ISSN 0253-2778

CN 34-1054/N

2016 Vol. 46, No. 11

Display Method:
Original Paper
A direct proof of Mehlers formula for the Ornstein-Uhlenbeck semigroup
2016, 46(11): 883-886. doi: 10.3969/j.issn.0253-2778.2016.11.001
A direct proof of Mehlers formula for the Ornstein-Uhlenbeck semigroup was given using an integral representation of the Hermite polynomials.
Mp-embedded subgroups and the structure of finite groups
ZHANG Jia, MIAO Long, GAO Baijun
2016, 46(11): 887-891. doi: 10.3969/j.issn.0253-2778.2016.11.002
A subgroup H of G is called Mp-embedded in G, if there exists a p-nilpotent subgroup B of G such that Hp∈Sylp(B) and B is Mp-supplemented in G. The structure of finite groups is investigated by means of Mp-embedded property of primary subgroups.
Adaptive tearing of crumpled thin sheets
JIANG Qiqi, ZHOU Shizhe, SHI Liqiang
2016, 46(11): 892-897. doi: 10.3969/j.issn.0253-2778.2016.11.003
Tearing paper is commonly seen in our daily life. Simulating this effect is an important application of thin sheet deformation. Existing approaches only research the cracking effect on normal flat paper. Our work aims at physically simulating tearing papers that have been crumpled by external forces. To achieve this effect, the crumpling tensor field was used as a guidance to grow the cracking paths using external force in an iterative manner. In each step, a physical measurement field defined over the planar domain of paper was updated. A triangular mesh representing the paper was dynamically restructured. Experiments show that the proposed approach generates realistic paper tearing effect with randomly shaped cracking path and physically-plausible cracking details.
A RKHS-based semiparametric approach to nonlinear dimension reduction
CUI Wenquan, LIU Bo
2016, 46(11): 898-906. doi: 10.3969/j.issn.0253-2778.2016.11.004
A nonlinear dimension reduction method, the generalized semiparametric kernel sliced inverse regression (GSKSIR for short), was proposed, developed based on the theory of reproducing kernel Hilbert Space (RKHS) and the semiparametric method. The method extends the classical semiparametric method into a more generalized semiparametric domain, and is capable of handling infinite dimensional interested a parameter spaces. With this method, both spaces of nuisance parameters and parameters of interests can be infinitely dimensional, the corresponding generalized nuisance tangent space orthogonal complement was derived, estimation equation for the purpose of dimension reduction was constructed, and optimization of the target function could be achieved based on RKHS theory and regularization method, which leads to a nonlinear estimated sufficient reduced dimension subspace with efficient properties. Furthermore, this new method does not impose the linearity design conditions (LDC) required by methods such as the sliced inverse regression (SIR) and the kernel SIR, and so on, and thus, is more general and can be more widely applied. Finally, a Monte Carlo simulation was conducted, and the results demonstrate the excellent finite sample properties of this new method.
Precise large deviations of a compound renewal risk model with regression-type size-dependence structure
ZHOU Zhihan, CHEN Cen, HE Jijiao, WANG Shijie
2016, 46(11): 907-911. doi: 10.3969/j.issn.0253-2778.2016.11.005
A compound renewal risk model with a regression-type size-dependence structure was proposed, on the basis of which precise large deviations for such a risk model were derived under the condition that all the claims are assumed to be heavy-tailed random variables from D class.
Portfolio with consumption and terminal gains under loss aversion
PAN Chen, ZHANG Shuguang
2016, 46(11): 912-918. doi: 10.3969/j.issn.0253-2778.2016.11.006
A continuous-time portfolio selection problem with consumption and terminal gains was considered in the framework of prospect theory. The Inada conditions for the utility functions were discarded by assuming a regularity condition on the terminal utility. First, the problem with the reference point depending on the wealth was considered, and the corresponding Hamilton-Jacobi-Bellman (HJB) equation was derived. Then, by assuming that the terminal utility relies on the gains process, a new model with the reference point as part of the control was established. This makes the optimal control problem non-Markovian. To deal with this problem, the idea for transforming the Asian option pricing problem into a Markov problem was used. A singular Markov control problem was yielded, and then acorresponding HJB variational inequality was derived.
Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
LUO Kebing, YE Wuyi, DONG Xiaowen
2016, 46(11): 919-927. doi: 10.3969/j.issn.0253-2778.2016.11.007
High-frequency financial data analysis has received more and more attention. Stationary of continuously rising and falling returns and durations from one-minute intraday high frequency SSE Composite Index and SZSE Component Index was analyzed and their distributions were fitted by exponential distribution, Gamma distribution and Weibull distribution with bad results. Influence factors of continuously rising and falling returns were studied based on quantile Granger causality test. The findings show that the possibility of a big rise followed by a big fall is high, but continuously rising extreme return is not affected by previous continuously falling return. The longer the durations of continuously rising or falling returns, the smaller the risk of continuously falling return is. The longer the duration of the last continuously rising process, the lower the extreme return of the next continuously rising process. Continuously falling duration has no effect on previous continuously rising extreme return. Finally, the prediction of conditional VaR for continuously falling return shows that the quantile regression model has good power to predict conditional VaR.
