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Some Kinds of Distributional Chaos for Non-Autonomous Discrete Systems 非自治离散系统的几种分布混沌
IF 0.3 Pub Date : 2021-01-01 DOI: 10.3844/jmssp.2021.73.81
Yongxin Jiang, Tianxiu Luand, Xiaofang Yang
Corresponding Author: Tianxiu Lu College of Mathematics and Statistics, Sichuan University of Science and Engineering, Zigong, 643000, P.R. China Email: lubeeltx@163.com Abstract: In this study, several kinds of distributional chaos are defined in a non-autonomous discrete system and the chaotic behavior of the mapping sequence , 1 =( , , ) n n n f f f   , n   ( is a set of natural numbers) is studied.
摘要:本文在非自治离散系统中定义了几种分布混沌,研究了映射序列1 =(,,)n n n f f,n(是一组自然数)的混沌行为。
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引用次数: 0
On the Valuation of Currency Options in Stressed Markets 论压力市场下货币期权的估值
IF 0.3 Pub Date : 2021-01-01 DOI: 10.3844/jmssp.2021.83.87
A. Hatemi-J, Youssef El-Khatib
Corresponding Author: Abdulnasser Hatemi-J College of Business and Economics, Department of Accounting and Finance, UAE University, United Arab Emirates Email: AHatemi@uaeu.ac.ae Abstract: The current article handles the valuation of currency options in the market that is suffering from a financial crisis. The standard formulas for this purpose do not perform accurately. European foreign currency exchange options for both the call and the put versions are dealt with. It is assumed that the value of the underlying asset is a stochastic process that follows a modified Black Scholes model with an augmented stochastic volatility to account for the impact of the crisis. Under these settings, a closed form solution is offered for the option-pricing problem on foreign currency. The underlying solution is mathematically proved. In addition, some simulation results and an application are provided. The results based on the new formula accord better with reality compared to the standard formula.
通讯作者:Abdulnasser Hatemi-J阿联酋大学商业与经济学院会计与金融系电子邮件:AHatemi@uaeu.ac.ae摘要:本文研究的是金融危机下市场中货币期权的估值问题。用于此目的的标准公式不能准确地执行。欧洲外汇兑换期权的看涨和看跌版本处理。假设标的资产的价值是一个随机过程,遵循修正的Black Scholes模型,该模型具有增强的随机波动率,以解释危机的影响。在这些条件下,给出了外汇期权定价问题的封闭形式解。用数学方法证明了其基本解。最后给出了仿真结果和应用实例。与标准公式相比,新公式的计算结果更符合实际。
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引用次数: 0
Topological Beth Model and its Application to Functionals of High Types 拓扑Beth模型及其在高类型泛函中的应用
IF 0.3 Pub Date : 2020-10-14 DOI: 10.3844/jmssp.2020.212.223
F. Kachapova
Based on the definition of Beth-Kripke model by Dragalin, we describe Beth model from the topological point of view. We show the relation of the topological definition with more traditional relational definition of Beth model that is based on forcing. We apply the topological definition to construct a Beth model for a theory of intuitionistic functionals of high types and to prove its consistency
在Dragalin对Beth- kripke模型定义的基础上,从拓扑的角度对Beth模型进行了描述。我们展示了拓扑定义与基于强迫的Beth模型更传统的关系定义之间的关系。本文应用拓扑定义构造了高类型直觉泛函理论的Beth模型,并证明了该模型的一致性
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引用次数: 0
Drawdown and Drawup of Bi-Directional Grid Constrained Stochastic Processes 双向网格约束随机过程的收缩和收缩
IF 0.3 Pub Date : 2020-09-14 DOI: 10.3844/JMSSP.2020.182.197
A. Taranto, Shahjahan Khan
The Grid Trading Problem (GTP) of mathematical finance, used in portfolio loss minimization, generalized dynamic hedging and algorithmic trading, is researched by examining the impact of the drawdown and drawup of discrete random walks and of Ito diffusions on the Bi-Directional Grid Constrained (BGC) stochastic process for profit Pt and equity E_t over time. A comprehensive Discrete Difference Equation (DDE) and a continuous Stochastic Differential Equation (SDE) are derived and proved for the GTP. This allows fund managers and traders the ability to better stress test the impact of volatility to reduce risk and generate positive returns. These theorems are then simulated to complement the theoretical models with charts. Not only does this research extend a rich mathematical problem that can be further researched in its own right, but it also extends the applications into the above areas of finance.
