Conditional mean- and median-based cumulative sum control charts for Weibull data

This article deals with the monitoring of censored data using the cumulative sum (CUSUM) control charts for Weibull lifetimes under type-I censoring. To develop an efficient CUSUM structure for censored data, we use the conditional expected value (CEV) and conditional median (CM) approaches. In particular, we focus on the detection of shifts in the mean of Weibull lifetimes assuming censored data. In addition to fixed/known parameter values, the effect of estimation is assessed on the detection power of control charts. The performance of the proposed charts is evaluated by the average run length (ARL). Furthermore, the ARL performance of CUSUM charts is compared with CEV- and CM-based exponentially weighted moving average (EWMA) control charts. Besides an extensive simulation study, the significance of the current work is illustrated by a data set on the response time of a thermostat experiment.     

基于MCMC方法的CEV过程的参数估计研究

以沪深300股指为研究对象,假定其服从CEV过程,利用MCMC方法对模型参数μ、σ^2、α进行估计．实证分析中利用GARCH模型对股指建模,以考察σ^2、α的先验分布得出参数的贝叶斯估计结果,并对参数估计的收敛性进行诊断．结果表明,沪深300股指收益率波动性的弹性不为0,即沪深300股指的分布不服从对数正态分布,CEV过程不等同于几何布朗运动．     

电动汽车充电设施的设计与建设

电动汽车是一种发展前景广阔的绿色交通工具,是解决能源和环境问题的重要手段。电动汽车充电站作为电动汽车能源补给站,是发展电动汽车所必须的重要配套基础设施。结合已建成投运的扬州吴州路电动汽车充电站实际情况,介绍了吴州路电动汽车充电站内的CEV1000智能充电运行管理系统的功能及组成,对未来电动汽车商业运营管理模式进行探讨。     

反射CEV模型与可违约债券定价

研究反射不变弹性方差(CEV)过程框架下,违约回复率的建模及可违约债券风险中性价格函数的级数表示形式。进一步给出了一类特殊反射CEV过程情形:反射布朗运动下的解析价格函数。最终以反射布朗运动为例,数值说明了可违约债券风险中性价格函数随违约的回复率及强度的变化趋势。     

电动汽车充电设施的设计与探讨

电动汽车是一种发展前景广阔的绿色交通工具,是解决能源和环境问题的重要手段。电动汽车充电站为电动汽车提供能源补给,是发展电动汽车所必须的重要配套基础设施。结合已建成投运的扬州吴州路电动汽车充电站实际情况,介绍了吴州路电动汽车充电站内的CEV1000智能充电运行管理系统的功能及组成,对未来电动汽车商业运营管理模式进行了探讨。     

Fe-8%Cr与Fe-6%Cr的碳化物极限值和碳势门槛值的研究

对Fe-8 %Cr和Fe-6%Cr合金在渗碳过程中不同温度、碳势下碳化物体积百分含量和碳化物出现时间进行了测定 ,绘出了其在不同温度、碳势下的碳化物极限值和碳势门槛值曲线。探讨了碳势、温度及Cr元素含量对碳化物极限值和碳势门槛值的影响。     

Simulation of the CEV process and the local martingale property

We consider the constant elasticity of variance (CEV) process, reviewing the relationships between its transition density and that of the non-central chi-squared distribution. When the CEV parameter exceeds one, the forward price process is a strictly local martingale, and the price of a plain vanilla European call option reflects this fact. We develop techniques for Monte Carlo simulation of the CEV process, for all parameter regimes, and compare the results against the analytic expressions for plain vanilla European option prices. Using these techniques, we also verify the local martingale property.     

A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

We develop a numerical method to price discrete barrier options on an underlying described by the constant elasticity of variance model with jump-diffusion (CEVJD). In particular, the partial integro differential equation associated to this model is discretized in time using an operator splitting scheme whose accuracy is enhanced by repeated Richardson extrapolation. Such an approach allows us to approximate the differential terms and the jump integral by means of two different numerical techniques. Precisely, the spatial derivatives, which exist only in the weak sense, are discretized using a finite element method based on piecewise quadratic polynomials, whereas the jump integral is directly collocated at the mesh points, so that it can be easily evaluated by Simpson numerical quadrature. As shown by extensive numerical simulation, the proposed approach is very efficient from the computational standpoint, and performs significantly better than the finite difference scheme developed in Wade et al. [On smoothing of the Crank–Nicolson scheme and higher order schemes for pricing barrier options, J. Comput. Appl. Math. 204 (2007), pp. 144–158].     

U-Boot在S3CEV40上的移植分析与实现

介绍功能完善的嵌入式Boot Loader--U-Boot,详细描述了它的运行原理,着重阐述其在S3CEV40开发板上的移植过程,并对移植结果进行了测试.