In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump inte...In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump intensities of the assets are stochastic.Under the proposed framework,first,we derive the analytical pricing formula for power options by using Fourier transform technique,Esscher transform and characteristic function.Then we provide the efficient approximation to calculate the analytical pricing formula of power options by using the FFT approach and examine the accuracy of the approximation by Monte Carlo simulation.Finally,we provide some sensitivity analysis of the model parameters to power options.Numerical examples show this model is suitable for empirical work in practice.展开更多
In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
目的基于Markov模型评价肺结节低剂量螺旋CT(LDCT)筛查的卫生经济学。方法利用2021年—2023年北京市某三甲医院的肺结节LDCT筛查数据和部分国外临床研究数据,采用成本效用分析方法,通过增量成本效用比(ICUR)确定优势筛查策略;使用R语言...目的基于Markov模型评价肺结节低剂量螺旋CT(LDCT)筛查的卫生经济学。方法利用2021年—2023年北京市某三甲医院的肺结节LDCT筛查数据和部分国外临床研究数据,采用成本效用分析方法,通过增量成本效用比(ICUR)确定优势筛查策略;使用R语言获得转移概率参数,利用TreeAge Pro 2011软件构建Markov模型。假设以我国10万名55岁及以上人群为肺结节筛查对象,模拟其疾病发展情况,并通过敏感性分析评价该模型的稳定性。结果成本效用分析显示,该模型经20次循环后,LDCT筛查策略的总成本为3543088618元,相较于不筛查策略的总成本增加了784130651元,额外获得了7996个质量调整生命年(QALY),每获得一个QALY需多花费98059.77元。采用WHO卫生经济学评价标准,LDCT筛查策略的ICUR大于1倍人均国内生产总值(GDP)但小于3倍人均GDP,为优势策略。敏感性分析显示,各变量在其敏感性分析范围内无论如何变化,都不会对ICUR产生较大影响,表明该模型具有较好的稳定性。结论在55岁及以上人群中开展每年一次肺结节LDCT筛查的ICUR小于3倍人均GDP,具有一定的经济学效用,该筛查策略有利于肺癌的“早发现、早诊断、早治疗”。展开更多
为研究设备可用度对列车控制中心(TCC,Train Control Center)的影响和预测TCC的剩余使用寿命(RUL,Remaining Useful Life),降低TCC的故障发生率,确保车辆安全运行,构建TCC动态故障树模型。通过引入Markov理论,将其转化为Markov模型,设计...为研究设备可用度对列车控制中心(TCC,Train Control Center)的影响和预测TCC的剩余使用寿命(RUL,Remaining Useful Life),降低TCC的故障发生率,确保车辆安全运行,构建TCC动态故障树模型。通过引入Markov理论,将其转化为Markov模型,设计了TCC可用度评估与RUL预测方法;考虑了TCC的失效率和共因失效,利用D-S(Dempster-Shafer)证据理论对失效数据作数据融合处理,得到TCC设备初始故障区间概率;在此基础上,采用超椭球模型约束设备初始故障区间概率,得到更加精确的底事件故障区间概率;画出Markov状态转移图,用矩阵推导出TCC可用度和RUL的函数关系式,且对可用度的计算还考虑了维修因素。以兰州—乌鲁木齐客运专线某TCC数据作为分析案例,用该方法计算TCC及其各设备的可用度,并预测TCC的RUL。结果表明:与通用方法相比,评估结果相同,但评估信息更丰富。展开更多
We establish the Hausdorff dimension of the graph of general Markov processes on Rd based on some probability estimates of the processes staying or leaving small balls in small time.In particular,our results indicate ...We establish the Hausdorff dimension of the graph of general Markov processes on Rd based on some probability estimates of the processes staying or leaving small balls in small time.In particular,our results indicate that,for symmetric diffusion processes(withα=2)or symmetricα-stable-like processes(withα∈(0,2))on Rd,it holds almost surely that dimH GrX([0,1])=1{α<1}+(2−1/α)1{α≥1,d=1}+(d∧α)1{α≥1,d≥2}.We also systematically prove the corresponding results about the Hausdorff dimension of the range of the processes.展开更多
This article investigates the issue of finite-time state estimation in coupled neural networks under random mixed cyberattacks,in which the Markov process is used to model the mixed cyberattacks.To optimize the utiliz...This article investigates the issue of finite-time state estimation in coupled neural networks under random mixed cyberattacks,in which the Markov process is used to model the mixed cyberattacks.To optimize the utilization of channel resources,a decentralized event-triggered mechanism is adopted during the information transmission.By establishing the augmentation system and constructing the Lyapunov function,sufficient conditions are obtained for the system to be finite-time bounded and satisfy the H_(∞ )performance index.Then,under these conditions,a suitable state estimator gain is obtained.Finally,the feasibility of the method is verified by a given illustrative example.展开更多
In order to study the influence of stochastic disturbance and environment switching on the HPV infection and provide a theoretical basis for the development of effective HPV disease prevention measures,in this paper w...In order to study the influence of stochastic disturbance and environment switching on the HPV infection and provide a theoretical basis for the development of effective HPV disease prevention measures,in this paper we establish a kind of two-sex stochastic HPV epidemic model with white noise and Markov switching.We show that the model has a unique local positive solution and a unique global positive solution.Then we identify the threshold conditions for the persistence of the HPV epidemic,and verify the persistence of the disease using the Lyapunov method and the Ito^formula.At last,the numerical simulation is carried out to illustrate the rationality of the theoretical results.展开更多
文摘In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump intensities of the assets are stochastic.Under the proposed framework,first,we derive the analytical pricing formula for power options by using Fourier transform technique,Esscher transform and characteristic function.Then we provide the efficient approximation to calculate the analytical pricing formula of power options by using the FFT approach and examine the accuracy of the approximation by Monte Carlo simulation.Finally,we provide some sensitivity analysis of the model parameters to power options.Numerical examples show this model is suitable for empirical work in practice.
