Bates模型下一种美式期权高阶紧致有限差分定价方法

基于Jain提出的高阶紧致有限差分格式(high order compact of Jain,HOCJ),结合卷积积分(convolution integral)与快速傅里叶变换(FFT),构建了一种新颖的数值方法,简称HOCJ-CF,并用于Bates模型下美式看跌期权定价.针对期权定价偏积分微分方程(PIDE)的微分项,首先将其拆分成三个子偏微分方程(sub-PDE),然后分别应用Numerov离散方法,衍生出具有空间四阶精度和时间二阶精度的HOCJ格式;积分项则将其转化成卷积积分,并运用FFT.在相同模型参数设置下,数值结果验证了新方法在精度、收敛率及效率相比IMEX格式的优越性.     

求解对流扩散方程的一致四阶紧致格式

目前,许多高精度差分格式,由于未成功地构造与其精度匹配的稳定的边界格式,不得不采用低精度的边界格式.本文针对对流扩散方程证明了存在一致四阶紧致格式,它的边界点的计算格式和内点的计算格式的截断误差主项保持一致,给出了具体内点和边界格式;并分析了此半离散格式的渐近稳定性.数值结果表明该格式是四阶精度;在对流占优情况下,本文边界格式的数值结果比四阶精度的显式差分格式的的数值结果的数值振荡小,取得了不错的效果,理论结果得到了数值验证;驱动方腔数值结果显示,本文对N-S方程的离散格式具有很好的可靠性,适合对复杂流体流动的数值模拟和研究.     

计算空气动力学中一个新的激波捕捉法——耗散比拟法

在空气动力学方程的求解时,改进在激波附近数值解的分辨率是一重要研究课题.通常,人们通过差分方程的微分近似来研究差分格式的特性.本文通过启示性的分析方法讨论了在激波附近数值解的行为,分析了在一些格式的数值解中产生振荡的原因.参照差分方程的第一微分近似,定义了耗散比拟系数,构造了耗散比拟方程,给出了克服数值振荡的新方法.耗散比拟法不单启示了在激波附近数值解中产生振荡的原因,还预示了克服的办法.文中给出了四种改造耗散类比系数的方法.与流行的高分辨率格式相比,新发展的方法简单、直观、计算量小和有较强的激波捕捉能力.     

二维分数阶发展型方程的正式的二阶BDF交替方向隐式紧致差分格式

该文将研究二维分数阶发展型方程的正式的二阶向后微分公式(BDF)的交替方向隐式(ADI)紧致差分格式.在时间方向上用二阶向后微分公式离散一阶时间导数,积分项用二阶卷积求积公式近似,在空间方向上用四阶精度的紧致差分离散二阶空间导数得到全离散紧致差分格式.基于与卷积求积相对应的实二次型的非负性,利用能量方法研究了差分格式的稳定性和收敛性,理论结果表明紧致差分格式的收敛阶为O(k~(a+1)+h_1~4+h_2~4),其中k为时间步长,h_1和h_2分别是空间x和y方向的步长.最后,数值算例验证了理论分析的正确性.     

一种抑制激波计算中数值振荡现象的双重小波收缩方法

在激波数值计算中,容易出现数值振荡的问题,振荡激烈时会掩盖真实解,为此提出了许多高精度复杂计算格式或采用人工粘性抑制数值振荡.从信号处理的角度,提出双重小波收缩方法,它能自适应提取激波数值振荡解中的真实物理解.先用局部微分求积法求解浅水波方程和理想流体Euler运动方程中的激波问题,发现其数值振荡现象严重,然后采用双重小波收缩方法对其处理,获得了无数值振荡解,它能准确捕捉激波的位置并且保持激波结构.相比于复杂的Riemann(黎曼)求解格式,借助小波收缩方法,可以采用相对简单的计算格式如微分求积法求解激波问题.     

非结构网格上一类满足局部极值原理的三阶精度有限体积方法

对二维标量双曲型守恒律方程,发展了一类满足局部极值原理的非结构网格有限体积格式.其构造思想是,以单调数值通量为基础,通过应用基于最小二乘法的二次重构和极值限制器,使数值解满足局部极值原理.为保证数值解在光滑区域达到三阶精度,该格式可结合局部光滑探测器使用.本文从理论上分析了格式的稳定性条件,数值实验验证了格式的精度和对间断的分辨能力.     

非线性Schrdinger方程的高精度守恒差分格式

本文首先分析线性Schrodinger方程一种高阶差分格式的构造方法,得到方程的耗散项.在此基础上对三次非线性Schrodinger方程,提出了一种精度为O(r2 h2)的差分格式,证明了该格式保持了连续方程的两个守恒量,且是收敛的与稳定的.并通过数值例子与已有隐格式进行了比较,结果表明,本文格式在计算量类似的情况下,提高了数值精度.     

一类带波算子的非线性Schr?dinger方程的高精度守恒差分格式

对带波动算子的非线性Schr?dinger方程给出了一个新的高精度的守恒差分格式,证明了该格式满足守恒式,且是收敛稳定的.在数值实验中给出了数值计算的实验结果,通过计算表明这个格式的精度具有O(τ2+h4),且明显高于其他几种格式的精度.     

