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On Optimal Mean-Field Control Problem of Mean-Field Forward-Backward Stochastic System with Jumps Under Partial Information

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Journal of Systems Science & Complexity 2017年第4期30卷 828-856页

作者： ZHOU Qing REN Yong wu weixing School of Science Beijing University of Posts and Telecommunications Department of Mathematics Anhui Normal University Research Center of Applied Finance and School of Finance and Banking University of International Business and Economics

This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system and the objective performance functionals are allowed to be random, possibly non-Markovian, Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed. The authors also investigate the mean-field type optimal control problem for the system driven by mean-field type forward-backward stochastic differential equations(FBSDEs in short) with jumps, where the coefficients contain not only the state process but also its expectation under partially observed information. The maximum principle is established using convex variational technique. An example is given to illustrate the obtained results.

关键词： Forward-backward stochastic differential equation Girsanov's theorem jump diffusion Malliavin calculus maximum principle mean-field type partial information.

Pricing of Defaultable Securities Associated with Recovery Rate Under the Stochastic Interest Rate Driven by Fractional Brownian Motion

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Journal of Systems Science & Complexity 2019年第2期32卷 657-680页

作者： ZHOU Qing WANG Qian wu weixing School of Science Beijing University of Posts and Telecommunications School of Banking and Finance University of International Business and Economics

This paper considers an improved model of pricing defaultable bonds under the assumption that the interest rate satisfies the Vasicek model driven by fractional Brownian motion(fBm for short)based on the counterparty risk framework of Jarrow and Yu(2001). The authors use the theory of stochastic analysis of f Bm to derive pricing formulas for the defaultable bonds and study how the counterparty risk, recovery rate, and the Hurst parameter affect the values of the defaultable *** experiment results are presented to demonstrate the findings.

关键词： Counterparty risk defaultable bond fractional Brownian motion recovery rate Vasicek model

Vulnerable European Call Option Pricing Based on Uncertain Fractional Differential Equation

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Journal of Systems Science & Complexity 2023年第1期36卷 328-359页

作者： LEI Ziqi ZHOU Qing wu weixing WANG Zengwu School of Science Beijing University of Posts and TelecommunicationsBeijing 100876China Research Center of Applied Finance and School of Finance and Banking University of International Business and EconomicsBeijing 100029China Institute of Finance and Banking Chinese Academy of Social SciencesBeijing 100029China

This paper presents two new versions of uncertain market models for valuing vulnerable European call *** dynamics of underlying asset,counterparty asset,and corporate liability are formulated on the basis of uncertain differential equations and uncertain fractional differential equations of Caputo type,respectively,and the solution to an uncertain fractional differential equation of Caputo type is presented by employing the Mittag-Leffler function andα-***,the pricing formulas of vulnerable European call option based on the proposed models are investigated as well as some *** numerical experiments are performed to verify the effectiveness of the results.

关键词： α-path uncertainty uncertain fractional differential equation vulnerable option pricing

AN ACCURATE BINOMIAL MODEL FOR PRICING AMERICAN ASIAN OPTION

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Journal of Systems Science & Complexity 2014年第5期27卷 993-1007页

作者： LIU Jian wu weixing XU Jingfeng ZHAO Haijian School of Insurance Central University of Finance and Economics Research Center for Applied Finance School of Banking and FinanceUniversity of International Business and Economics China Institute for Actuarial Science Central University of Finance and Economics Bosera Asset Management Co. Ltd.

This paper presents simple and fast algorithms for computing very tight upper and lower bounds on the prices of American Asian options in the binomial *** authors choose two types sets of the actual arithmetic average prices,instead of the simulated values in other existing models,as the representative average prices at each node of the binomial *** approach simplifies effectively the computation and reduces the error caused by the linear *** results show that the approach produces accurate upper and lower bounds compared to the other existing methods based on the binomial tree.

