检索结果-南通市图书馆

On a BMAP/G/1 G-queue with Setup Times and Multiple Vacations

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2011年第4期27卷 625-638页

作者： Yi PENG xiang-qun yang School of Mathematical Science and Computing Technology Central South University Changsha 410075 Hunan China College of Mathematics and Computer Science Hunan Normal University Changsha 410081 China

In this paper, we consider a BMAP/G/1 G-queue with setup times and multiple vacations. Arrivals of positive customers and negative customers follow a batch Markovian arrival process （BMAP） and Markovian arrival process （MAP） respectively. The arrival of a negative customer removes all the customers in the system when the server is working. The server leaves for a vacation as soon as the system empties and is allowed to take repeated （multiple） vacations. By using the supplementary variables method and the censoring technique, we obtain the queue length distributions. We also obtain the mean of the busy period based on the renewal theory.

关键词： G-queues batch Markovian arrival process (BMAP) setup times multiple vacations censoring technique Markov chains

Unified Characteristic Numbers and Solutions of Equations for Birth and Death Processes with Barriers

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2010年第3期26卷 443-454页

作者： xiang-qun yang He-song Wang College of Mathematics and Computer Science Hunan Normal University. Changsha 410081 China College of Mathematics and Computer Science Changsha University of Science and Technology Changsha410076 China

The state 0 of a birth and death process with state space E = {0, 1, 2,....} is a barrier which can be classified into four kinds： reflection, absorption, leaping reflection, quasi-leaping reflection. For the first, second and fourth barriers, the characteristic numbers of different forms have been introduced. In this paper unified characteristic numbers for birth and death processes with barriers were introduced, the related equations were solved and the solutions were expressed by unified characteristic numbers. This paper concerns work solving probability construction problem of birth and death processes with leaping reflection barrier and quasi-leaping reflection barrier.

关键词： birth and death process with barrier reflection and absorption leaping reflection andquasi-reflection characteristic numbers solutions of equations

Criterion of Semi-Markov Dependent Risk Model

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2014年第7期30卷 1273-1280页

作者： Xiao Yun MO xiang qun yang Department of Basic Subjects Hu’nan University of Finance and Economics College of Mathematics and Computer Science Hu’nan Normal University

A rigorous definition of semi-Markov dependent risk model is given. This model is a generalization of the Markov dependent risk model. A criterion and necessary conditions of semi- Markov dependent risk model are obtained. The results clarify relations between elements among semi-Markov dependent risk model more clear and are applicable for Markov dependent risk model.

关键词： Semi-Markov dependent risk model Markov dependent risk model criterion necessarycondition Markov chain

Application of Moore-Penrose Inverse in Deciding the Minimal Martingale Measure

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2010年第4期26卷 653-660页

作者： Luo-gen Yao Gang yang xiang-qun yang Information Department of Hunan Business College Changsha 410205China College of Mathematics and Computer Science Hunan Normal UniversityChangsha 410081China

The Moore-Penrose inverse is an important tool in *** paper shows that the MoorePenrose inverse is also an effcient technique in determining the minimal martingale measure if a security price follows a semi-martingale which satisfies some structure *** extend a result of Dzhaparidze and Spreij concerning the Moore-Penrose inverse to the case that the Moore-Penrose inverse of any matrix-valued predictable process is still ***,we obtain an explicit formula of the minimal martingale measure by employing the Moore-Penrose ***,the minimal martingale measure in a generalized Black-Scholes model is found.

关键词： Moore-Penrose inverse minimal martingale measure semi-martingales structure condition

Option Pricing by Mean Correcting Method for Non-Gaussian Lvy Processes

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2013年第10期29卷 1927-1938页

作者： Luo Gen YAO Gang yang xiang qun yang School of Mathematics and Statistics Hu'nan Business College College of Mathematics and Computer Science Hu'nan Normal University

For a non-Gaussian Levy model, it is shown that if the model exists a trivial arbitrage-free interval, option pricing by mean correcting method is always arbitrage-free, and if the arbitrage-free interval is non-trivial, this pricing method may lead to arbitrage in some cases. In the latter case, some necessary and sufficient conditions under which option price is arbitrage-free are obtained.

