双曲分布及其在VaR模型分析中的应用

传统的计算V aR的R iskM etrics方法不能对市场风险分布的“厚尾”现象给出较为满意的刻画和计算方法.本文引入双曲分布及其算法并将双曲分布应用到V aR模型的计算之中,事实上通过对股票市场的实证研究表明,股票市场数据呈厚尾现象,用双曲分布对数据的拟合要比R iskM etrics方法假定的正态分布更符合金融市场数据的实际情况,故本文的结论与方法对金融风险管理和其他金融建模是有价值的.     

变系数非线性方程的Jacobi椭圆函数展开解

把Jacobi椭圆函数展开法扩展并应用到求解变系数的非线性演化方程,比较方便地得到新的解析解 关键词： Jacobi椭圆函数 变系数非线性方程 类椭圆余弦波解 类孤子解     

Irregularities of distribution with respect to strips

Summary A lower bound is established for the strip discrepancy of a broad class of point distributions. The bound implies unbounded strip discrepancy for equally weighted point distributions under favorable conditions. The methods of proof use notions from integral geometry.     

来自磁光阱中冷原子团的荧光干涉条纹及其应用

实验观察来自磁光阱中冷原子团的荧光经真空系统窗口的平板玻璃反射产生的干涉条纹，理论分析表明从从荧光干涉条纹的强度分布可获得关于俘获原子总数以及密度分布的信息。采用该方法实测了俘获原子总数，并模拟得到了不同密度分布时条纹的对比度变化。     

A priori tests of a stochastic mode reduction strategy

Several a priori tests of a systematic stochastic mode reduction procedure recently devised by the authors [Proc. Natl. Acad. Sci. 96 (1999) 14687; Commun. Pure Appl. Math. 54 (2001) 891] are developed here. In this procedure, reduced stochastic equations for a smaller collections of resolved variables are derived systematically for complex nonlinear systems with many degrees of freedom and a large collection of unresolved variables. While the above approach is mathematically rigorous in the limit when the ratio of correlation times between the resolved and the unresolved variables is arbitrary small, it is shown here on a systematic hierarchy of models that this ratio can be surprisingly big. Typically, the systematic reduced stochastic modeling yields quantitatively realistic dynamics for ratios as large as 1/2. The examples studied here vary from instructive stochastic triad models to prototype complex systems with many degrees of freedom utilizing the truncated Burgers–Hopf equations as a nonlinear heat bath. Systematic quantitative tests for the stochastic modeling procedure are developed here which involve the stationary distribution and the two-time correlations for the second and fourth moments including the resolved variables and the energy in the resolved variables. In an important illustrative example presented here, the nonlinear original system involves 102 degrees of freedom and the reduced stochastic model predicted by the theory for two resolved variables involves both nonlinear interaction and multiplicative noises. Even for large value of the correlation time ratio of the order of 1/2, the reduced stochastic model with two degrees of freedom captures the essentially nonlinear and non-Gaussian statistics of the original nonlinear systems with 102 modes extremely well. Furthermore, it is shown here that the standard regression fitting of the second-order correlations alone fails to reproduce the nonlinear stochastic dynamics in this example.     

对一个力学碰撞问题的讨论

对普通物理力学中有关碰撞的一个问题,从恢复系数e的取值角度出发,进行了详细求解和讨论,得到了更完整的结果.     

直流稳压电源波形演示器制作说明

直流稳压电源可以将交流电压变换为直流电压,并使之稳定,在我们现实生活中应用很广泛,在实验中我们利用的电学知识,设计制造了一种直流稳压电源。本文简要介绍了这种直流稳压电源波形演示器的设计目的和电路原理,重点阐述了它的制作流程、滤波和稳压原理以及性能测试输出波形。     

一种可能的简并谱NNS分布

利用随机矩阵理论,通过对一特殊情形的简并谱展开研究,得到了简并谱一种可能的最小相邻间距NNS分布函数．研究表明,由于简并的存在,简并谱不仅可分解成随机谱和规则谱两个子谱,同时还影响其规则谱,使规则谱的能级斥力减少．     

8 mm回旋行波管和返波管的三折螺旋波纹波导色散分析

 三折螺旋波纹波导使TE11模和TE21模相互耦合，其色散曲线能够在宽频带内与电子回旋共振，因此需要对色散方程进行研究。提出了适合工程实用的行波模式和返波模式的色散方程，并对方程中的耦合系数进行了简化，误差在1%左右。利用CST软件的VBA语言对螺旋波纹波导进行建模和计算，根据模拟得到的传输特性曲线的特点，提出一种模拟方法，将模拟与理论计算得到的色散曲线作对比，误差在5%左右。     

ZnSe及ZnSe/GaAs异质结构中压力导致的直接禁带向间接禁带的转变

用经验赝势方法计算了体ZnSe以及ZnSe/GaAs单异质结系统中ZnSe外延层г、X、L等特殊对称点导带底能量随压力的变化。结果表明，同Si、Ge、GaAs等半导体材料不同，ZnSe的X点导带底具有正的压力系数，但比г点的压力系数小，这是ZnSe材料以及ZnSe基异质结构材料发生直接禁带向间接禁带的转变时所需转变压力较大的根本原因。研究了ZnSe/GaAs异质结构中晶格失配造成的应变对外延层г、X、L对称点压力系数的影响，表明这种晶格失配造成的应变可以极大地减小ZnSe外延层材料由直接禁带向间接禁带的转变压力。