Two-dimensional vortex sheets for the nonisentropic Euler equations: Nonlinear stability

We show the short-time existence and nonlinear stability of vortex sheets for the nonisentropic compressible Euler equations in two spatial dimensions, based on the weakly linear stability result of Morando and Trebeschi (2008) [20]. The missing normal derivatives are compensated through the equations of the linearized vorticity and entropy when deriving higher-order energy estimates. The proof of the resolution for this nonlinear problem follows from certain a priori tame estimates on the effective linear problem in the usual Sobolev spaces and a suitable Nash–Moser iteration scheme.     

Statistics of polymer capture by a nanopore: A Brownian dynamics simulation study

We investigate the statistics of polymer capture by a nanopore using Brownian dynamics simulations. It is found that when the velocity flux is greater than a critical velocity flux, the capture picture is a random selection process, otherwise it tends to a statistical process governed by energetic considerations. In addition, the chain ends capture probability decreases as the chain length increases and satisfies a power-law scaling of P0(N)~N-0.8.     

水斗非定常自由水膜流三维贴体数值模拟

本研究采用水斗三维非正交贴体坐标系进行了非定常自由水膜流动的数值解析。对不规则水斗内表面采用三维非正交贴体坐标系下离散点进行拟合,推导了曲面离散点的法向矢量和曲面微元面高斯曲率、平均曲率等几何特征量的计算公式,进而导出流体粒子在运动方向上曲率计算式。在水斗三维贴体坐标系中,还推导了流体粒子在水斗曲面上的运动控制方程。最后对某水轮机水斗内表面非定常自由水膜流进行了数值模拟,得到其非定常水膜流态分布。     

Charge transport in a polypeptide chain

Charge transport is one important example of signal transduction in a protein which is responsible for action at a distance, and is a fundamental process in biochemical action. A model is presented in which electronic effects interact with motional processes to combine into a bifunctional model. This model is investigated with new detailed molecular dynamics calculations and successfully explains such action at a distance. Received 1st February 2002 / Received in final form 26 May 2002 Published online 13 September 2002     

股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

Development of a Simulation Model for Solid Objects Suspended in a Fluctuating Fluid

We introduce a new scheme for the future application of Real-coded Lattice Gas (RLG) to the numerical simulation of suspended solid objects in a fluctuating fluid environment. The reproduction of Brownian motion for a single solid object is verified through the Gaussian distribution of its displacements. The effectiveness of the solid–solid interaction model is also confirmed in an N-body simulation.     

Brownian surfaces with boundary and Deligne cohomology

We define differentiable random surfaces, which realize a kind of generalized parallel transport for line bundles over the loop space. This gives a realization of one of the axioms of Segal of conformal field theory.     

Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.