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5 results on '"Yu, De-Jian"'

1. Extended VIKOR for multi-criteria decision making problems under intuitionistic environment

Author

Yu De-jian and Wu Ying-yu

Subjects
Mathematical optimization, VIKOR method, Closeness, Nonlinear normalization, Fuzzy set, Complex system, Ranking index, Entropy (information theory), Mathematics, Multi criteria decision
Abstract

The VIKOR method was developed for multi-criteria optimization of complex systems. This method focuses on ranking and selecting from a set of alternatives in the presence of conflicting criteria. It introduces the multi-criteria ranking index based on the particular measure of “closeness” to the “ideal” solution. The aim of this paper is to extend the VIKOR method for decision making problems with ratings of alternatives being expressed using intuitionistic fuzzy sets and criteria weights is completely unknown. To determine the weights with respect to a set of criteria represented by intuitionistic fuzzy sets, we establish an entropy weight model, which can be used to get the criteria weights. Furthermore, a novel nonlinear normalization technique is adapted to modify the VIKOR. Finally, a compared numerical example illustrates and clarifies the main results developed in this paper.

Published
2011

5. Double-jump diffusion model based on the generalized double exponential distribution of the random jump and its application.

Author

ZHOU Wei, HE Jian-min, and YU De-jian

Subjects
*FINANCIAL markets, *STOCK exchanges, *EMPIRICAL research, *HETEROSCEDASTICITY, *MARKET volatility
Abstract

The generalized double exponential distribution is proposed by combining the asymmetric and biased double exponential distributions, which could fully disclose the features of bias, asymmetry, and steep-peak and heavy tails in financial markets. By referencing to the KDJ model, the generalized double exponential jump diffusion model (GDED-KDJ) is proposed and analyzed. Taking into account the heteroskedasticity and volatility jump, and the double jump diffusion model proposed by Eraker, we further extend the GDED-KDJ to the generalized double exponential double-jump diffusion model, i.e., GDED-SVIJ model. Then, we analyze the features of the new model, such as the general, biased, asymmetric and steep-peak and heavy tails, which also present its superiority. Also, we study the conditions likelihood function and MCMC iterative algorithm of the new model. At last, by the empirical study about three metal futures in SHEF, the feasibility and superiority of the new model are showed and proved. [ABSTRACT FROM AUTHOR]

Published
2013

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