关键词： Asian option binomial tree option pricing

Modeling gross primary production of a temperate grassland ecosystem in Inner Mongolia, China, using MODIS imagery and climate data

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Science China Earth Sciences 2008年第10期51卷 1501-1512页

作者： wu weixing WANG ShaoQiang XIAO XiangMing YU GuiRui FU YuLing HAO YanBin Qianyanzhou Ecological Experimental Station Institute of Geographic Sciences and Natural Resources ResearchChinese Academy of SciencesBeijing 100101China Graduate University of Chinese Academy of Sciences Beijing 100049China Institute for the Study of Earth Oceans and SpaceUniversity of New HampshireDurhamNH 03824USA Key Laboratory of Ecosystem Network Observation and Modeling Institute of Geographic Sciences and Natural Resources Re-searchChinese Academy of SciencesBeijing 100101China Laboratory of Quantitative Vegetation Ecology Institute of BotanyChinese Academy of SciencesBeijing 100093China

Carbon fluxes in temperate grassland ecosystems are characterized by large inter-annual variations due to fluctuations in precipitation and land water availability. Since an eddy flux tower has been in operation in the Xilin Gol grassland, which belongs to typical temperate grassland in North China, in this study, observed eddy covariance flux data were used to critically evaluate the biophysical performance of different remote sensing vegetation indices in relation to carbon fluxes. Furthermore, vegetation photosynthesis model (VPM) was introduced to estimate gross primary production (GPP) of the grassland ecosystem for assessing its dependability. As defined by the input variables of VPM, Moderate Resolution Imaging Spectroradimeter (MODIS) and standard data product MOD09A1 were downloaded for calculating enhanced vegetation index (EVI) and land surface water index (LSWI). Measured air temperature (Ta) and photosynthetically active radiation (PAR) data were also included for model simulating. Field CO2 flux data, during the period from May, 2003 to September, 2005, were used to estimate the “observed” GPP (GPP obs) for validation. The seasonal dynamics of GPP predicted from VPM (GPP VPM) was compared quite well (R 2=0.903, N=111, p<0.0001) with the observed GPP. The aggregate GPP VPM for the study period was 641.5 g C·m?2, representing a ～6% over-estimation, compared with GPP obs. Additionally, GPP predicted from other two typical production efficiency model (PEM) represents either higher overestimation or lower underestimation to GPP obs. Results of this study demonstrate that VPM has potential for estimating site-level or regional grassland GPP, and might be an effective tool for scaling-up carbon fluxes.

关键词： GPP eddy covariance remote sensing Xilin Gol

The longest ultraconserved sequences and evolution of vertebrate mitochondrial genomes

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Chinese Science Bulletin 2006年第5期51卷 552-556页

作者： FANG Weiwu TU Sili CAI Xu WANG Yuncheng wu weixing Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100080 China Shandong Agricultural University Taian 271018 China University of International Business and Economics Beijing 100029 China

We compared 753 genomes of bacteria, archaea, and mitochondria (more than 540 M data) and found four unique ultraconserved sequences in 352 vertebrate mitochondrial genomes which are the longest or second longest or third longest ultracon- served subsequences in the vertebrate mitochondrial genomes, their lengths are approximate to those of small RNA. Surprisingly, the classification and evolu- tion relationship among some high-level categories of animals can be clearly reflected by their regularity of occurrence; moreover, these findings gave rise to some new ideas of evolution of mitochondria and living beings. For instance, the variations in mito- chondrial genomes of animals may help clarify the evolution relationship between Aves and Reptile, and understand the fact that the origin of mitochondrion is at least not a simple copy of genomes of lower living things such as bacteria and archaea.

