S—系统的赋值与值位

本文给出赋值Ｎｅａｒ－环，Ｓ－系统赋值与Ｆ－位值的定义，并分别对Ｓ－系统的赋值和值伴进行了研究，从而得出Ｓ－系统的等价赋值类和赋值Ｎｅａｒ－环之间的对应关系以及等价的值位类和赋值Ｎｅａｒ－环之间的对应关系。     

赋值环上的Hermite环猜想北大核心CSCD

本文主要研究赋值环上的Hermite环猜想.根据赋值环V上一元多项式环V[x]的性质,研究并得到V[x]上幺模行向量(a_(1)(x),a_(2)(x),…,a_(n)(x))的一系列关于等价的性质,进而证明了赋值环上的Hermite环猜想成立,即对任意的赋值环V,V[x]都是Hermite环.     

Dubrovin赋值斜群环

本文中对一个斜群环为Dubrovin赋值环给出了一系列等价刻画,并且刻画了一个Dubrovin赋值斜群环的所有素理想.     

MTL-代数上的广义赋值

本文研究了MTL-代数上的几类广义赋值,讨论了MTL-代数上广义赋值、态以及滤子之间的关系,获得了MTL-代数上广义赋值成为(正)关联广义赋值的等价刻画,并基于广义赋值构造的同余关系研究了MTL-代数的商结构.所得结果推广了基于三角模的模糊逻辑代数上广义赋值的相关理论,进一步丰富了基于三角模的模糊逻辑代数上概率测度的代数结论.     

交换环的亚序与实位

本文在带有幺元的交换环上,引入了位和赋值与亚序间的相容性概念,并给出一些性质.在此基础上,对环的实位与实赋值进行了刻划,从而推广了实域理论中许多有关的结论.本文是[3]的继续.     

关于W.Y.Veléz猜想

设 F为域 ,φ为 F的秩为 1的非平凡 ,非阿基米德赋值 ,r为与其相对应的赋值环 ,p为 r的极大理想 .本文讨论了 F的 m次根扩张中的素理想分解问题 .当基域中含有 m次本原单位根时 ,完全解决了 W.Y.Veléz问题     

带三角分解李代数的赋值模

设F是特征零的域，L是F上的带三角分解的李代数，L^-是相应的Loop代数．本文将定义L^-上赋值模的概念，并给出其不可约模的张量积是不可约模的等价条件．     

赋值图的张量代数的同构问题

本文给出关于赋值图的张量代数的同构定理,并讨论了赋值图的几何性质和其张量代数的代数性质之间的关系.     

（S）性质和局部接近一致光滑空间

本文证明了（Ｓ）性质的一个特征．进而证明了（Ｓ）性质和ＬＮＵＳ是等价的．研究了（Ｓ）性质和（Ｈ＊）性质，Ｈａｄｅｃ性质之间的关系．     

一类(L)ukasiewicz n+1值逻辑系统中VDF问题的求解理论

为在经典逻辑学中建立Fuzzy分离规则的推理模式，由赋值决定公式问题（简称VDF问题）已经提出，并已在二值命题逻辑L和p＋1（p为素数）值Lukasiewicz命题逻辑中得到了解决，但是对一般的n＋1（n〉3且n不是素数）值Lukasiewicz命题逻辑系统L（n＋1），VDF问题相当复杂且尚未解决．本文尝试在一类特殊的n＋1值Lukasiewicz命题逻辑系统L（n＋1），即L（n＋1）的赋值域W（n＋1）的所有子代数在包含序下构成一个链中建立VDF问题的求解理论，并完满地解决了这类n＋1值Lukasiewicz命题逻辑系统L（n＋1）中的VDF问题．     

Block matrices over a valuation ring

A result of W. E. Roth, generalized by W. H. Gustafson connecting the matrix equation AX - XB - C, with block diagonal matrices, is adapted to matrices over a complete Valuation Ring. A necessary and sufficient condition for the similarity of a full matrix to a block diagonal matrix is proved.     

