Positive numerical splitting method for the Hull and White 2D Black–Scholes equation

We consider the locally one‐dimensional backward Euler splitting method to solve numerically the Hull and White problem for pricing European options with stochastic volatility in the presence of a mixed derivative term. We prove the first‐order convergence of the time‐splitting. The parabolic equation degenerates on the boundary x = 0 and we apply a fitted finite volume scheme to the equation to resolve the degeneracy and derive the fully discrete problem as we also investigate the discrete maximum principle. Numerical experiments illustrate the efficiency of our difference scheme. © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 822–846, 2015     

A Minty variational principle for set optimization

Extremal problems are studied involving an objective function with values in (order) complete lattices of sets generated by so-called set relations. Contrary to the popular paradigm in vector optimization, the solution concept for such problems, introduced by F. Heyde and A. Löhne, comprises the attainment of the infimum as well as a minimality property. The main result is a Minty type variational inequality for set optimization problems which provides a sufficient optimality condition under lower semicontinuity assumptions and a necessary condition under appropriate generalized convexity assumptions. The variational inequality is based on a new Dini directional derivative for set-valued functions which is defined in terms of a “lattice difference quotient.” A residual operation in a lattice of sets replaces the inverse addition in linear spaces. Relationships to families of scalar problems are pointed out and used for proofs. The appearance of improper scalarizations poses a major difficulty which is dealt with by extending known scalar results such as Diewert's theorem to improper functions.     

Ground state solution for differential equations with left and right fractional derivatives

In this work, we study the existence of positive solutions for a class of fractional differential equation given by (1) where . Using the mountain pass theorem and comparison argument, we prove that (1) at least has one nontrivial solution. Copyright © 2015 John Wiley & Sons, Ltd.     

On an Inequality of Pual Turan Concerning Polynomials-Ⅱ

Let P(z) be a polynomial of degree n and for any complex number α, let D_αP(z) = nP(z)+(α- z) P′(z) denote the polar derivative of the polynomial P(z) with respect to α. In this paper, we obtain inequalities for the polar derivative of a polynomial having all zeros inside a circle. Our results shall generalize and sharpen some well-known results of Turan, Govil, Dewan et al. and others.     

一个分数阶忆阻器模型及其简单串联电路的特性

忆阻器是具有时间记忆特性的非线性电阻. 经典HP TiO₂忆阻器模型的忆阻值为此前通过忆阻器电流的时间积分, 即记忆没有损失. 而最近研究证实HP TiO₂ 线性忆阻器掺杂层厚度不能等于零或者器件整体厚度, 导致器件的记忆有损失. 基于此发现, 本文首先提出了一个阶数介于0 与1间的分数阶HP TiO₂ 线性忆阻器模型, 研究了当受到周期外激励时, 分数阶导数的阶数对其忆阻值动态范围和输出电压动态幅值的影响规律, 推导出了磁滞旁瓣面积的计算公式. 结果表明, 分数阶导数阶数对磁滞回线的形状及所围成区域面积有重要影响. 特别地, 在外激频率大于1时, 分数阶忆阻器的记忆强度达到最大. 然后讨论了此分数阶忆阻器与电容或电感串联组成的单口网络的伏安特性. 结果表明, 在周期激励驱动时, 随着分数阶导数阶数的变化, 此分数阶忆阻器与电容的串联电路呈现出纯电容电路与忆阻电路的转换, 而它与电感的串联电路则呈现出纯电感电路与忆阻电路的转换.     

计算重根特征向量导数的消元法

本文提出了重根特征向量导数计算的消无法，它分为若干直接算法和一种迭代算法。这种方法概念简单、实施容易、精度良好。该方法可经简单移值用于非重根情况。     

特征向量导数计算的Lanczos方法

本文对特征向量导数计算的Ｌａｎｃｚｏｓ法进行了改进，指出Ｌａｎｃｚｏｓ法对方程的缩阶效率取决于初始向量的选择，介绍了Ｌａｎｃｚｏｓ方法的发展，提出采用频率移位法选择初始Ｌａｎｃｚｏｓ向量。通过理论分析及计算机仿真说明移位Ｌａｎｃｚｏｓ方法可以将较大的方程组缩为一阶方程，在计算精度与效率上大大优于任选向量Ｌａｎｃｚｏｓ法和迭代Ｌａｎｃ－ｚｏｓ法     

Analysis of the derivative of the energy functional with respect to the length of a curvilinear crack in an elastic body with a possible crack-edge contact

A homogeneous two-dimensional body with a crack of variable length is considered. At the crack edges, conditions are formulated in the form of inequalities that describe mutual nonpenetration of the edges. The derivative of the elastic-energy functional with respect to the length of the curvilinear crack is analyzed. It is shown that the derivative is independent of the crack path, provided that the curve along which the crack propagates is reasonably smooth. __________ Translated from Prikladnaya Mekhanika i Tekhnicheskaya Fizika, Vol. 48, No. 5, pp. 138–145, September–October, 2007.     

A nonlocal multi-point singular fractional integro-differential problem of Lane–Emden type

In this paper, using Riemann–Liouville integral and Caputo derivative, we study a nonlinear singular integro-differential equation of Lane–Emden type with nonlocal multi-point integral conditions. We prove the existence and uniqueness of solutions by application of Banach contraction principle. Also, we prove an existence result using Schaefer fixed point theorem. Then, we present some examples to show the applicability of the main results.     

Nehari函数族的偏差性质与拟共形延拓

研究某一Nehari函数族的偏差性质,得到这类函数族的H?lder连续性及若干偏差定理,同时讨论了该函数类的拟共形延拓问题,并给出拟共形延拓的复伸张估计,推广了杨宗信等人相应的结论.