Efficiently pricing barrier options in a Markov-switching framework

An efficient Monte Carlo simulation for the pricing of barrier options in a Markov-switching model is presented. Compared to a brute-force approach, relying on the simulation of discretized trajectories, the presented algorithm simulates the underlying stock price process only at state changes and at maturity. Given these pieces of information, option prices are evaluated using the probability of Brownian bridges not to fall below some threshold level. It is illustrated how two methods of variance reduction, control variates and antithetic variates, further improve the algorithm. In a small case study, the algorithm is applied to the pricing of options with the EuroStoxx 50 as underlying.     

一种灵活的基于身份的签名方案

在基于身份的密钥提取过程中,使密钥生成器在私钥中嵌入随机数,从而使得密钥提取具有较好的灵活性,使得用户对一个身份可具备多个私钥,这无疑会增加密钥使用的安全性;基于这种新的密钥提取思路,给出一个基于身份的签名体制,新的密钥提取方式使得它具有更好的安全性和灵活性;新的基于身份的签名体制中具有最少对运算,因此,与类似的方案相比,其具备较好的计算效率;新签名体制的安全性依赖于k-合谋攻击问题(k-CAAP)的困难性,其在适应性选择消息和ID攻击下具备强不可伪造性,并且其安全性证明具有紧规约性.     

基于粗糙集理论的超稠油油藏水平井吞吐效果评价及其影响因素分析

影响超稠油油藏水平井蒸汽吞吐开发效果的因素包括地质参数、流体参数、开发参数、水平井设计参数等众多因素,寻找主要因素对于超稠油油藏水平井吞吐效果评价及开发调整设计具有重要意义.基于粗糙集理论对影响超稠油油藏水平井吞吐效果的10个因素进行数据属性约简,同时利用灰色关联分析,对这些因素进行敏感性分析;应用Elman神经网络比较上述两种结果,证明了粗糙集理论进行数据属性约简的方法更准确.最终得到注汽干度、注汽强度、注汽速度、水平段长度和注汽压力对水平井的开发效果影响最大.实例计算表明,方法实用有效,精度较高,可用于超稠油油藏水平井吞吐效果评价及开发、调整设计.     

Analysis of a Class of Symmetric Equilibrium Configurations for a Territorial Model

<正>Motivated by an animal territoriality model,we consider a centroidal Voronoi tessellation algorithm from a dynamical systems perspective.In doing so,we discuss the stability of an aligned equilibrium configuration for a rectangular domain that exhibits interesting symmetry properties.We also demonstrate the procedure for performing a center manifold reduction on the system to extract a set of coordinates which capture the long term dynamics when the system is close to a bifurcation.Bifurcations of the system restricted to the center manifold are then classified and compared to numerical results.Although we analyze a specific set-up,these methods can in principle be applied to any bifurcation point of any equilibrium for any domain.     

A Three-component Extension of the Camassa–Holm Hierarchy

We introduce a bi-Hamiltonian hierarchy on the loop-algebra of endowed with a suitable Poisson pair. It gives rise to the usual Camassa–Holm (CH) hierarchy by means of a bi-Hamiltonian reduction, and its first nontrivial flow provides a three-component extension of the CH equation.     

Exact solutions and conservation laws of (2 + 1)-dimensional Boiti-Leon-Pempinelli equation

In this paper, we obtain the symmetry group theorem by using the modified CK’s direct method, and some new exact solutions of (2 + 1)-dimensional BLP equation. Also we derive the corresponding Lie algebra and the conservation laws of BLP equation.     

Painlevé analysis and new analytic solutions for variable-coefficient Kadomtsev-Petviashvili equation with symbolic computation

The variable-coefficient Kadomtsev-Petviashvili (KP) equation is hereby under investigation. Painlevé analysis is given out, and an auto-Bäcklund transformation is presented via the truncated Painlevé expansion. Based on the auto-Bäcklund transformation, new analytic solutions are given, including the soliton-like and periodic solutions. It is also reduced to a (1+1)-dimensional partial differential equation via classical Lie group method and the Painlevé I equation by CK direct method.     

无穷凹角区域各向异性问题的自然边界元与有限元耦合法

本文研究无穷凹角区域上一类各向异性问题的自然边界元与有限元耦合法.利用自然边界归化原理,获得圆弧或椭圆弧人工边界上的自然积分方程,给出了耦合的变分形式及其数值方法,以及逼近解的收敛性和误差估计,最后给出了数值例子,以示方法的可行性和有效性.     

Multiple homoclinic solutions for singular differential equations

The homoclinic bifurcations of ordinary differential equation under singular perturbations are considered. We use exponential dichotomy, Fredholm alternative and scales of Banach spaces to obtain various bifurcation manifolds with finite codimension in an appropriate infinite-dimensional space. When the perturbative term is taken from these bifurcation manifolds, the perturbed system has various coexistence of homoclinic solutions which are linearly independent.     

高光谱图像降维的判别流形学习方法

本文提出了一种高光谱图像降维的判别流形学习方法.针对获取的大量遥感对地观测数据存在大量冗余信息的特点,引入改进的流形学习方法对高光谱遥感数据进行降维处理,以提高遥感图像自动分类的总体准确度.该方法充分利用遥感图像自动分类中训练样本的判别信息,将输入样本的类别信息加入到常规流形学习方法的框架中,从本质上提高输出的特征在低维空间中的判别力.同时,引入线性化模型以解决流形学习方法中常见的小样本问题.对高光谱遥感图像自动分类的实验表明,基于判别流形学习的高光谱遥感图像自动分类方法能够显著地提高图像分类准确度.