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1.
Lookback N-time period performance options are proposed. Explicit risk-neutral probability density functions for extrema of N-time period return rates are obtained over the time interval [0, T ], T ≤? 2N. Pricing formulae at t = 0 for lookback performance options with logarithm return rate are derived. The pricing formulae for lookback performance options with gross return rate at t = 0 can be derived similarly. Put-call parity relations at t = 0 for these options follow from these pricing formulae. Applications of lookback performance options are also discussed.  相似文献   
2.
Brownian motion has played important roles in many different fields of science since its origin was first explained by Albert Einstein in 1905. Einstein's theory of Brownian motion, however, is only applicable at long time scales. At short time scales, Brownian motion of a suspended particle is not completely random, due to the inertia of the particle and the surrounding fluid. Moreover, the thermal force exerted on a particle suspended in a liquid is not a white noise, but is colored. Recent experimental developments in optical trapping and detection have made this new regime of Brownian motion accessible. This review summarizes related theories and recent experiments on Brownian motion at short time scales, with a focus on the measurement of the instantaneous velocity of a Brownian particle in a gas and the observation of the transition from ballistic to diffusive Brownian motion in a liquid.  相似文献   
3.
We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.  相似文献   
4.
In this paper, we consider a class of stochastic functional differential equations with infinite delay at phase space BC ( ? ∞ ,0]; Rd) driven by G‐Brownian motion (SFDEGs) in the framework of sublinear expectation spaces . We prove the existence and uniqueness of the solutions to SFDEGs with the coefficients satisfying the linear growth condition and the classical Lipschitz condition. In addition, we establish the exponential estimate of the solution. Copyright © 2013 John Wiley & Sons, Ltd.  相似文献   
5.
Camera pose estimation is a basic and crucial problem in computer vision, accordingly a novel method is proposed for pose estimation based on parabolic motion in our paper. Firstly, the intersection of lines which are the image plane projection of free-falling trajectories in different locations is computed. According to the properties of vanishing point, the intersection is defined as the vanishing point in gravity direction. Secondly, the image plane projected curve of parabolic trajectory is obtained by Sampson Approximation. Finally, the camera pose is estimated by employing the projective geometry properties of vanishing point and vanishing line implicated in the projected parabola, provided that the intrinsic parameters of camera are specified. The absolute Euclidean distance of translation is obtained innovatively with the known frame frequency. Numerical simulation as well as practical experiment in this paper demonstrates the correctness and feasibility of our method, with the known frame frequency, as the experiment show that compared with the traditional checkerboard method the mean errors of rotation axis, rotation angle and translation are respectively 0.017 rad, 0.007 rad and 11.650 mm by our method. It can generally satisfy the accuracy requirements of camera.  相似文献   
6.
In this comment, we show that the results presented in Letter “Spherical particle Brownian motion in viscous medium as non-Markovian random process” are not new, the old results from the literature are not correctly recalculated, and the used method of integral transforms is not applicable for consideration of the Brownian motion with memory.  相似文献   
7.
Magnetic nanofluid hydrothermal analysis over a plate is studied that includes consideration of thermal radiation. The Runge–Kutta (RK4) method is utilized to get solution of ODEs which are obtained from similarity solution. In considering the impacts of Brownian motion, we applied Koo–Kleinstreuer–Li correlation to simulate the properties of CuO–water. The influence is discussed of important parameters such as the temperature index, magnetic, radiation, and velocity ratio parameters and volume fraction of nanoparticle on hydrothermal behavior. Results illustrate that the coefficient of skin friction enhances with enhancing magnetic parameter while reduces with enhancing velocity ratio parameter. Also the Nusselt number was found to directly depend on the velocity ratio and temperature index parameters but has an inverse dependence on the magnetic and radiation parameters.  相似文献   
8.
A fairly large family of asymptotic elastodynamic homogenization methods is shown to be derivable from Willis exact elastodynamic homogenization theory for periodic media under appropriate approximation assumptions about, for example, frequencies, wavelengths and phase contrast. In light of this result, two long-wavelength and low-frequency asymptotic elastodynamic approaches are carefully analyzed and compared in connection with higher-order strain-gradient media. In particular, these approaches are proved to be unable to capture, at least in the one-dimensional setting, the optical branches of the dispersion curve. As an example, a two-phase string is thoroughly studied so as to illustrate the main results of the present work.  相似文献   
9.
This Trends article highlights the recent advances published between 2012 and 2015 in solid-state 17O NMR for organic and biological molecules. New developments in the following areas are described: (1) new oxygen-containing functional groups, (2) metal organic frameworks, (3) pharmaceuticals, (4) probing molecular motion in organic solids, (5) dynamic nuclear polarization, and (6) paramagnetic coordination compounds. For each of these areas, the author offers his personal views on important problems to be solved and possible future directions.  相似文献   
10.
The self-motion of a benzoquinone (BQ) disk on NADPH was investigated as the coupling of an autonomous motor and an enzyme reaction. In the absence of the enzyme reaction, features of motion changed depending on the concentration of NADPH, that is, continuous motion→ intermittent oscillatory motion→ no motion. When the reverse reaction from NADP(+) to NADPH was introduced into the system with the addition of an enzyme reaction, continuous motion changed to intermittent oscillatory motion with small amplitude. The mechanism of this mode change is discussed in relation to the surface tension as a driving force and the time course of UV spectra as a window to the progress of the reaction. Characteristic features of the mode change were qualitatively reproduced by a numerical calculation.  相似文献   
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