Application of Decision Theory methods for a soil classification in the Community of Madrid (Spain)

A land classification method was designed for the Community of Madrid (CM), which has lands suitable for either agriculture use or natural spaces. The process started from an extensive previous CM study that contains sets of land attributes with data for 122 types and a minimum-requirements method providing a land quality classification (SQ) for each land. Borrowing some tools from Operations Research (OR) and from Decision Science, that SQ has been complemented by an additive valuation method that involves a more restricted set of 13 representative attributes analysed using Attribute Valuation Functions to obtain a quality index, QI, and by an original composite method that uses a fuzzy set procedure to obtain a combined quality index, CQI, that contains relevant information from both the SQ and the QI methods.     

Noncomputability,unpredictability, and financial markets

One of the most significant achievements from theoretical computer science was to show that there are noncomputable problems, which cannot be solved through algorithms. Although the formulation of such problems is mathematical, they often can be interpreted as problems derived from other fields, like physics or computer science. However, no non‐computable problem with economical or financial inspiration has been presented before. Here, we study the problem of valuation: given some adequate data, find the value of an asset. Valuation is modeled mathematically by the discounted cash flow operator. We show, using surprisingly simple arguments, that this operator is not computable. As theoretically, financial markets should trade assets based on their fair value, our result suggests that unpredictability of such markets may partially stem from inherent noncomputable behavior. A discussion of this result is also included. © 2012 Wiley Periodicals, Inc. Complexity, 2012     

Generalised soft binomial American real option pricing model (fuzzy–stochastic approach)

The stochastic discrete binomial models and continuous models are usually applied in option valuation. Valuation of the real American options is solved usually by the numerical procedures. Therefore, binomial model is suitable approach for appraising the options of American type. However, there is not in several situations especially in real option methodology application at to disposal input data of required quality. Two aspects of input data uncertainty should be distinguished; risk (stochastic) and vagueness (fuzzy). Traditionally, input data are in a form of real (crisp) numbers or crisp-stochastic distribution function. Therefore, hybrid models, combination of risk and vagueness could be useful approach in option valuation. Generalised hybrid fuzzy–stochastic binomial American real option model under fuzzy numbers (T-numbers) and Decomposition principle is proposed and described. Input data (up index, down index, growth rate, initial underlying asset price, exercise price and risk-free rate) are in a form of fuzzy numbers and result, possibility-expected option value is also determined vaguely as a fuzzy set. Illustrative example of equity valuation as an American real call option is presented.     

三江平原湿地非使用价值支付意愿的影响因素

为了更好地保护三江平原湿地生态系统,应用条件价值评估法(CVM)这一当前国际上流行的生态系统经济价值评价方法,对三江平原湿地的非使用价值进行评价.研究中采用实地调研的方式,进行支付意愿问卷调查,共发放支付卡式CVM问卷552份,回收有效问卷513份.得出三江平原湿地2007年人均支付意愿为71.66元/年.通过对问卷数据的描述性统计,得到支付意愿的分布情况和在各单一因素影响下的变化规律.用主成分分析简化影响因素,运用有序多分类Logit模型,得到在所有影响因素中,个人平均年收入、个人受教育程度以及个人环保态度是影响受访者对三江平原湿地非使用价值支付意愿的主要因素.研究结论使得三江平原湿地开发和保护价值比较成为可能,为政府制定相关政策提供理论基础与科学依据.     

On the determination of strength of belief for decision support under uncertainty—Part II: fusing strengths of belief

Valuation functions are used in decision making under uncertainty to enable comparisons of alternatives. They are based on a weighted averaging of the n possible payoffs available under an alternative. The weighting vectors used are a reflection of the decision-making agent's strength of belief a given outcome will occur. Our concern is with developing methods to fuse multiple sources of these weighting vectors. We first suggest a method based on a normalized product. Some methods are suggested for handling completely conflicting beliefs. We abstract the basic features of this product fusion method. Particularly notably among these properties is the fact that a source with all weights equal, 1/n, acts as an identity in the fusion process. We consider next a fusion method using a uninorm aggregation operator with identity 1/n. We carefully look at this new type of method for multi-source fusion and suggest some generations and modifications. Finally we consider the situation when the contributing sources have differing credibilities.     

