A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establ...A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.展开更多
The alpha stable self-similar stochastic process has been proved an effective model for high variable data traffic. A deep insight into some special issues and considerations on use of the process to model aggregated ...The alpha stable self-similar stochastic process has been proved an effective model for high variable data traffic. A deep insight into some special issues and considerations on use of the process to model aggregated VBR video traffic is made. Different methods to estimate stability parameter a and self-similar parameter H are compared. Processes to generate the linear fractional stable noise （LFSN） and the alpha stable random variables are provided. Model construction and the quantitative comparisons with fractional Brown motion （FBM） and real traffic are also examined. Open problems and future directions are also given with thoughtful discussions.展开更多
The exponential passive filtering problem for a class of nonlinear Markov jump systems with uncertainties and time-delays is studied. The uncertain parameters are assumed unknown but norm bounded, and the nonlineariti...The exponential passive filtering problem for a class of nonlinear Markov jump systems with uncertainties and time-delays is studied. The uncertain parameters are assumed unknown but norm bounded, and the nonlinearities satisfy the quadratic condition. Based on the passive filtering theory, the sufficient condition for the existence of the mode-dependent passive filter is given by analyzing the reconstructed observer system. By using the appropriate Lyapnnov-Krasovskii function and applying linear matrix inequalities, the design scheme of the passive filter is derived and described as an optimization one. The presented exponential passive filter makes the error dynamic systems exponentially stochastically stable for all the admissible uncertainties, time-delays and nonlinearities, has the better abilities of state tracking and satisfies the given passive norm index. Simulation results demonstrate the validity of the proposed approach.展开更多
将麦克斯韦方程和绕组函数法相结合,得到单边直线感应电机(single linear induction motor,SLIM)的初级、次级基波和边端效应波绕组函数。由绕组函数理论计算出电感、运动电势系数,建立电压和磁链方程。由初、次级能量关系得到推力方程...将麦克斯韦方程和绕组函数法相结合,得到单边直线感应电机(single linear induction motor,SLIM)的初级、次级基波和边端效应波绕组函数。由绕组函数理论计算出电感、运动电势系数,建立电压和磁链方程。由初、次级能量关系得到推力方程并进一步求解相关特性量。对不同工况的暂态和稳态特性进行分析。将大功率电机全过程中相电流、推力、效率的计算值与测量值进行比较。试验结果表明,绕组函数法能较合理地描述SLIM特性,具有一定实用性。展开更多
文摘A model of continuous-time insider trading in which a risk-neutral in-sider possesses two imperfect correlated signals of a risky asset is studied.By conditional expectation theory and filtering theory,we first establish three lemmas:normal corre-lation,equivalent pricing and equivalent profit,which can guarantee to turn our model into a model with insider knowing full information.Then we investigate the impact of the two correlated signals on the market equilibrium consisting of optimal insider trading strategy and semi-strong pricing rule.It shows that in the equilibrium,(1)the market depth is constant over time;(2)if the two noisy signals are not linerly correlated,then all private information of the insider is incorporated into prices in the end while the whole information on the asset value can not incorporated into prices in the end;(3)if the two noisy signals are linear correlated such that the insider can infer the whole information of the asset value,then our model turns into a model with insider knowing full information;(4)if the two noisy signals are the same then the total ex ant profit of the insider is increasing with the noise decreasing,while down to O as the noise going up to infinity;(5)if the two noisy signals are not linear correlated then with one noisy signal fixed,the total ex ante profit of the insider is single-peaked with a unique minimum with respect to the other noisy signal value,and furthermore as the noisy value going to O it gets its maximum,the profit in the case that the real value is observed.
文摘The alpha stable self-similar stochastic process has been proved an effective model for high variable data traffic. A deep insight into some special issues and considerations on use of the process to model aggregated VBR video traffic is made. Different methods to estimate stability parameter a and self-similar parameter H are compared. Processes to generate the linear fractional stable noise （LFSN） and the alpha stable random variables are provided. Model construction and the quantitative comparisons with fractional Brown motion （FBM） and real traffic are also examined. Open problems and future directions are also given with thoughtful discussions.
基金supported partly by the National Natural Science Foundation of China(60574001)the Program for New Century Excellent Talents in University(050485)the Program for Innovative Research Team of Jiangnan University.
文摘The exponential passive filtering problem for a class of nonlinear Markov jump systems with uncertainties and time-delays is studied. The uncertain parameters are assumed unknown but norm bounded, and the nonlinearities satisfy the quadratic condition. Based on the passive filtering theory, the sufficient condition for the existence of the mode-dependent passive filter is given by analyzing the reconstructed observer system. By using the appropriate Lyapnnov-Krasovskii function and applying linear matrix inequalities, the design scheme of the passive filter is derived and described as an optimization one. The presented exponential passive filter makes the error dynamic systems exponentially stochastically stable for all the admissible uncertainties, time-delays and nonlinearities, has the better abilities of state tracking and satisfies the given passive norm index. Simulation results demonstrate the validity of the proposed approach.
文摘将麦克斯韦方程和绕组函数法相结合,得到单边直线感应电机(single linear induction motor,SLIM)的初级、次级基波和边端效应波绕组函数。由绕组函数理论计算出电感、运动电势系数,建立电压和磁链方程。由初、次级能量关系得到推力方程并进一步求解相关特性量。对不同工况的暂态和稳态特性进行分析。将大功率电机全过程中相电流、推力、效率的计算值与测量值进行比较。试验结果表明,绕组函数法能较合理地描述SLIM特性,具有一定实用性。
基金by The Founds of Young Scientists of China,No.10001007,The Research Foundations of of DUT No.3004-888N01 and Research Foundations of Young Teachers of DUT.2003.