网格交易问题(GTP)应用于投资组合损失最小化、广义动态套期保值和算法交易中,研究了离散随机漫步和Ito扩散对双向网格约束(BGC)随机过程中利润Pt和权益E_t随时间变化的影响。推导并证明了GTP的综合离散差分方程(DDE)和连续随机微分方程(SDE)。这使得基金经理和交易员能够更好地对波动性的影响进行压力测试,以降低风险并产生正回报。然后对这些定理进行模拟,用图表来补充理论模型。本研究不仅扩展了一个丰富的数学问题,它本身就可以进一步研究,而且还将其应用扩展到上述金融领域。
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引用次数: 4
On Matrix Representation of Bernstein Polynomials for Triple Sequences 关于三重序列Bernstein多项式的矩阵表示
IF 0.3 Pub Date : 2020-08-21 DOI: 10.3844/jmssp.2020.176.181
A. Indumathi, A. Esi, N. Subramanian
Corresponding Author: Ayhan Esi Department of Basic Engineering Sciences, Malatya Turgut Ozal University, 44040, Malatya, Turkey Email: aesi23@hotmail.com Abstract: In this article, we give an overview of other commonly used basis for the triple sequence space of Bernstein polynomials, the Bernstein basis and put forward a matrix representation of Bernstein polynomials for the triple sequence space and its many useful properties.
摘要:本文概述了Bernstein多项式的三列空间的其他常用基——Bernstein基,并提出了Bernstein多项式在三列空间的矩阵表示及其许多有用的性质。
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引用次数: 0
Dynamical Analysis on the Transmission of Pertussis with Maternally Derived Immunity 百日咳母源性免疫传播的动力学分析
IF 0.3 Pub Date : 2020-06-26 DOI: 10.3844/jmssp.2020.104.112
Aisha Aliyu Yakubu, F. Abdullah, Ahmad Izani Md. Ismail, Y. Yatim
A susceptible-infected-recovered compartmental model incorporating maternally derived immunity compartment is analyzed in this study. The stability of the pertussis-disease-free and endemic equilibrium is studied. The basic reproduction number is obtained and its behavior analyzed by varying parameters. Numerical simulations indicated that when the waning parameter is increased, the frequency at which the population attains stability varies. However, the infected population does not go extinct even at equilibrium.
本研究分析了包含母源性免疫室的易感-感染-恢复室模型。研究了百日咳无病和地方性平衡的稳定性。得到了基本繁殖数,并通过变化参数对其行为进行了分析。数值模拟表明,当衰减参数增大时,种群达到稳定的频率发生变化。然而,受感染的种群即使在平衡状态下也不会灭绝。
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引用次数: 1
Joint Modelling of Longitudinal-Time-To-Event with Categorical Variable Indicators of Latent Classes: Application to Tuberculosis Data 潜在类别分类变量指标纵向时间到事件联合建模:在结核病数据中的应用
IF 0.3 Pub Date : 2020-06-09 DOI: 10.3844/jmssp.2020.90.103
A. Azeez, Mutambayi Ruffin, N. James, Qin Yongsong
In many clinical and reliability research reports, the outcomes of basic interest is the time to a particular event happens in order to indicate the person’s “true” state of health or survival status. Different models have been used to analyze such data separately, but may be unsuitable if the longitudinal and health status measures are correlated. In this study, mixed effect and Cox model of latent class are jointly modelled for the correlation between the covariates, observed and unobserved health status variable with binary latent class indicators. A Bayesian approach for Maximum likelihood estimates is implemented using Markov Chain Monte Carlo (MCMC) techniques. The repeated and survival measures are independently assumed to be a Gaussian process for latent bivariate. The joint model is applied to TB cohort study for the HIV comorbidity effect on event time for Tuberculosis patients. R package is used for curvilinear repeated measures of latent class model and joint latent class models for both repeated measures and survival time event.
在许多临床和可靠性研究报告中,基本感兴趣的结果是特定事件发生的时间,以指示人的 -€œtrueâ -健康状态或生存状态。不同的模型分别用于分析这些数据,但如果纵向和健康状况测量相关联,则可能不适合。本研究采用混合效应和潜在类别的Cox模型联合建模,对协变量、观察和未观察健康状况变量与二元潜在类别指标之间的相关性进行建模。使用马尔可夫链蒙特卡罗(MCMC)技术实现了最大似然估计的贝叶斯方法。对于潜在的二元变量,重复测量和生存测量被独立地假设为高斯过程。将联合模型应用于结核病队列研究,研究HIV合并症对结核病患者事件时间的影响。潜伏类模型的曲线重复测量和联合潜伏类模型的重复测量和生存时间事件均使用R包。
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引用次数: 0
The Regularity of the Solutions to the Cauchy Problem for the Quasilinear Second-Order Parabolic Partial Differential Equations 拟线性二阶抛物型偏微分方程Cauchy问题解的正则性
IF 0.3 Pub Date : 2020-06-02 DOI: 10.3844/jmssp.2020.76.89
M. Yaremenko
This article is dedicated to expanding our comprehension of the regularity of the solutions to the Cauchy problem for the quasilinear second-order parabolic partial differential equations under fair general conditions on the nonlinear perturbations. In this paper have been obtained that the sequence of the weak solutions uz ∈ V1,02, z = 1,2,..... to the Cauchy problems for the Equations (15) under the initial conditions uz (0,x) = φ0z converges to the weak solution to the Cauchy problem for the Equation (1) under the initial condition u(0, x) = u0 in V1,02.
