Crank-Nicolson拟合有限体积法定价机制转换下的欧式期权

This paper develops and analyses a novel numerical scheme to price European options under regime switching model which is governed by a system of partial differential equations(PDEs).To numerically solve these PDEs,we introduce a fitted finite volume method for the spatial discretization,coupled with the Crank-Nicolson time stepping scheme.We show that this scheme is consistent,stable and monotone,and hence the convergence of the numerical solution to the viscosity solution of the continuous problem is guaranteed.Numerical experiments are presented to demonstrate the accuracy,efficiency and robustness of the new numerical method.     

对流占优扩散方程的一种特征差分算法

A new kind of characteristic-difference scheme for convection-diffusion equations is constructed by characteristic method and bilinear interpolation method. The convergence of the scheme is proved. The advantages of this scheme are to obtain the solutions of the convection diffusion equations with variable coefficient expediently and to reduce the numerical oscillations of the convectiondominanted diffusion equations effectively.     

A NEW INVERSION METHOD OF TIME-LAPSE SEISMIC

Time-Lapse Seismic improves oil recovery ratio by dynamic reservoir monitoring. Because of the large number of seismic explorations in the process of time-lapse seismic inversion, traditional methods need plenty of inversion calculations which cost high computational works. The method is therefore inefficient. In this paper, in order to reduce the repeating computations in traditional, a new time-lapse seismic inversion method is put forward. Firstly a homotopy-regularization method is proposed for the first time inversion. Secondly, with the first time inversion results as the initial value of following model, a model of the second time inversion is rebuilt by analyzing the characters of time-lapse seismic and localized inversion method is designed by using the model. Finally, through simulation, the comparison between traditional method and the new scheme is given. Our simulation results show that the new scheme could save the algorithm computations greatly.     

Calculating the vertex unknowns of nine point scheme on quadrilateral meshes for diffusion equation

In the construction of nine point scheme,both vertex unknowns and cell-centered unknowns are introduced,and the vertex unknowns are usually eliminated by using the interpolation of neighboring cell-centered unknowns,which often leads to lose accuracy.Instead of using interpolation,here we propose a different method of calculating the vertex unknowns of nine point scheme,which are solved independently on a new generated mesh.This new mesh is a Vorono¨i mesh based on the vertexes of primary mesh and some additional points on the interface.The advantage of this method is that it is particularly suitable for solving diffusion problems with discontinuous coeffcients on highly distorted meshes,and it leads to a symmetric positive definite matrix.We prove that the method has first-order convergence on distorted meshes.Numerical experiments show that the method obtains nearly second-order accuracy on distorted meshes.     

对流扩散方程的三层UNO-MMOCAA差分方法

By combing the three-step modified method of characteristics and MMOCAA difference method with UNO interpolation, the three-step UNO-MMOCAA finite difference method is established for convection-dominated diffusion problems in this paper. The scheme is two-order accurate in space and time and is free from the oscillation near the steep front, with which the problem is solved by three-step MMOCAA finite difference method based on two-order Lagrange interplation. Using the new method, we give an estimate analysis of the scheme and a numerical example.     

带无限时滞中立型随机泛函微分方程的解的存在唯一性

In this paper, we will make use of a new method to study the existence and uniqueness for the solution of neutral stochastic functional differential equations with infinite delay (INSFDEs for short) in the phase space BC((?∞,0];Rd). By constructing a new iterative scheme, the existence and uniqueness for the solution of INSFDEs can be directly obtained only under uniform Lipschitz condition, linear grown condition and contractive condition. Meanwhile, the moment estimate of the solution and the estimate for the error between the approximate solution and the accurate solution can be both given. Compared with the previous results, our method is partially different from the Picard iterative method and our results can complement the earlier publications in the existing literatures.     

On the Error Estimate of the Harmonic B_z Algorithm in MREIT from Noisy Magnetic Flux Field

Magnetic resonance electrical impedance tomography(MREIT, for short) is a new medical imaging technique developed recently to visualize the cross-section conductivity of biologic tissues. A new MREIT image reconstruction method called harmonic Bz algorithm was proposed in 2002 with the measurement of Bz that is a single component of an induced magnetic flux density subject to an injection current. The key idea is to solve a nonlinear integral equation by some iteration process. This paper deals with the convergence analysis as well as the error estimate for noisy input data Bz, which is the practical situation for MREIT. By analyzing the iteration process containing the Laplacian operation on the input magnetic field rigorously, the authors give the error estimate for the iterative solution in terms of the noisy level δ and the regularizing scheme for determiningΔBz approximately from the noisy input data. The regularizing scheme for computing the Laplacian from noisy input data is proposed with error analysis. Our results provide both the theoretical basis and the implementable scheme for evaluating the reconstruction accuracy using harmonic Bz algorithm with practical measurement data containing noise.     