A multivariate FGD technique to improve VaR computation in equity markets

It is difficult to compute Value-at-Risk (VaR) using multivariate models able to take into account the dependence structure between large numbers of assets and being still computationally feasible. A possible procedure is based on functional gradient descent (FGD) estimation for the volatility matrix in connection with asset historical simulation. Backtest analysis on simulated and real data provides strong empirical evidence of the better predictive ability of the proposed procedure over classical filtered historical simulation, with a resulting significant improvement in the measurement of risk.Francesco Audrino and Giovanni Barone-Adesi: The authors would like to thank Peter Bühlmann and two anonymous referees for some helpful comments. Financial support by the National Centre of Competence in Research Financial Valuation and Risk Management (NCCR FINRISK) is gratefully acknowledged.     

Pseudo-almost valuation domains are quasilocal going-down domains,but not conversely

Abstract  Ayman Badawi has recently introduced the PAVDs, a class of (commutative integral) domains which is found strictly between the class of APVDs (“almost pseudo valuation domains”) and that of the (necessarily quasilocal) domains having a linearly ordered prime spectrum. It is known that the latter class strictly contains the class of quasilocal going-down domains; it is proved that the class of quasilocal going-down domains strictly contains the class of PAVDs. Consequently, each seminormal PAVD is a divided domain. Moreover, for each n, 1 ≤ n ≤ ∞, an example is constructed of a divided domain (necessarily a quasilocal going-down domain) of Krull dimension n which is not a PAVD. Keywords Pseudo-almost valuation domain, Prime ideal, Going-down domain, Divided domain, Quasilocal, Valuation overring, Root extension, Seminormal, D+M construction, Krull dimension Mathematics Subject Classification (2000) Primary 13B24, 13G05, Secondary 13A15, 13F05     

Computational aspects of minimizing conditional value-at-risk

We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a new algorithm for minimizing conditional value-at-risk. We implemented the algorithm as the solver CVaRMin. For illustrating the performance of this algorithm, we present some comparative computational results with two kinds of test problems. Firstly, we consider portfolio optimization problems with 5 random variables. Such problems involving conditional value at risk play an important role in financial risk management. Therefore, besides testing the performance of the proposed algorithm, we also present computational results of interest in finance. Secondly, with the explicit aim of testing algorithm performance, we also present comparative computational results with randomly generated test problems involving 50 random variables. In all our tests, the experimental solver, based on the new approach, outperformed by at least one order of magnitude all general-purpose solvers, with an accuracy of solution being in the same range as that with the LP solvers. János Mayer: Financial support by the national center of competence in research "Financial Valuation and Risk Management" is gratefully acknowledged. The national centers in research are managed by the Swiss National Science Foundation on behalf of the federal authorities.     

The valuation of contingent capital with catastrophe risks

The Intergovernmental Panel on Climate Change Fourth Assessment Report (2007) indicates that unanticipated catastrophic events could increase with time because of global warming. Therefore, it seems inadequate to assume that arrival process of catastrophic events follows a pure Poisson process adopted by most previous studies (e.g. [Louberge, H., Kellezi, E., Gilli, M., 1999. Using catastrophe-linked securities to diversify insurance risk: A financial analysis of lCAT bonds. J. Risk Insurance 22, 125–146; Lee, J.-P., Yu, M.-T., 2002. Pricing default-risky CAT bonds with moral hazard and basis risk. J. Risk Insurance 69, 25–44; Cox, H., Fairchild, J., Pedersen, H., 2004. Valuation of structured risk management products. Insurance Math. Econom. 34, 259–272; Jaimungal, S., Wang, T., 2006. Catastrophe options with stochastic interest rates and compound Poisson losses. Insurance Math. Econom., 38, 469–483]. In order to overcome this shortcoming, this paper proposes a doubly stochastic Poisson process to model the arrival process for catastrophic events. Furthermore, we generalize the assumption in the last reference mentioned above to define the general loss function presenting that different specific loss would have different impacts on the drop in stock price. Based on modeling the arrival rates for catastrophe risks, the pricing formulas of contingent capital are derived by the Merton measure. Results of empirical experiments of contingent capital prices as well as sensitivity analyses are presented.