金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

NEW ALTERNATING DIRECTION FINITE ELEMENT SCHEME FOR NONLINEAR PARABOLIC EQUATION

A new alternating direction (AD) finite element (FE) scheme for 3-dimensional nonlinear parabolic equation and parabolic integro-differential equation is studied. By using AD, the 3-dimensional problem is reduced to a family of single space variable problems, calculation work is simplified; by using FE, high accuracy is kept; by using various techniques for priori estimate for differential equations such as inductive hypothesis reasoning, the difficulty arising from the nonlinearity is treated. For both FE and ADFE schemes, the convergence properties are rigorously demonstrated, the optimal H1-and L2-norm space estimates and the 0((△t)2) estimate for time variable are obtained.     

Self-commutator inequalities in higher dimension

Three natural multi-dimensional substitutes for the self-commutator of a Hilbert space operator are introduced and generalizations of Putnam's inequality to tuples of operators with semidefinite self-commutators are indicated. In addition, a Riesz transform model is developed and investigated.

     

一类广义非线性混合拟变分包含组

本文引入了一类新的带松弛单调映射和松弛Lipschitz映射的广义非线性混合拟变分包含组 ,构造了求解该类变分包含组的迭代算法 ,证明了该类变分包含组解的存在性以及由本文构造的迭代算法产生的迭代序列的强收敛性 .所得结果推广和改进了大量文献中的最新结果[1 5 ] .     

关于有限Abel群直接因子的平均数

对于有限Ａｂｅｌ群Ｇ，ｔ（Ｇ）定义为其直接因子的个数，在［５］中，Ｅ．Ｋｒａｔｚｅｌ对于和式得到一渐近公式，对应余项为△＿１（ｘ）．本文利用Ｅ．Ｆｏｕｖｒｙ和Ｈ　．Ｉｗａｎｉｅｃ的方法，得到了关于△＿１（ｘ）的一个新的估计，改进了Ｈ．Ｍｅｎｚｅｒ等人的结果．     

Projector formalism of generalized Brownian motion theory applied to dissipative and noisy systems

The projector formalism of Zwanzig-Mori type is extended to obtain generalized Fokker-Planck and generalized nonlinear Langevin equations for coarse-grained variables when the underlying microscopic dynamics is dissipative and noisy (stochastic).     

Variational inequalities for monotone operators in nonreflexive Banach spaces

The purpose of this paper is to study the existence problem of solutions and perturbation problem for some kind of variational inequalities with monotone operators in nonreflexive Banach spaces, and to obtain some results.     

Parabolic Harnack inequality for divergence form second order differential operators

Old and recent results concerning Harnack inequalities for divergence form operators are reviewed. In particular, the characterization of the parabolic Harnack principle by simple geometric properties -Poincaré inequality and doubling property- is discussed at length. It is shown that these two properties suffice to apply Moser's iterative technique.     

Influence of Relative Permeability on the Stability Characteristics of Immiscible Flow in Porous Media

Relative permeability functions for immiscible displacements in porous media show a wide range of profiles. Although, this behavior is well known, its impact on the stability of the displacement process is unexplored. Our analysis clearly demonstrates for the first time that the viscous instability characteristics of two-phase flows are governed not only by their end point values, but are strongly dependent on the actual profile of relative permeability functions. Linear stability analysis predicts the capacity of the flow to develop large scale fingers which can result in substantial bypassing of the resident fluid. It is observed that relative permeability functions attributed to drainage processes yield a more unstable displacement as compared to functions related to imbibition processes. Moreover, instability is observed to increase for those relative permeability functions which result from increased wettability of the wetting fluid. High accuracy numerical simulations show agreement with these predictions and demonstrate how large amplitude viscous fingers result in significant bypassing for certain relative permeability functions. In the nonlinear regime, the finger amplitude grows at a rate ∝ t^1/2 initially, drops to t^1/4 at a later time and finally grows ∝ t. The basic mechanisms of finger interaction, however, are not substantially influenced by relative permeability functions.