结合修正Curry-Altman步长搜索一个新的共轭梯度算法的收敛性

Conjugate gradient optimization algorithms depend on the search directions with different choices for the parameter in the search directions. In this note, conditions are given on the parameter in the conjugate gradient directions to ensure the descent property of the search directions. Global convergence of such a class of methods is discussed. It is shown that, using reverse modulus of continuity function and forcing function, the new method for solving unconstrained optimization can work for a continuously differentiable function with a modification of the Curry-Altman‘s step-size rule and a bounded level set. Combining PR method with our new method, PR method is modified to have global convergence property.Numerical experiments show that the new methods are efficient by comparing with FR conjugate gradient method.     

A ROBUST DISCRETIZATION OF THE REISSNER-MINDLIN PLATE WITH ARBITRARY POLYNOMIAL DEGREE

A numerical scheme for the Reissner-Mindlin plate model is proposed.The method is based on a discrete Helmholtz decomposition and can be viewed as a generalization of the nonconforming finite element scheme of Arnold and Falk[SIAM J.Numer.Anal.,26(6):1276-1290,1989].The two unknowns in the discrete formulation are the in-plane rotations and the gradient of the vertical displacement.The decomposition of the discrete shear variable leads to equivalence with the usual Stokes system with penalty term plus two Poisson equations and the proposed method is equivalent to a stabilized discretization of the Stokes system that generalizes the Mini element.The method is proved to satisfy a best-approximation result which is robust with respect to the thickness parameter t.     

Time Discrete Approximation of Weak Solutions to Stochastic Equations of Geophysical Fluid Dynamics and Applications

As a first step towards the numerical analysis of the stochastic primitive equations of the atmosphere and the oceans,the time discretization of these equations by an implicit Euler scheme is studied.From the deterministic point of view,the 3D primitive equations are studied in their full form on a general domain and with physically realistic boundary conditions.From the probabilistic viewpoint,this paper deals with a wide class of nonlinear,state dependent,white noise forcings which may be interpreted in either the It6 or the Stratonovich sense.The proof of convergence of the Euler scheme,which is carried out within an abstract framework,covers the equations for the oceans,the atmosphere,the coupled oceanic-atmospheric system as well as other related geophysical equations.The authors obtain the existence of solutions which are weak in both the PDE and probabilistic sense,a result which is new by itself to the best of our knowledge.     

Design of a new dynamical core for global atmospheric models based on some efficient numerical methods

A careful study on the integral properties of the primitive hydrostatic balance equations for baroclinic atmosphere is carried out, and a new scheme to design the global adiabatic model of atmospheric dynamics is presented. This scheme includes a method of weighted equal-area mesh and a fully discrete finite difference method with quadratic and linear conservations for solving the primitive equation system. Using this scheme, we established a new dynamical core with adjustable high resolution acceptable to the available computer capability, which can be very stable without any filtering and smoothing. Especially, some important integral properties are kept unchanged, such as the anti-symmetries of the horizontal advection operators and the vertical convection operator, the mass conservation, the effective energy conservation under the standard stratification approximation, and so on. Some numerical tests on the new dynamical core, respectively regarding its global conservations and its integrated performances in climatic modeling, incorporated with the physical packages from the Community Atmospheric Model Version 2 (CAM2) of National Center for Atmospheric Research (NCAR), are included.     

A second order numerical method for solving advection-diffusion models

The space–time conservation element and solution element (CE-SE) scheme is a method that improves the well-established methods, like finite differences or finite elements: the integral form of the problem exploits the physical properties of conservation of flow, unlike the differential form. Also, this explicit scheme evaluates the variable and its derivative simultaneously in each knot of the partitioned domain. The CE-SE method can be used for solving the advection-diffusion equation.In this paper, a new numerical method for solving the advection-diffusion equation, based in the CE-SE method is developed. This method increases the spatial precision and it is validated with an analytical solution.     

Completely conservative,covariant numerical solution of systems of ordinary differential equations with applications

The conservation laws of Newtonian dynamics are described and discussed forN-body problems. The related dynamical, nonlinear equations are then approximated by a new class of difference equations. These difference equations preserve the very same conservations laws as the differential equations. They are also shown to be covariant under fundamental coordinate transformations. Applications of current interest are discussed. Conferenza tenuta il 17 maggio 1995     

Regularized Lotka-Volterra Dynamical System as Continuous Proximal-Like Method in Optimization

We introduce and study a new type of dynamical system which combines the continuous gradient method with a nonlinear Lotka-Volterra (LV) type of differential system within a logarithmic-quadratic proximal scheme. We prove a global existence and viability result for the resulting trajectory which holds for a general smooth function. The asymptotic behavior of the produced trajectory is analyzed and global convergence of the trajectory to a minimizer of the convex minimization problem over the nonnegative orthant is established. The implicit discretization which is at the origin of the proposed continuous dynamical system is an interior proximal scheme for minimizing a closed proper convex function, and convergence results and properties of the resulting discrete scheme are also established. We show finally that the trajectories of the family of regularized Lotka-Volterra systems, parametrized by the positive parameter associated with the quadratic proximal term, are uniformly convergent to the solution of the classical LV-dynamical system, as the parameter associated with the proximal term approaches zero.     

