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广义鞍点问题的松弛维数分解预条件子   总被引:1,自引:0,他引:1       下载免费PDF全文
曹阳  谈为伟  蒋美群 《计算数学》2012,34(4):351-360
本文将Benzi等提出的松弛维数分解(Relaxed dimensionalfactorization, RDF)预条件子进一步推广到广义鞍点问题上,并称为GRDF(Generalized RDF)预条件子.该预条件子可看做是用维数分裂迭代法求解广义鞍点问题而导出的改进维数分裂(Modified dimensional split, MDS)预条件子的松弛形式, 它相比MDS预条件子更接近于系数矩阵, 因而结合Krylov子空间方法(如GMRES)有更快的收敛速度.文中分析了GRDF预处理矩阵特征值的一些性质,并用数值算例验证了新预条件子的有效性.  相似文献
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We consider the Sparre Andersen model modified by the inclusion of interest on the surplus.Approximation for the ultimate ruin probability is derived by rounding.And upper bound and lower bound arealso derived by rounding-down and rounding-up respectively.According to the upper bound and lower bound,we can easily obtain the error estimation of the approximation.Applications of the results to the compoundPoisson model are given.  相似文献
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In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy (even that of the optimal dividend strategy). Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang (2) and compound Poisson risk models are also given.  相似文献
4.
We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend rates bounded by a constant.The company controls the amount of dividends in order to maximize the cumulative expected discounted dividends prior to ruin. We show that the optimal value function is the unique solution of a discrete HJB equation. Moreover, we obtain some properties of the optimal payment strategy, and offer a simple algorithm for obtaining the optimal strategy. The key of our method is to transform the value function. Numerical examples are presented to illustrate the transformation method.  相似文献
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假设利率变化的模型是由随机微分方程给出,则可以用推导Black-Scholes方程的方法来推出债券价格满足的偏微分方程,得到一个抛物型的偏微分方程.但是,在债券定价的方程中隐含有一个参数λ称为利率风险的市场价格.所谓债券定价的反问题,就是由不同到期时间的债券的现在价格来得到利率风险的市场价格.对随机利率模型下债券定价的正问题先给予介绍和差分数值求解方法,并介绍了反问题,且对反问题给出了数值方法.  相似文献
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In this paper, we discuss the influence of multiple values and Valiron deficiencies on the uniqueness problem of algebroid functions on annuli, we get the several uniqueness theorems of algebroid functions on annuli, and also we extend the Nevanlinna value distribution theory for algebroid functions on annuli.  相似文献
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In this note, we establish a companion result to the theorem of J. Szabados on the maximum of fundamental functions of Lagrange interpolation based on Chebyshev nodes.  相似文献
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本文研究了亚纯函数涉及重值分担小函数的唯一性问题, 通过构造辅助函数, 特别是通过深入分析计数函数, 我们得到一些结果, 所得结果推广了一些学者的已有成果.  相似文献
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