关键词：脊椎动物线粒体RNA 基因组序列结构

A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment

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Probability, Uncertainty and Quantitative Risk 2023年第4期8卷 499-522页

作者： Ge Wang Menglei Huang Qing Zhou weixing wu Weilin Xiao School of Science Key Laboratory of Mathematics and Information NetworksMinistry of EducationBeijing University of Posts and TelecommunicationsBeijing 100876China School of Finance Capital University of Economics and BusinessBeijing 100070China School of Management Zhejiang UniversityHangzhou 310058China

This study considers an optimal investment and reinsurance problem involving a defaultable security for an insurer in an ambiguous *** other words,the insurer is ambiguous about the insurance claim that is exponentially distributed with an uncertain rate *** insurer can purchase proportional reinsurance and invest its wealth in three assets:a risk-free asset,a risky asset,the price process of which satisfies the Heston local-stochastic volatility model,and a defaultable corporate *** the optimal investment–reinsurance objective with a smooth ambiguity utility proposed by Klibanoff,P.,Marinacci,M.,and Mukerji,S.[A smooth model of decision making under ambiguity,Econometrica,2005,73(6):1849-1892],the equilibrium strategy is introduced and the extended Hamilton–Jacobi–Bellman equation is established through a stochastic control ***,the analytical solution of the strategy under the Heston local-stochastic volatility model cannot be obtained because of the complicated nonlinearity of the partial differential *** this study,we employ a perturbation method to derive an asymptotic solution for the post-and pre-default *** addition,we present a sensitivity analysis to explain the impact of model parameters on the equilibrium investment–reinsurance strategy.

关键词： Smooth ambiguity utility Heston local-stochastic volatility model Perturbation method Investment and reinsurance Defaultable bond

Quasi-particle injection into YBa2Cu3O7-δ micro-bridge

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Science Bulletin 2003年第11期48卷 1161-1164页

作者： SUN Guozhu,wu Peiheng,CAI weixing,JI Zhengming,XU Weiwei,KANG Lin,YANG Senzu Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Research Institute of Superconductor Electronics Department of Electronic Science and Engineering Nanjing University Nanjing 210093 China Nanjing 210093 China Nanjing 210093 China Nanjing 210093 China Nanjing 210093 China Nanjing 210093 China Nanjing 210093 China

Several types of quasi-particle injections into YBa2Cu3O7-d (YBCO) micro-bridge have been studied, re- vealing the quasi-particle non-equilibrium effect, the current superposition effect and the heating effect. The current gain抯 dependence on temperatures indicates that supercon- ductivity of YBCO is really suppressed by quasi-particle injection. We propose a new type of quasi-particle injection which turns out to be a promising candidate for interface between superconductor and semiconductor circuits.

关键词： quasi-particle injection high temperature superconductor.

Effects of afforestation on soil carbon turnover in China＇s subtropical region

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Journal of Geographical Sciences 2011年第1期21卷 118-134页

作者： WANG Shaoqiang LIU Jiyuan ZHANG Cheng YI Chuixiang wu weixing Key Lab of Ecosystem Network and Modelling Institute of Geographic Sciences and Natural Resources Research CAS Beijing 100101 China Queens College City University of New York New York USA

Afforestation in China＇s subtropics plays an important role in sequestering CO2 from the atmosphere and in storage of soil carbon （C）. Compared with natural forests,plantation forests have lower soil organic carbon （SOC） content and great potential to store more C. To better evaluate the effects of afforestation on soil C turnover,we investigated SOC and its stable C isotope （δ13C） composition in three planted forests at Qianyanzhou Ecological Experimental Station in southern China. Litter and soil samples were collected and analyzed for total organic C,δ13C and total nitrogen. Similarly to the vertical distribution of SOC in natural forests,SOC concentrations decrease exponentially with depth. The land cover type （grassland） before plantation had a significant influence on the vertical distribution of SOC. The SOC ？13C composition of the upper soil layer of two plantation forests has been mainly affected by the grass biomass 13C composition. Soil profiles with a change in photosynthetic pathway had a more complex 13C isotope composition distribution. During the 20 years after plantation establishment,the soil organic matter sources influenced both the δ13C distribution with depth,and C replacement. The upper soil layer SOC turnover in masson pine （a mean 34% of replacement in the 10 cm after 20 years） was more than twice as fast as that of slash pine （16% of replacement） under subtropical conditions. The results demonstrate that masson pine and slash pine plantations cannot rapidly sequester SOC into long-term storage pools in subtropical China.

关键词： soil organic carbon stable carbon isotope plantation forest