Ying-Qing Song, Wei-Mao Qian, Yun-Liang Jiang, and Yu-Ming Chu 1 School of Mathematics and Computation Sciences, Hunan City University, Yiyang, Hunan 413000, China 2 School of Distance Education, Huzhou Broadcast and TV University, Huzhou, Zhejiang 313000, China 3 School of Information & Engineering, Huzhou Teachers College, Huzhou, Zhejiang 313000, China Correspondence should be addressed to Y...

5 We compare optimal liquidation policies in continuous time in the presence of trading impact using 6 numerical solutions of Hamilton Jacobi Bellman (HJB) partial differential equations (PDE). In par7 ticular, we compare the time-consistent mean-quadratic-variation strategy with the time-inconsistent 8 (pre-commitment) mean-variance strategy. We show that the two different risk measures lead t...

in this paper, first the available single charting methods, which have been proposed to detect simultaneous shifts in a single process mean and variance, are reviewed. then, by designing proper simulation studies these methods are evaluated in terms of in-control and out-ofcontrol average run length criteria (arl). the results of these simulation experiments show that the ewma and ewms methods ...

Achieving optimal production cycle time for improving manufacturing processes is one of the common problems in production planning. During recent years, different approaches have been developed for solving this problem, but most of them assume that mean quality characteristic is constant over production run length and sets it on customer’s target value. However, the process mean may drift from ...

The optimal geometric mean return is an important property of an asset. As a derivative of the underlying asset, the option also has this property. In this paper, we show that the optimal geometric mean returns of a stock and its option are the same from Kelly criterion. It is proved by using binomial option pricing model and continuous stochastic models with self-financing assumption. A simula...

A general method to combine several estimators of the same quantity is investigated. In the spirit of model and forecast averaging, the final estimator is computed as a weighted average of the initial ones, where the weights are constrained to sum to one. In this framework, the optimal weights, minimizing the quadratic loss, are entirely determined by the mean square error matrix of the vector ...

The robust sliding mode control problem of a class of uncertain hybrid linear systems with Markovian jump parameters is considered. Under the assumption of unknown upper bounds matched system uncertainties, the sufficient conditions are proposed to guarantee exponentially stable in mean square of reduced-order sliding mode system. Under the conditions of unknown upper bounds of system uncertain...

Given two sets A and B of n points each in R, we study the problem of computing a matching between A and B that minimizes the root mean square (rms) distance of matched pairs. We can compute an optimal matching in O(n2+δ) time, for any δ > 0, and an ε-approximation in time O((n/ε)3/2 log n). If the set B is allowed to move rigidly to minimize the rms distance, we can compute a rigid motion of B...