关键词： Non-Gaussian Levy processes mean correcting method option pricing

Adjoining Batch Markov Arrival Processes of a Markov Chain

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2018年第1期34卷 1-10页

作者： Xiao-yun MO Xu-yan xiang xiang-qun yang College of Mathematics and Statistics Hunan University of Finance and Economics Changsha 410205 China College of Mathematics and Computational Science Hunan University of Arts and Science Changde 415000 China Key Laboratory of High performance Computing and Stochastic Information Processing Ministry of Education of China College of Mathematics and Computer Science Hunan Normal University Changsha 410081 China Hunan Province Cooperative Innovation Center for the Construction and Development of Dongting Lake Ecological Economic Zone Changde 415000 China

A batch Markov arrival process（BMAP） X^＊=（N, J） is a 2-dimensional Markov process with two components, one is the counting process N and the other one is the phase process J. It is proved that the phase process is a time-homogeneous Markov chain with a finite state-space, or for short, Markov chain. In this paper,a new and inverse problem is proposed firstly： given a Markov chain J, can we deploy a process N such that the 2-dimensional process X^＊=（N, J） is a BMAP？ The process X^＊=（N, J） is said to be an adjoining BMAP for the Markov chain J. For a given Markov chain the adjoining processes exist and they are not unique. Two kinds of adjoining BMAPs have been constructed. One is the BMAPs with fixed constant batches, the other one is the BMAPs with independent and identically distributed（i.i.d） random batches. The method we used in this paper is not the usual matrix-analytic method of studying BMAP, it is a path-analytic method. We constructed directly sample paths of adjoining BMAPs. The expressions of characteristic（D_k, k = 0, 1, 2· · ·）and transition probabilities of the adjoining BMAP are obtained by the density matrix Q of the given Markov chain J. Moreover, we obtained two frontal Theorems. We present these expressions in the first time.

关键词： Markov chain batch Markov arrival process (BMAP) adjoining BMAP fixed constant batch independent identically distributed (i.i.d) random batch

A Periodic Dividend Problem with Inconstant Barrier in Markovian Environment

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2015年第2期31卷 281-294页

作者： Fang JIN Hui OU xiang qun yang College of Mathematics and Computer Sciences Hu'nan Normal University

Periodic dividend problem is a meaningful issue. Based on a compound binomial model with periodic dividend, we use a homogeneous, ergodic and irreducible discrete-time Markov chain to express the evolution from one period to the subsequent of the economic or the environmental and climatic conditions. We derive some properties about the model. A system of integral equations for the expectation and the r-th moment of discounted dividends until ruin time are obtained respectively. Moreover, by using of Contraction Mapping Principle, we solve the equation system and obtain the explicit expression.

关键词： Periodic dividend Markovian environment inconstant barrier ruin time discounted dividends contraction mapping principle

Approximation for Ruin Probability in the Sparre Andersen Model with Interest

在线全文

学校读者我要写书评

暂无评论

Acta Mathematicae Applicatae Sinica 2006年第2期22卷 333-344页

作者： Ji-yang Tan xiang-qun yang Department of Mathematics Hunan Normal University Changsha 410081 China

We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Approximation for the ultimate ruin probability is derived by rounding. And upper bound and lower bound are also derived by rounding-down and rounding-up respectively. According to the upper bound and lower bound, we can easily obtain the error estimation of the approximation. Applications of the results to the compound Poisson model are given.

关键词： Sparre Andersen model compound Poisson model force of interest ruin probability

Dividend-Reinsurance Strategy in the Sparre Andersen Model

在线全文

学校读者我要写书评

暂无评论

Acta Mathematica Sinica,English Series 2013年第2期29卷 405-416页

作者： Ji yang TAN Lin XIAO Shao Yue LIU xiang qun yang Department of Statistics Xiangtan University HPCSIP Key Laboratory Ministry of Education Department of Mathematics Hu'nan Normal University

In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy （even that of the optimal dividend strategy）. Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang （2） and compound Poisson risk models are also given.

关键词： Sparre Andersen model reinsurance expected discounted penalty function iteration constant dividend barrier