本文扩展了我们对拟线性二阶抛物型偏微分方程在一般非线性扰动条件下Cauchy问题解的正则性的理解。本文得到了弱解uz∈V1,02, z = 1,2,.....的序列方程(15)在初始条件uz (0,x) = φ0z下的柯西问题收敛于方程(1)在初始条件u(0, x) = u0下的柯西问题的弱解。
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引用次数: 0
A Permutation Test for Comparing Two Correlated Receiver Operating Characteristic Curves 比较两种相关受者工作特性曲线的置换检验
IF 0.3 Pub Date : 2020-05-24 DOI: 10.3844/jmssp.2020.62.75
Okeh Uchechukwu Marius, Onyeagu I. Sidney
The area under the Receiver Operating Characteristic (ROC) curve (AUC) is a summary measure when comparing two ROC curves. However, this summary measure is less informative when two ROC curves cross and have the same AUCs. In order to detect differences between ROC curves and to be able to tackle the problem of exchangeability of the labels between two diagnostic tests within subject, an alternative permutation test based on between-subject permutations of the labels of the subjects within each diagnostic test is proposed for assessing a change in the AUCs in a continuous matched pair of data from two diagnostic test procedures having both non-diseased and diseased subject in each of the test. The Wilcoxon signed rank test statistic was modified as a permutation test under the null hypothesis of equality of AUCs. An algorithm for carrying out complete enumeration of all the distinct permutations of the paired test results was developed which provides exact p-values. Using simulated data, the proposed test compares in statistical power to the modified sign test proposed by Braun and Alonzo but the proposed test has better operating characteristics, that is greater statistical power to detect a crossing alternative and is less conservative in test size and in the range of parameters of at least 0.8 of AUCs on the average with a correlation of at least 0.4 and small to moderately large sample sizes. Similarly in applying real life data, the proposed test has the more likelihood of rejecting null hypothesis of equality of AUC1 and AUC2 at nominal level of 0.05 with the proposed test having a p-value of 0.0312 against the Braun and Alonzo’s test with a p-value of 0.0387. This is because the proposed test is modified to adjust for the presence of zero differences in values and considers the signs of values as well as the absolute ranks of values. Also the estimates of AUC1 and AUC2 for the two diagnostic tests are 0.668 and 0.887 respectively showing that AUC2, that is 2hour 100g Oral Glucose Tolerance Test (OGTT) is superior to AUC1 (2hour 70g OGTT) at a time that the specificity is greater than 0.7.
受试者工作特征(ROC)曲线下的面积(AUC)是比较两条ROC曲线时的汇总测量。然而,当两条ROC曲线交叉且具有相同的auc时,这种汇总测量的信息量较小。为了检测ROC曲线之间的差异,能够解决这一问题的可交换性标签内两个诊断测试,另一个排列测试基于主客体之间排列的标签对象在每一个诊断测试提出了评估的改变auc一双连续匹配的数据来自两个诊断测试程序同时拥有十几和病变在每个测试的主题。在auc相等的零假设下,将Wilcoxon符号秩检验统计量修改为置换检验。开发了一种算法,用于执行成对检验结果的所有不同排列的完整枚举,该算法提供了精确的p值。使用模拟数据,本文提出的检验在统计能力上与Braun和Alonzo提出的修正符号检验相比较,但本文提出的检验具有更好的操作特性,即检测交叉替代的统计能力更强,检验规模的保守性更低,在平均至少0.8个auc的参数范围内,相关性至少为0.4,样本量小到中等。同样,在应用实际数据时,所提出的检验更有可能拒绝名义水平为0.05的AUC1和AUC2相等的原假设,所提出的检验的p值为0.0312,而Braun和Alonzo的检验的p值为0.0387。这是因为所提议的检验经过修改以调整值中存在的零差异,并考虑值的符号以及值的绝对秩。两项诊断试验AUC1和AUC2的估计值分别为0.668和0.887,表明在特异性大于0.7的情况下,AUC2即2小时100g口服葡萄糖耐量试验(OGTT)优于AUC1(2小时70g OGTT)。
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引用次数: 0
A Robust Modification of Hestenes–Stiefel Conjugate Gradient Method with Strong Wolfe Line Search 基于强Wolfe线搜索的Hestenes-Stiefel共轭梯度法的鲁棒修正
IF 0.3 Pub Date : 2020-05-14 DOI: 10.3844/JMSSP.2020.54.61
Awad Abdelrahman, Osman O. O. Yousif, KH. I. Osman
Nonlinear Conjugate Gradient (CG) methods are extensively used for solving large-scale unconstrained optimization problems. Numerous of studies constructed scales and modifications have been conducted recently to improve (CG) methods. In this paper, a simple modified by its conjugate gradient method was proposed. In addition to, established global convergence property and sufficient descent condition, under Strong Wolfe line search. Numerical result shows that the proposed formula is competitive when compared to other well-known (CG) parameters.
非线性共轭梯度法(CG)广泛用于求解大规模无约束优化问题。为了改进(CG)方法,最近进行了大量的研究,构建了量表并进行了修改。本文提出了一种简单的共轭梯度法修正方法。此外,建立了在Strong Wolfe线搜索下的全局收敛性和充分下降条件。数值结果表明,与其他已知的CG参数相比,该公式具有一定的竞争力。
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引用次数: 2
期刊
Jordan Journal of Mathematics and Statistics
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