共查询到20条相似文献,搜索用时 15 毫秒
1.
卫淑芝 《数学的实践与认识》2010,40(3)
讨论了资产价格在宏观经济以及金融等因素影响下,含有可违约风险债券的连续时间风险敏感度投资决策问题.运用随机控制与随机分析理论,得到了最优投资决策存在的一个充分条件,并在一定条件下解得最优投资决策遵循一个关于因素水平以及债券违约概率的代数方程,对于数值计算有较好的实用性以及可操作性. 相似文献
2.
We introduce the random distribution kernel on a product probability space and obtain the representation results connecting the product and base probability spaces. Using the random variable with the random distribution kernel to model default/death time, we then consider three types of defaultable contingent payoffs. By allowing the survival conditioning time to be anytime before the start time of the payoffs, between the start time and end time, or after the end time of the payoffs, we provide the complete treatment of three types of defaultable contingent payoffs. As the application of the general results developed in this paper, we also provide the more general results for three types of defaultable contingent payoffs than the ones in the literature under the stochastic intensity framework. 相似文献
3.
奇摄动非线性边值问题 总被引:2,自引:0,他引:2
MoJiaqi 《高校应用数学学报(英文版)》2000,15(4):377-382
The singularly perturbed nonlinear boundary value problems are considered. Using the stretched variable and the method of boundary layer correction,the formal asymptotic expansion of solution is obtained. And then the uniform validity of solution is proved by using the differential inequalities. 相似文献
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This paper concerns optimal dynamic portfolio choice with quadratic utility when there are market impact costs. The optimal policy is difficult to characterize, so we look instead for sub-optimal policies. Our proposed suboptimal policy solves a tractable dynamic portfolio choice problem where the cost of trading is captured in the objective instead of the price dynamics. A multiple time scale asymptotic expansion shows that our proposed policy has sensible structural properties, while numerical experiments show promising performance and robustness properties. 相似文献
6.
A technique is presented in this paper to verify the order of accuracy of asymptotic expansion of Van der Pol's equation. The technique is focused on using numerical solutions as an independent means of verifying the validity of asymptotic expansions. 相似文献
7.
齐玉霞 《数学的实践与认识》2010,40(16)
证明了∫_0~(π/2)sin~αxdx(α→+∞)渐进展开式的存在性,并给出了展开式系数的递推公式,进而得到了((2n-1)!!)/((2n)!!)/((2n)!!)的渐进展开式和精致化的Wallis公式.在精致化的Wallis公式中取到1/n~m项,对π的逼近精度可达O(1/(n~(m+1))),比原来的Wallis公式的精度大为提高. 相似文献
8.
A. Ainser D. Dupuy G. P. Panasenko I. Sirakov 《Mathematical Methods in the Applied Sciences》2007,30(8):889-909
The paper is devoted to the mathematical modelling of an extrusion process. Usually, an extruder has a very complicated geometry. This generates a lot of difficulties for computations of three‐dimensional flows. In the present paper, we develop and justify the asymptotic domain decomposition strategy in order to parallelize the computational process and reduce the memory. The error estimates are proved for the Stokes steady‐state equation in the two‐dimensional and three‐dimensional cases. Then, the asymptotic domain decomposition procedure is applied for numerical testing and computations of the non‐Newtonian fluid simulating a real process of the polymer extrusion. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
9.
考虑信用风险的亚式期权定价 总被引:1,自引:0,他引:1
在结构化模型下,考虑标的资产的红利收益及企业债务为确定和随机两种情况,采用鞅方法得到有信用风险的连续几何平均亚式看涨和看跌期权的定价公式。且公式具有Black-Scholes平价关系。 相似文献
10.
C.B. Corcino 《数学研究及应用》2001,21(4):513-524
本文利用组合分析中的循环指示表示方法,找到了Sheffer型多项式的渐近展开公式及余项估计,文末讨论了所得渐近公式的运用范围, 相似文献
11.
利用三重尺度方法对一类小周期椭圆方程进行了三重尺度渐近展开分析,构造了对应的三重尺度形式渐近展开式,得到了均匀化常数和均匀化方程.在形式渐近展开的基础上,构造了对应边值问题解的三重尺度渐近近似解,并分析了对应三重尺度形式渐近误差估计. 相似文献
12.
Let X, X
1, X
2,... be a sequence of independent and identically distributed random variables with common distribution function F. Denote by F
n
the distribution function of centered and normed sum S
n
. Let F belong to the domain of attraction of the standard normal law , that is, lim F
n
(x)= (x), as n , uniformly in x . We obtain extended asymptotic expansions for the particular case where the distribution function F has the density p(x) = cx
––1 ln(x), x > r, where 2, , c > 0, and r > 1. We write the classical asymptotic expansion (in powers of n
–1/2) and then add new terms of orders n
–/2 ln
n, n
–/2 ln-1
n, etc., where 0. 相似文献
13.
POUZO Demian 《中国科学A辑(英文版)》2009,52(6):1157-1168
This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert
spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the
problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact
penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results
to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds;
(2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical
error in the computation of the operator.
The first anther was supported by US National Science Foundation (Grant No. SES-0631613) and the Cowles Foundation for Research
in Economics 相似文献
14.
利用匹配渐近展开法,研究了一类非线性奇异摄动方程.在适当的条件下,得出了该类问题解的渐近展开式.并将结果应用于例子,对渐近解与精确解和用两变量方法求得的解进行比较,可知所得到的渐近解达到了较高精度. 相似文献
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一类奇摄动边值问题解的套层现象 总被引:7,自引:1,他引:6
本文揭示了一类三阶半线性方程奇摄动边值问题解的“套层”现象。利用两次伸长变量的迭代,构造了解的形式渐近展开式。再用微分不等式理论,证明了该奇摄动问题渐近解的一致有效性。 相似文献
18.
摄动方法中求定积分所定义的函数的渐进展开式的各种方法被用来求一类广义振荡积分的近似值 ,而且多数情况下得到的是精确值 相似文献
19.
We construct and justify the asymptotic expansion of a solution and the corresponding energy functional of the mixed boundary-value problem for the Poisson equation in a domain with a ligament, i.e., thin curvilinear strip connecting two small parts of the boundary outside the domain. Asymptotic analysis is required in the theory of shape optimization; therefore, in contrast to other publications, we use no simplifying assumptions of the flattening of the boundary near the junction zones. 相似文献
20.
Singularperturbationofnonlinearboundaryvalueproblemswhichhavedoubleboundarylayerpropertieswerediscussedbysomeauthorsusingthemethodofdifferentialinequali ties[1 ] -[3 ] .Nonlinearboundaryvalueproblemswhichhavenotdoubleboundarylayerpropertieswerediscussedbysomeauthorsusingthemethodofthefixed_pointtheorem[4] -[6 ] .Inthispa perwewillusethefixed_pointtheoremtodiscussthethirdorderdifferentialequationswhichhavedoubleinitiallayer.Weconsiderthefollowingproblem .ε4y =h(t,y,εy′,ε2 y″,ε) ,t∈ [0 ,T… 相似文献