跨地区再配置。其可能的结果是,其一,节省出大量土地资源;其二,促使要素集聚,加快农村城镇化进程;其三,集中力量建设考虑空间因素的连接性基础设施,缩短城乡经济距离,逐步消除城乡分割,最终实现城乡一体化发展。     

基于模糊积分的区域软实力评价研究

文章首先对区域软实力进行概念界定,然后在分析区域软实力构成要素的基础上构建区域软实力的评价指标体系,进而根据区域软实力评价的特性提出相应的评价方法:语意评估转换与Choquet模糊积分。该方法不仅便于进行定性指标的评价,也解决了指标间相关性的问题。     

发展漆器艺术的社会价值

中国漆器与传统文化有密切的关系,因此发展漆器艺术,就是继承与发扬民族文化;漆器从其诞生的那一天起,就与自然有着天然的和谐之处,发展漆器艺术,就可以迎合现代社会的环保理念;漆器作为一个可持续发展的产业,蕴含着巨大的商机,并具有广阔的开发前景。     

Coping with ignorance: unforeseen contingencies and non-additive uncertainty

Summary. In real-life decision problems, decision makers are never provided with the necessary background structure: the set of states of the world, the outcome space, the set of actions. They have to devise all these by themselves. I model the (static) choice problem of a decision maker (DM) who is aware that her perception of the decision problem is too coarse, as for instance when there might be unforeseen contingencies. I make a “bounded rationality' assumption on the way the DM deals with this difficulty, and then I show that imposing standard subjective expected utility axioms on her preferences only implies that they can be represented by a (generalized) expectation with respect to a non-additive measure, called a belief function. However, the axioms do have strong implications for how the DM copes with the type of ignorance described above. Finally, I show that some decision rules that have been studied in the literature can be obtained as a special case of the model presented here (though they have to be interpreted differently). Received: December 16, 1999; revised version: March 22, 2000     

Risk-adjusted credibility premiums using distorted probabilities

Abstract

Denneberg (1990) and Wang (1996a) propose that one calculate risk-adjusted insurance premiums as the expectation with respect to a distorted probability measure, a non-additive set function. This premium principle is supported by the theories of decision making of Yaari (1987) and of Schmeidler (1989). Denneberg (1994a) presents three conditioning rules for updating non-additive set functions in light of available information. In this work, we show how to apply these three update rules to calculate a risk-adjusted credibility premium and, thereby, combine credibility theory with this relatively new premium principle. Our main result is that, for some pairs of distortion function and update rule, one gets the same risk-adjusted credibility premium by distorting the predictive probability distribution, as required by the theory of Yaari, or by updating the distorted probability, as required by the theory of Schmeidler.     

Finite maturity caps and floors on continuous flows

Models of interest rate caps and floors are typically based on discrete rates over finite horizons while existing real option models describe perpetual claims on the maximum of two continuous flows. In this paper, we produce formulae for finite maturity caps and floors that are contingent on continuous flows. We present hedge ratios and discuss applications where a lognormally distributed flow variable is suitable. For other situations where practitioners use proprietary models, the formula presented is useful as a quick, tractable and universal means for mapping quoted implied to prices and vice versa.