非线性Schrödinger方程的高精度守恒差分格式

本文首先分析线性Schr(o)dinger方程一种高阶差分格式的构造方法,得到方程的耗散项.在此基础上对三次非线性Schr(o)dinger方程,提出了一种精度为o(τ2+h2)的差分格式,证明了该格式保持了连续方程的两个守恒量,且是收敛的与稳定的.并通过数值例子与已有隐格式进行了比较,结果表明,本文格式在计算量类似的情况下,提高了数值精度.     

解Hamilton-Jacobi方程的MUSCL格式

本文利用单调数值通量和分片线性重构导数的方法构造了一种求HJ方程数值解的有限差分格式:MUSCL格式,并证明该格式具有TVB稳定性.数值实验表明该格式具有二阶精度,能避免产生伪振荡,尤其在类似"角点"的间断处有较好的分辩率.     

Commutants of nest algebras modulo the compact operators

Any operatorx which commutes modulo the compact operators with a nest algebra is of the form λI+C, where λ is a scalar andC is a compact operator. Any derivation from a nest algebra on a Hilbert spaceH into the compact operators onH is implemented by a compact operator. Any derivation on a quasitriangular operator algebra is inner.     

Commutants of nest algebras modulo the compact operators

Any operatorx which commutes modulo the compact operators with a nest algebra is of the form λI+C, where λ is a scalar andC is a compact operator. Any derivation from a nest algebra on a Hilbert spaceH into the compact operators onH is implemented by a compact operator. Any derivation on a quasitriangular operator algebra is inner.     

Order Continuity of Locally Compact Boolean Algebras

The main purpose of this paper is to exhibit the decisive role that order continuity plays in the structure of locally compact Boolean algebras as well as in that of atomic topological Boolean algebras. We prove that the following three conditions are equivalent for a topological Boolean algebra B: (1) B is compact; (2) B is locally compact, Boolean complete, order continuous; (3) B is Boolean complete, atomic and order continuous. Note that under the discrete topology any Boolean algebra is locally compact.     

A compact quantum semigroup generated by an isometry

In this paper we construct a compact quantum semigroup structure on a Toeplitz algebra. We prove the existence of a subalgebra in the dual algebra isomorphic to the algebra of regular Borel measures on a circle with the convolution product. We also prove the existence of Haar functionals in the dual algebra and in the mentioned subalgebra. We show that this compact quantum semigroup contains a dense subalgebra with the structure of a weak Hopf algebra.     

Solvable Jordan algebras of compact operators

It is proved that a Jordan algebra of compact operators which is closed is either an Engel Jordan algebra, or contains a nonzero finite rank operator; Moreover, it is showed that any solvable Jordan algebra of compact operators on an infinite dimensional Banach space is triangularizable.     

Approximate Identities for Ideals of Segal Algebras on A Compact Group

We show that every closed ideal of a Segal algebra on a compact group admits a central approximate identity which has the property, called condition (U), that the induced multiplication operators converge to the identity operator uniformly on compact sets of the ideal. This result extends a known one due to H. Reiter who has considered the problem under the condition that the Segal algebra is symmetric. We prove further that a closed right ideal of a Segal algebra on a compact group admits a left approximate identity satisfying condition (U) if and only if it is approximately complemented as a subspace of the Segal algebra; if in addition the Segal algebra is symmetric, then a closed left ideal admits a right approximate identity satisfying condition (U) if and only if it is approximately complemented.     

Representation of Crystallographic Subperiodic Groups in Clifford’s Geometric Algebra

This paper explains how, following the representation of 3D crystallographic space groups in Clifford’s geometric algebra, it is further possible to similarly represent the 162 so called subperiodic groups of crystallography in Clifford’s geometric algebra. A new compact geometric algebra group representation symbol is constructed, which allows to read off the complete set of geometric algebra generators. For clarity moreover the chosen generators are stated explicitly. The group symbols are based on the representation of point groups in geometric algebra by versors (Clifford monomials, Lipschitz elements).     

An Example of a Cosimple and Co-Commutative Compact Quantum Semigroup

We construct a co-multiplication on the semigroup Cuntz–Toeplitz C*-algebra and obtain a compact quantum semigroup structure on this algebra. We show that the unique proper ideal of the Cuntz–Toeplitz algebra is not a co-ideal of the compact quantum semigroup. Thus, the compact quantum semigroup is a co-simple quantum semigroup.     

On the compact real forms of the lie algebras of type E 6 and F 4

We give a construction of the compact real form of the Lie algebra of type E ₆, using the finite irreducible subgroup of shape 3³⁺³: SL₃(3), which is isomorphic to a maximal subgroup of the orthogonal group Ω₇(3). In particular we show that the algebra is uniquely determined by this subgroup. Conversely, we prove from first principles that the algebra satisfies the Jacobi identity, and thus give an elementary proof of existence of a Lie algebra of type E ₆. The compact real form of F ₄ is exhibited as a subalgebra.     

Toeplitz algebra and Hankel algebra on the harmonic Bergman space

In this paper we completely characterize compact Toeplitz operators on the harmonic Bergman space. By using this result we establish the short exact sequences associated with the Toeplitz algebra and the Hankel algebra. We show that the Fredholm index of each Fredholm operator in the Toeplitz algebra or the Hankel algebra is zero.