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Parametric estimation of discretely sampled Gamma-OU processes

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Science China Mathematics 2006年第9期49卷 1231-1257页

作者： ZHANG Shibin,ZHANG Xinsheng & SUN Shuguang School of Management, Fudan university, shanghai 200433, China Department of Mathematics, shanghai maritime university, shanghai 200135, China School of Management Fudan University Shanghai 200433 China Department of Mathematics Shanghai Maritime University Shanghai 200135 China

The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The estimator of an intensity parameter A and its convergence result are given, and the simulations show that the estimation is quite accurate. Assuming that the parameter A is estimated, the maximum likelihood estimation of shape parameter c and scale parameter a, whose likelihood function is not explicitly computable, is considered. By means of the Gaver-Stehfest algorithm, we construct an explicit sequence of approximations to the likelihood function and show that it converges the true (but unkown) one. Maximizing the sequence results in an estimator that converges to the true maximum likelihood estimator and the approximation shares the asymptotic properties of the true maximum likelihood estimator. Some simulation experiments reveal that this method is still quite accurate in most of rational situations for the background of volatility.

关键词： Gamma-OU process transition function Lévy process Lévy density stochastic volatility background driving Lévy process Laplace transformation maximum likelihood estimation

Simple generalized restricted modules for graded Lie algebras of Cartan type

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Chinese Science Bulletin 1998年第16期43卷 1336-1340页

作者： SHU Bin Institute of Applied Mathematics & Physics, shanghai maritime university, shanghai 200135, China Institute of Applied Mathematics & Physics Shanghai Maritime University Shanghai China

Let %L=X(m:n) (2), X∈{W,S,H,K}% be a simple graded Lie algebra of Cartan type over a field %F% of characteristic p>3. With the aid of Farnsteiner’s generalized reduced Verma module, a connection between the simple G... 详细信息

关键词： Lie algebra of Cartan type generalized restricted module generalized reduced Verma module.

Conjugation in Representations of the Zassenhaus Algebra

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Acta Mathematica Sinica,English Series 2001年第2期17卷 319-326页

作者： Bin SHU Institute of Applied Mathematics & Physics. shanghai maritime university. shanghai 200135, P. R. China Institute of Applied Mathematics & Physics Shanghai Maritime University Shanghai 200135 P. R. China

Let F be an algebracially closed field of characteristic p>2, and L be the pn-dimensional Zassenhaus algebra with the maximal invariant subalgebra L0 and the standard filtration {Li}|i=-1pn-2. Then the number of isomorphism classes of simple L-modules is equal to that of simple L0-modules, corresponding to an arbitrary character of L except when its height is biggest. As to the number corresponding to the exception there was an earlier result saying that it is not bigger than pn.

关键词： Zassenhaus algebras (Cartan-type Lie algebras) Simple modules of Lie algebras and their isomorphism classes

Combinatorial Model Involving Stochastic Choices of Destination, Mode and Route

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Journal of shanghai university(English Edition) 2001年第2期5卷 171-176页

作者： ZHOU Xi zhao Management School, shanghai maritime university, shanghai 200135, China Management School Shanghai Maritime University Shanghai China

Traffic assignment models are one of the basic tools for the analysis and design of transportation systems. However, the existing models have some defects. Considering the characteristics of Chinese urban mixed traffic and the randomness of transportation information, the author develops a combinatorial model involving stochastic choices of destination, mode and route. Its uniqueness and equivalance are also proved by the optimization theory.

关键词： destination choice mode choice route choice

FORMING DYNAMIC EQUATIONS OF ELASTIC LINKAGE AND INVESTIGATION OF MODEL ERROR

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Chinese Journal of Mechanical Engineering 1995年第1期8卷 30-37,14页

作者： Zou Huijun(shanghai Jiaotong university)Zhang Mingli(shanghai maritime university)

Dynamic equations of elastic linkage are formed by means of Kane equation and finitemethod. Eight main influential factors on the dynamic response of elastic linkage are considered inthese equations. Model error caused by the eight factors are investigated. Some useful conclusionsabout model error are derived from theoretical analysis and the numerical calculation of twenty-sixexamples.

关键词： KED Model Error

Study on Microstructures and Properties of Electro Brush-plating Composite Coatings

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材料热处理学报 2004年第5B期25卷 1133-1136页

作者： GUZhuo-ming HUANGWan-juan shanghaimaritimeuniversity ShanghaiChina

In this paper, composite coatings were prepared using improved electro brush-plating, and the possibility and feasibility of obtaining of composite coatings with various hard dispersion paticles (C^Os. SiC, ZrO, A^Ojetc.) were *** microstructure, constitution, microhardness and wear resistance were examined. The results show *** brush-plating composite coatings have finner microstructures and higher microhardness and wear-resistance than ordinary electro brush-plating *** research results can be used in repairing and surface strengthening of worn machine parts,and have practical uses.

关键词：显微结构电刷镀复合涂层硬颗粒磨损性能

Logistics Network Design for Manufacturing Enterprises with Component Processing Workshops

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Wuhan university Journal of Natural Sciences 2010年第6期15卷 516-520页

作者： DING Yizhong Logistics Research Center,shanghai maritime university,shanghai 200135,China Logistics Research Center Shanghai Maritime University Shanghai China

Logistics network design influences the efficiency and cost of Logistics *** manufacturing enterprises not only have warehouse hubs,but also build component processing workshops which are usually located in those places where the costs of materials and workforce are *** paper establishes a logistics network design model for the manufacturing enterprises with component processing workshops based on 0-1 mixture integer *** model optimizes the logistics network in an integrated view,by which the selection of the nodes,the manufacturing plan,and transportation plan can be *** example is given to verify its *** approach is helpful for designing of the logistics network in manufacturing enterprises.

关键词： manufacturing enterprise logistics network component processing 0-1 mixture integer programming

Throughput Capacity of a Container Terminal Considering the Combination Patterns of the Types of Arriving Vessels

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Journal of shanghai Jiaotong university(Science) 2010年第1期15卷 124-128页

作者：丁以中 Logistics Research Center Shanghai Maritime University

The throughput capacity of a container terminal is very important in planning and designing at container *** existing methods estimated the throughput capacity without considering its change resulting from the different combination patterns of the types of arriving vessels.A simulation model is established to estimate the throughput capacities of a container terminal under different combination patterns of the types of arriving *** shows that the throughput capacity of a container terminal is influenced by the utilization rates of the berth and quay cranes which result from the different combination patterns of the types of the arriving *** provides a practical approach to estimate the throughput capacity of a container terminal considering the types of the vessels,and it is also helpful for the decision makers to raise the throughputs of the container terminals by optimizing the combination patterns of the types of arriving vessels.

关键词： simulation container terminal throughput capacity utilization rate of the berth

A Comparative Study of Real-Time Logistics Strategy and Other Logistics Strategies

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上海海事大学学报 2004年第2期25卷 183-189页

作者： YU Si-qin(School of Economics & Management , shanghai maritime university, shanghai 200135) School of Economics&Management Shanghai Maritime UniversityShanghai200135

Real - time logistics strategy is a new concept. Prior logistics strategies like postponement and Just - In - Time have been widely practiced in enterprise logistics. The paper explains the relationship between real -... 详细信息

关键词： real - time logistics strategy postpone strategy just - in - time strategy