基于FFT的区域变换对数均匀跳扩散模型期权定价

本文考虑具有区域变换跳跃幅度服从对数均匀分布的跳扩散模型的期权定价问题.本文给出了这样模型的期权定价方法和计算过程,当中采用了FFT(快速傅里叶变换法),最后给出了数值计算结果.     

一类非线性扩散系统非平凡非负周期解的存在性

In this paper,by the method of upper and lower solutions,we establish the existence of the non-trivial nonnegative periodic solutions for a class of degenerate diffusion system arising from dynamics of biological groups.     

Existence of Non-trivial Nonnegative Periodic Solutions for a Nonlinear Diffusion System

In this paper, by the method of upper and lower solutions, we establish the existence of the non-trivial nonnegative periodic solutions for a class of degenerate diffusion system arising from dynamics of biological groups.     

ASYMPTOTIC BEHAVIOR OF THE POSITIVE SOLUTION OF A NONAUTONOMOUS FOOD-CHAIN MODEL WITH DIFFUSION

A nonautonomous food-chain system with diffusion is investigated in this paper, whose coefficients asymptotically approach periodic functions. Under some sufficient conditions all positive solutions of the system asymptotically approach the periodic solution of the corresponding periodic system, by using comparison theorem and constructing Lyapunov-type functions.     

一类捕食者—食饵系统的时间周期解的存在性与稳定性

本文讨论一类捕食者－食饵系统的反应扩散方程组,运用分歧理论,隐函数定理以及渐近开展的方法,获得了共存周期解的存在性与稳定性的结果。     

PERMANENCE,PERIODIC AND ALMOST PERIODIC SOLUTIONS OF NONAUTONOMOUS STAGE STRUCTURED POPULATION DYNAMICS WITH TIME DELAY AND DIFFUSION

A nonautonomous stage-structured two species model with time delay anddiffusion is considered. It is shown that the system is uniformly persistent undersome conditions. By discussing the independent subsystem, more brief sufficientconditions are drawn for a unique positive periodic solution which is globallyattractive and the existence of the positive almost periodic solution which isuniformly asymptotically stable by the Razumikhin function method.     

一类具有无穷时滞竞争扩散模型的周期解的存在性

本文研究了一类具有无穷时滞竞争扩散模型的周期解问题,采用了上下解的方法,获得了周期解的存在性,并给出了解的渐近性态.     

具无穷时滞竞争扩散系统周期解的唯一性

研究了一类具有无穷时滞竞争扩散模型的周期解问题,采用了上下解的方法,获得了周期解的存在唯一性,并给出了解的渐近性态.     

Robust numerical methods for contingent claims under jump diffusion processes

An implicit method is developed for the numerical solution ofoption pricing models where it is assumed that the underlyingprocess is a jump diffusion. This method can be applied to avariety of contingent claim valuations, including American options,various kinds of exotic options, and models with uncertain volatilityor transaction costs. Proofs of timestepping stability and convergenceof a fixed-point iteration scheme are presented. For typicalmodel parameters, it is shown the error is reduced by two ordersof magnitude at each iteration. The correlation integral iscomputed using a fast Fourier transform method. Numerical testsof convergence for a variety of options are presented.     

On the stability of diffusion processes with state-dependent switching

In this paper we consider the stability for diffusion processes with state-dependent switching. We first prove their Feller continuity by the coupling methods. Furthermore, we also prove their strong Feller continuity and their exponential ergodicity under some reasonable conditions. Finally, we append a very brief discussion about the regularity of these processes.     

Feller property and exponential ergodicity of diffusion processes with state-dependent switching

In this paper we consider the Feller property and the exponential ergodicity for general diffusion processes with state-dependent switching. We prove their Feller continuity by means of intro- ducing some auxiliary processes and by making use of the Radon-Nikodym derivatives. Furthermore, we also prove their strong Feller continuity and their exponential ergodicity under some reasonable conditions.     

一类非自治系统的周期解

本文运用重合度理论研究一类非自治非线性系统的周期解问题,得到一些有关存在性,唯一性和稳定性的新结果。     

高维非自治系统非平凡周期解的存在性

本文利用非线性泛函分析中锥的理论，讨论了ｎ维非自治系统ｘ＝Ａ（ｔ）ｘ＋ｇ（ｔ，ｘ）ｘ∈Ｒ＾ｎ产工得到了系统（１）存在非平凡ω周期解的充分条件。