Systematic VaR model based on multi-resolution analysis and extreme value theory
WANG Chuanhao, FANG Zhaoben, HAN Yu
2016, 46(11): 928-938. doi: 10.3969/j.issn.0253-2778.2016.11.008
In order to capture time-varying features of volatility of asset price, multi-resolution analysis (MRA) was used to decompose financial returns into orthogonal components in different time domains. For each component, a certain ARMA-GARCH model was built. Extreme value theory (EVT) was then introduced so as to model the fat-tail of financial returns, and an MRA-EVT model was constructed. Finally, the proposed model was applied to predict VaR of CSI 300 index, and compared with traditional models, such as ARMA-GARCH model, unconditional EVT model and MRA model. Empirical results show that the MRA-EVT model significantly improves the accuracy of VaR estimation.
Efficiency evaluation and methods of resource allocation of parallel production system based on DEA
CHAI Lei, ZHAO Dingtao
2016, 46(11): 939-945. doi: 10.3969/j.issn.0253-2778.2016.11.009
To study the efficiency evaluation and resource allocation of parallel production system, the efficiency of service departments was calculated and the principle of allocation about shared resources in DEA parallel system, or the mechanism satisfying the maximization of overall efficiency, was explored. This is an indepth analysis and explanation of how to allocate shared resources in parallel production system with the methods of DEA. The results indicate that: firstly, when maximizing overall efficiency, the overall efficiency score is a convex combination of efficiency scores of two sub units under the optimal allocation coefficient; secondly, when maximizing overall efficiency, the sub unit whose efficiency score is equal to the overall efficiency reaches its own maximum efficiency. At this time, the efficient sub unit by DEA is allocated all of the shared resources, while the inefficient one gets nothing.
Game on cooperative innovation with both technology spillover and product substitution
SONG Jian, LIANG Liang, ZHANG Baofeng
2016, 46(11): 946-953. doi: 10.3969/j.issn.0253-2778.2016.11.010
A system consisting of duopoly was proposed to explore how the asymmetric technology spillover and product substitution impact the cooperation in innovation and production stages. The mathematical and computational results show that technology spillover induces innovation investment and production. However, product substitution has a negative on the optimal innovation and production decisions. For a company maximizing his profits, only when both technology spillover and product substitution are high enough can the company have motivation to cooperate. It is always more beneficial for the system in full-collusion with cooperation in both innovation and production than in semi-collusion with only cooperation in innovation, which suggests that a well-designed revenue-allocation mechanism can motivate the duopoly to carry on full-collusion.
Study of the insurance contract based on supply chain members attitude towards risk
ZHOU Duanji, QIN Jin
2016, 46(11): 954-962. doi: 10.3969/j.issn.0253-2778.2016.11.011
Considering that the traditional supply chains wholesale price mechanism cant coordinate the supply chain, which leads to poor profits for both the supplier and retailer, from the perspective of supply chain members attitude towards risk, a supply chain contract was proposed which combines the insurance mechanism. The contract is based on the wholesale price mechanism model, introducing two characteristic parameters (insurance price r and the retailer bear the risk of loss proportion θ) to characterize the uncertainty of market demand. Our study has shown that the introduction of the contract can coordinate the supply chain and improve the overall profits. In addition, the effects of agents risk preferences and negotiating powers on the distribution of supply chains excessive profits were also investigated.
The influence of customer on-line reviews on pricing strategy of meal ordering platform
LIU Chiyi
2016, 46(11): 963-968. doi: 10.3969/j.issn.0253-2778.2016.11.012
Taking the meal ordering platform with customer on-line review function as the object of the research, based on the fundamental of existing literatures, it was studied that how the meal ordering platform make pricing strategy to maximize profit when both positive intra-group network externality and inter-group network externality exist. The result shows that when the network externality of seller is greater than the network externality of buyer, the increase of intra-group network externality brought by on-line review will make the platform reduce subsidies for buyer. Otherwise the increase of intra-group network externality brought by on-line review will make the platform charge higher price for seller.