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
文摘目的基于Markov模型评价肺结节低剂量螺旋CT(LDCT)筛查的卫生经济学。方法利用2021年—2023年北京市某三甲医院的肺结节LDCT筛查数据和部分国外临床研究数据,采用成本效用分析方法,通过增量成本效用比(ICUR)确定优势筛查策略;使用R语言获得转移概率参数,利用TreeAge Pro 2011软件构建Markov模型。假设以我国10万名55岁及以上人群为肺结节筛查对象,模拟其疾病发展情况,并通过敏感性分析评价该模型的稳定性。结果成本效用分析显示,该模型经20次循环后,LDCT筛查策略的总成本为3543088618元,相较于不筛查策略的总成本增加了784130651元,额外获得了7996个质量调整生命年(QALY),每获得一个QALY需多花费98059.77元。采用WHO卫生经济学评价标准,LDCT筛查策略的ICUR大于1倍人均国内生产总值(GDP)但小于3倍人均GDP,为优势策略。敏感性分析显示,各变量在其敏感性分析范围内无论如何变化,都不会对ICUR产生较大影响,表明该模型具有较好的稳定性。结论在55岁及以上人群中开展每年一次肺结节LDCT筛查的ICUR小于3倍人均GDP,具有一定的经济学效用,该筛查策略有利于肺癌的“早发现、早诊断、早治疗”。
文摘为研究设备可用度对列车控制中心(TCC,Train Control Center)的影响和预测TCC的剩余使用寿命(RUL,Remaining Useful Life),降低TCC的故障发生率,确保车辆安全运行,构建TCC动态故障树模型。通过引入Markov理论,将其转化为Markov模型,设计了TCC可用度评估与RUL预测方法;考虑了TCC的失效率和共因失效,利用D-S(Dempster-Shafer)证据理论对失效数据作数据融合处理,得到TCC设备初始故障区间概率;在此基础上,采用超椭球模型约束设备初始故障区间概率,得到更加精确的底事件故障区间概率;画出Markov状态转移图,用矩阵推导出TCC可用度和RUL的函数关系式,且对可用度的计算还考虑了维修因素。以兰州—乌鲁木齐客运专线某TCC数据作为分析案例,用该方法计算TCC及其各设备的可用度,并预测TCC的RUL。结果表明:与通用方法相比,评估结果相同,但评估信息更丰富。
基金supported by Leshan Normal University Scientific Research Start-up Project for Introducing High-level Talents(Grand No.RC2024001).
文摘We establish the Hausdorff dimension of the graph of general Markov processes on Rd based on some probability estimates of the processes staying or leaving small balls in small time.In particular,our results indicate that,for symmetric diffusion processes(withα=2)or symmetricα-stable-like processes(withα∈(0,2))on Rd,it holds almost surely that dimH GrX([0,1])=1{α<1}+(2−1/α)1{α≥1,d=1}+(d∧α)1{α≥1,d≥2}.We also systematically prove the corresponding results about the Hausdorff dimension of the range of the processes.
基金Project supported by the National Natural Science Foundation of China(Grant No.62303016)the Research and Development Project of Engineering Research Center of Biofilm Water Purification and Utilization Technology of the Ministry of Education of China(Grant No.BWPU2023ZY02)+1 种基金the University Synergy Innovation Program of Anhui Province,China(Grant No.GXXT-2023-020)the Key Project of Natural Science Research in Universities of Anhui Province,China(Grant No.2024AH050171).
文摘This article investigates the issue of finite-time state estimation in coupled neural networks under random mixed cyberattacks,in which the Markov process is used to model the mixed cyberattacks.To optimize the utilization of channel resources,a decentralized event-triggered mechanism is adopted during the information transmission.By establishing the augmentation system and constructing the Lyapunov function,sufficient conditions are obtained for the system to be finite-time bounded and satisfy the H_(∞ )performance index.Then,under these conditions,a suitable state estimator gain is obtained.Finally,the feasibility of the method is verified by a given illustrative example.
基金supported by the Scientific Research Project of Tianjin Municipal Educational Commission(No.2021KJ058)。
文摘In order to study the influence of stochastic disturbance and environment switching on the HPV infection and provide a theoretical basis for the development of effective HPV disease prevention measures,in this paper we establish a kind of two-sex stochastic HPV epidemic model with white noise and Markov switching.We show that the model has a unique local positive solution and a unique global positive solution.Then we identify the threshold conditions for the persistence of the HPV epidemic,and verify the persistence of the disease using the Lyapunov method and the Ito^formula.At last,the numerical simulation is carried out to illustrate the rationality of the theoretical results.