抛物型方程一个新的非协调混合元超收敛性分析及外推

本文研究了抛物型方程在新混合元格式下的非协调混合有限元方法. 在抛弃传统有限元分析的必要工具-Ritz 投影算子的前提下,直接利用单元的插值性质,运用高精度分析和对时间t的导数转移技巧,借助于插值后处理技术,分别导出了关于原始变量u的H¹-模和通量p=▽u在L²-模下的O（h²）阶超逼近性质和整体超收敛. 进一步,通过构造合适的辅助问题,运用Richardson 外推格式,得到了具有更高精度O（h³）阶的外推结果. 最后,给出了一些数值结果验证了理论分析的正确性.     

Parallel Asynchronous Global Search and the Nested Optimization Scheme

In this paper, a parallel asynchronous information algorithm for solving multidimensional Lipschitz global optimization problems, where times for evaluating the objective function can be different from point to point, is proposed. This method uses the nested optimization scheme and a new parallel asynchronous global optimization method for solving core univariate subproblems generated by the nested scheme. The properties of the scheme related to parallel computations are investigated. Global convergence conditions for the new method and theoretical conditions of speed up, which can be reached by using asynchronous parallelization in comparison with the pure sequential case, are established. Numerical experiments comparing sequential, synchronous, and asynchronous algorithms are also reported.     

EFK方程一个新的低阶非协调混合有限元方法的高精度分析

对Extended Fisher-Kolmogorov(EFK)方程,利用EQ_1~(rot)元和零阶RaviartThomas(R-T)元建立了一个新的非协调混合元逼近格式.首先,证明了半离散格式逼近解的一个先验估计并证明了逼近解的存在唯一性.在半离散格式下,利用上述两种元的高精度分析结果以及这个先验估计,在不需要有限元解u_h属于L~∞的条件下,得到了原始变量u和中间变量v=-?u的H~1-模以及流量p=u的(L~2)~2-模意义下O(h~2)阶的超逼近性质.同时,借助插值后处理技术,证明了上述变量的具有O(h~2)阶的整体超收敛结果.其次,建立了一个新的线性化向后Euler全离散格式并证明了其逼近解的存在唯一性.另一方面,通过对相容误差和非线性项采取与传统误差分析不同的新的分裂技巧,分别导出了以往文献中尚未涉及的关于u和v在H~1-模以及p在(L~2)~2-模意义下具有O(h~2+τ)阶的超逼近性质,进一步地,借助插值后处理技术,得到了上述变量的整体超收敛结果.这里h和τ分别表示空间剖分参数和时间步长.最后,给出了一个数值算例,计算结果验证了理论分析的正确性.     

分数积分的一种数值计算方法及其应用

提出了一种只需要存储部分历史数据的分数积分的数值计算方法。并给出了误差估计。这种方法可对包含分数积分和分数导数的积分-微分方程进行较长时间的数值计算。克服了存储全部历史数据的困难。并能对计算误差进行控制。作为应用，给出了具有分数导数型本构关系的粘弹性Timoshenko梁的动力学行为研究的控制方程，利用分离变量法讨论梁在简谐激励作用下的动力响应，然后用新提出的数值方法对控制方程进行数值计算。数值计算结果和理论结果进行了比较，它们比较吻合。     

MULTISYMPLECTIC FOURIER PSEUDOSPECTRAL METHOD FOR THE NONLINEAR SCHRODINGER EQUATIONS WITH WAVE OPERATOR

In this paper, the multisymplectic Fourier pseudospectral scheme for initial-boundary value problems of nonlinear SchrSdinger equations with wave operator is considered. We investigate the local and global conservation properties of the multisymplectic discretization based on Fourier pseudospectral approximations. The local and global spatial conservation of energy is proved. The error estimates of local energy conservation law are also derived. Numerical experiments are presented to verify the theoretical predications.     

LONG-TIME BEHAVIOR OF FINITE DIFFERENCE SOLUTIONS OF A NONLINEAR SCHRODINGER EQUATION WITH WEAKLY DAMPED

1. IntroductionThe nonlinear schr~r equation with weakly dampedwhere t = N, o > 0, together with appropriate boUndary and hatal condition, is ared inmany physical fields. The echtence of an attractor is one of the most boortant ~eristiCSfor a dissipative system. The long-tabs dynamics is completely determined by the attractorof the system. J.M. Ghidaglia[1] studied the lOng-the behavior of the nonlineaz Sequation (1.1) and proved the eAstence of a compact global attractor A in H'(n) which…