标的股价服从混合过程的期权定价公式及有限元算法

本文将马尔科夫跳跃过程叠加于 Ito过程 ,形成混合过程 ,并用该过程来刻画股价走势情况。而后在标的股价服从混合过程的基础上 ,推导出了欧式看涨期权的定价公式 ,并对美式看跌期权定价给出了有限元算法。     

A CLASS OF r-POINT (r+1)ST-ORDER A-STABLE ONE-BLOCK METHODS WITH DAMPING AT THE INFINITE POINT

1　ＩｎｔｒｏｄｕｃｔｉｏｎＦｏｒｓｏｌｖｉｎｇｓｔｉｆｆｉｎｉｔｉａｌｖａｌｕｅｐｒｏｂｌｅｍｓｆｏｒｓｙｓｔｅｍｓｏｆＯＤＥｓｙ′=ｆ(ｙ) ,ｙ(ｔ0 ) =ｙ0 ,ｔ0 <ｔ≤Ｔ ,ｙ0 ,ｙ∈Ｒｍ,ｆ :Ω Ｒｍ →Ｒｍ (1 .1 )ｍａｎｙｐａｒｔｉｃｕｌａｒｏｎｅ ｂｌｏｃｋｍｅｔｈｏｄｓｏｆｔｈｅｆｏｒｍＹｎ+1= ＡＹｎ+ｈ( Ｂ0 Ｆ(Ｙｎ) + Ｂ1Ｆ(Ｙｎ+1) ) , Ａ =Ａ Ｉｍ, Ｂｉ=Ｂｉ Ｉｍ,Ａ ,Ｂｉ∈Ｒｒ×ｒ,Ｙｎ =(ＹＴｎｒ,… ,ｙＴ(ｎ+1)ｒ- 1) Ｔ,Ｆ(Ｙｎ) =(ｆＴ(ｙｎｒ) ,… ,ｆＴ(ｙ(ｎ+1)ｒ- 1) ) Ｔ,ｙｊ≈ ｙ(ｔｊ) ,…     

退火温度对Fe基纳米晶粉芯磁致频移特性影响的研究

研究了充有不同温度退火Fe基纳米晶粉芯LC回路的磁致频移特性（MFS），发现充有不同温度退火Fe基纳米晶粉芯LC回路的磁致频移不同，充有经600℃退火Fe基纳米晶粉芯LC回路的磁致频移最灵敏。     

Extension of a combined analytical/numerical initial value problem solver for unsteady periodic flow

Here we describe analytical and numerical modifications that extend the Differential Reduced Ejector/ mixer Analysis (DREA), a combined analytical/numerical, multiple species ejector/mixing code developed for preliminary design applications, to apply to periodic unsteady flow. An unsteady periodic flow modelling capability opens a range of pertinent simulation problems including pulse detonation engines (PDE), internal combustion engine ICE applications, mixing enhancement and more fundamental fluid dynamic unsteadiness, e.g. fan instability/vortex shedding problems. Although mapping between steady and periodic forms for a scalar equation is a classical problem in applied mathematics, we will show that extension to systems of equations and, moreover, problems with complex initial conditions are more challenging. Additionally, the inherent large gradient initial condition singularities that are characteristic of mixing flows and that have greatly influenced the DREA code formulation, place considerable limitations on the use of numerical solution methods. Fortunately, using the combined analytical–numerical form of the DREA formulation, a successful formulation is developed and described. Comparison of this method with experimental measurements for jet flows with excitation shows reasonable agreement with the simulation. Other flow fields are presented to demonstrate the capabilities of the model. As such, we demonstrate that unsteady periodic effects can be included within the simple, efficient, coarse grid DREA implementation that has been the original intent of the DREA development effort, namely, to provide a viable tool where more complex and expensive models are inappropriate. Copyright © 2002 John Wiley & Sons, Ltd.     

二阶非线性微分方程的斜周期边值问题

In this paper a uniqueness theorem for a skewperiodic boundary value problem is obtained. By using the optimal control method, we derive the best estimate for the integration mean ensuring that the results hold.     

进一步改进边界元方法以克服振动声辐射计算中解的非唯一性

章利用基于三次B样条插值的边界元方法，对振动体外部声辐射问题进行了研究，对CHIEF法及其改进方法作了进一步的改进，提出在加权余量意义下，通过把内部Helmholtz积分方程与其对内点坐标取导后的方程式作线性叠加，在域外构作的一个小体积块上进行积分以形成补充方程，经与表面Helmholtz积分方程相结合，来求解任意频率下的声辐射问题，并以脉动球和摆动球作为算例，说明本提出的方法能够有效地克服在特殊频率处解的非唯一性问题。     

New initial-value method for singularly perturbed boundary-value problems

An initial-value method is given for second-order singularly perturbed boundary-value problems with a boundary layer at one endpoint. The idea is to replace the original two-point boundary value problem by two suitable initial-value problems. The method is very easy to use and to implement. Nontrivial text problems are used to show the feasibility of the given method, its versatility, and its performance in solving linear and nonlinear singularly perturbed problems.This work was supported in part by the Consiglio Nazionale delle Ricerche, Contract No. 86.02108.01, and in part by the Ministero della Pubblica Istruzione.     

A posteriori error estimators for the Stokes equations

Summary We present two a posteriori error estimators for the mini-element discretization of the Stokes equations. One is based on a suitable evaluation of the residual of the finite element solution. The other one is based on the solution of suitable local Stokes problems involving the residual of the finite element solution. Both estimators are globally upper and locally lower bounds for the error of the finite element discretization. Numerical examples show their efficiency both in estimating the error and in controlling an automatic, self-adaptive mesh-refinement process. The methods presented here can easily be generalized to the Navier-Stokes equations and to other discretization schemes.This work was accomplished at the Universität Heidelberg with the support of the Deutsche Forschungsgemeinschaft     

混合稀土储氢合金中氧和氮的测定

研究了混合稀土储氢合金中氧和氮的测定方法。针对稀土金属高温易挥发、分解的特点，选择适宜的加热温度，使用镍浴，选择高温座坩埚进行试验：选择出了合适的助熔剂的预处理方法。方法已用于实际样品。对含氧0．43％、含氮0.018％的试样，分析精密度为氧4．3％，氮5.9％，加标回收率氧为93％～104％，氮为92％～110％。     

An expansion in the exponent for compound binomial approximations

The purpose of this paper is two-fold. First, we introduce a new asymptotic expansion in the exponent for the compound binomial approximation of the generalized Poisson binomial distribution. The dependence of its accuracy on the symmetry and shifting of distributions is investigated. Second, for compound binomial and compound Poisson distributions, we present new smoothness estimates, some of which contain explicit constants. Finally, the ideas used in this paper enable us to prove new precise bounds in the compound Poisson approximation. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 1, pp. 67–110, January–March, 2006.