“String” formulation of the dynamics of the forward interest rate curve

We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of a string. We derive the general condition that the partial differential equations governing the motion of such string must obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial (possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation. Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998     

Interactions between kinetic and radiative processes inside moving absorbing fluids

The aim of this paper is to present several features of the couplings occurring between radiative transfer and the kinetics of a moving dielectric. After determining how the velocity field affects the apparent thermo-optical properties of matter, the energy transport problem is investigated in instationary regime and the general form of transient radiative transfer equation inside a moving medium is built. Then, the model is applied to the particular case of turbulent flows: a system of two equations for mean and fluctuating radiative energies is presented, and the resolution of this system is finally carried out.     

旋涡运动的稳定性与角动量守恒

本文利用角动量作为Liapunov函数建立二维的圆形涡块及涡环在有限或无限区域上的(Liapunov)非线性稳定性.     

Matrix Lax Polynomials, Geometry of Prym Varieties and Systems of Hess–Appel’rot Type

We consider a four-dimensional generalization of Hess–Appel’rot system and costruct its Lax pair. Both classical and algebro-geometric integration procedure are proceeded. The algebro-geometric integration is based on deep facts from geometry of Prym varieties such as the Mumford relation and Mumford-Dalalyan theory. The integration is similar to the integration of Lagrange bitop which has recetly been performed by the authors.     

Large deviation principle for enhanced Gaussian processes

We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölder- or modulus topology, appears as special case.     

Hamiltonian formulation of generalized quantum dynamics

The Hamiltonian formulation of the usual complex quantum mechanics in the theory of generalized quantum dynamics is discussed. After the total trace Lagrangian, total trace Hamiltonian and two kinds of Poisson brackets are introduced, both the equations of motion of some total trace functionals which are expressed by total trace Poisson brackets and the equations of motion of some operators which are expressed by the without-total-trace Poisson brackets are obtained. Then a set of basic equations of motion of the usual complex quantum mechanics are obtained, which are also expressed by the Poisson brackets and total trace Hamiltonian in the generalized quantum dynamics. The set of equations of motion are consistent with the corresponding Heisenberg equations. Project supported by Prof. T.D. Lee’s NNSC Grant, the National Natural Science Foundation of China, the Foundation of Ph. D. Directing Programme of Chinese University, and the Chinese Academy of Sciences.     

对薄层柱壳爆炸膨胀断裂过程的研究

 本文提出了一个用于描述动态破坏发展过程的损伤度函数。从这个损伤度函数出发,把材料特征性方程取为强化粘塑性本构方程形式,导出了薄层柱壳爆炸膨胀运动在两种近似下（恒定膨胀速度近似合恒定应变速率近似）断裂判据的解析表达式。结果分析表明,在上述条件下,存在着一个动态断裂“塑性峰”,在这个峰值条件的应变率下,柱壳出现贯穿断裂时刻的应变最大。以软钢为算例,本断裂判据可以比较好地解释Иванов和陈大年等给出的实验结果。这时,动态断裂“塑性峰”对应的应变率为4×10⁴ s^-1,相应的应变约为60%~80%。     

Solvable isotherms for a two-component system of charged rods on a line

The Coulomb system consisting of an equal number of positive and negative charged rods confined to a one-dimensional lattice is studied. The grand partition function can be calculated exactly at two values of the coupling constant=q ²/k _B T (q denoting the magnitude of the charges). The exact results lead to the conjecture that in the complex scaled fugacity plane, all the zeros of the grand partition function lie on the negative real axis for<2, on the point=–1 for=2, and on the unit circle for>2. In addition, for>4, we conjecture in general and prove at=4 that the zeros pinch the real axis in the thermodynamic limit, with an essential singularity in the pressure at the reduced density 1/2.     

Dynamics of the current-driven Josephson junction

The irreversible macroscopic dynamics of the Josephson junction coupled to external wires acting as a current source is derived rigorously from the underlying microscopic Hamiltonian quantum mechanics. The external systems are treated in the singular coupling limit. The use of this limit is explicitly justified via an interpretation of the singular coupling limit in terms of the relative magnitudes of system, reservoir, and coupling energies. The qualitative behavior of the macroscopic dynamical equations is shown to depend sensitively and crucially on the interaction between the wires and the superconductors and on the size of the wires: the dc Josephson effect only happens when one lets Cooper pairs be driven into the junction by collective (i.e., small) reservoirs.     

Generalized Brownian motion and elasticity

We introduce a family of stochastic processes which are a natural extension of Brownian motion to a tensor form. This allows us to solve a Dirichlet problem of linear elasticity obeying Lamé's equation, [1–(d– 1)]²V(x)+ [·V(x)]=0.