Markov调制Lévy模型定价的Fourier-Cos方法

对一般的Markov调制Lévy模型,利用Fourier Cosine级数展开原理得到欧式期权价格的计算方法.进一步,为了改进期权定价的Fourier Cosine级数展开方法的计算精度,Fourier Cosine级数展开的对象进行了修正,获得了欧式期权价格的修正Fourier Cosine级数展开计算方法.此外,还将获得的方法应用于Markov调制Black-Scholes模型,Markov调制Merton跳扩散模型和Markov调制CGMY Lévy模型期权定价的计算.具体的数值计算说明:修正Fourier Cosine级数展开方法应与Fourier Cosine级数展开方法相比,收敛速度要慢一些,但准确性却有很大的提高.特别是对Markov调制纯跳模型,效果更为显著.     

正交各向异性板的非对称大变形问题

从各向异性板的基本理论出发,推导出正交各向异性圆板的非对称大变形基本方程,利用Fourier级数把问题的偏微分方程转化为一组可积分求解的非线性常微分方程,并给出利用迭代法求解该问题的基本方法.     

Markov调制L′evy模型定价的Fourier-Cos方法

对一般的Markov调制L′evy模型,利用Fourier Cosine级数展开原理得到欧式期权价格的计算方法。进一步,为了改进期权定价的Fourier Cosine级数展开方法的计算精度, Fourier Cosine级数展开的对象进行了修正,获得了欧式期权价格的修正Fourier Cosine级数展开计算方法。此外,还将获得的方法应用于Markov调制Black-Scholes模型, Markov调制Merton跳扩散模型和Markov调制CGMY L′evy模型期权定价的计算。具体的数值计算说明：修正Fourier Cosine级数展开方法应与Fourier Cosine级数展开方法相比,收敛速度要慢一些,但准确性却有很大的提高。特别是对Markov调制纯跳模型,效果更为显著。     

等周问题求解新探索

将实型Fourier级数延拓成复型Fourier级数,利用复型的Fourier级数和数学分析中的格林公式以及参数方程,借助Parseval等式,对等周问题进行求解.     

无拉力Winkler地基上自由边矩形薄板的弯曲

本文应用Fourier级数加补充项的方法求解了无拉力Winkler地基上自由边矩形薄板的弯曲问题.通过适当设定满足可导条件的Fourier级数加补充项形式的挠度函数,把给定边界条件下的微分方程化成一个无穷代数方程组.因接触区的边界预先不能定出,故这组方程为弱非线性方程.使用迭代法获得解答.     

一类非线性强阻尼扰动发展方程的解

研究了在数学、力学中广泛出现的一类三阶非线性强阻尼发展扰动偏微分方程,并求其近似解析解.首先,构造一个泛函同伦映射,将方程的解表示以人工参数的幂级数形式,代入同伦映射,得到一个非线性扰动方程解的逐次迭代关系式,并考虑对应的一个无扰动项情形下的强阻尼发展方程,利用Fourier变换理论,求出其精确解.其次,以得到的精确解为同伦映射迭代式的初始函数,通过非线性扰动方程解的迭代关系式,再用Fourier变换法求解对应的方程.最后,便依次地得到了非线性强阻尼发展扰动偏微分方程的各次近似解析解.用上述方法得到的各次近似解,具有便于求解、精度高等特点.     

矩形网格扁壳结构的非线性振动

本文运用作者已建立的矩形网格扁壳的非线性弹性理论,求解了该类结构的非线性振动问题。通过采用横向挠度（网格节点横向位移）和力函数的某种（广义）Fourier级数形式的设定解,由试函数的加权得到解中系数之间的关系和决定时间未知函数的振动方程,然后利用正则摄动法和迦辽金法推导出结构自由振动和谐和激励作用下结构非线性受迫振动的幅频关系,并给出了计算实例。     

一类非线性Klein-Gordon方程的数值解

本文主要研究了一类非线性Klein-Gordon方程.利用Fourier谱方法对一类非线性Klein-Gordon方程的求解,给出了求解的离散过程,并通过了数值模拟与文献结果进行了对比.结果表明这种方法对于求解此类非线性Klein-Gordon方程具有很好的效果.     

有理Fourier级数在变差条件下的收敛性研究

本文把Fourier级数的一些经典结论推广到有理Fourier级数的情况下. 首先给出了有理Fourier级数和共轭有理Fourier级数在有界变差条件下的收敛速度估计. 利用此结论, 得到了类似于Fourier级数的Dirichlet-Jordan定理和W. H. Young定理. 最后, 证明了这两个定理在调和有界变差条件下也成立.     

周期函数Fourier级数展开式的唯一性

以 2 l为周期的函数 f(x)也可看作周期为 2 kl(k=1 ,2 ,3 ,… ) .设 f(x)满足 Dirichlet充分条件 ,[2 ]证明了按 [1 ]方法展开的以 2 l为周期的 Fourier级数和以 4l为周期的 Fourier级数对应的不同表达形式是一致的 .本文则在 [2 ]的基础上 ,进一步证明了按 [1 ]方法展开的以 2 l为周期的 Fourier级数和以 2 kl(k=1 ,2 ,3 ,… )为周期的 Fourier级数对应的表达式的一致性 ,从而得出结论 :任一周期函数 f(x)按 [1 ]方法展开的Fourier级数是唯一的 .     

A numerical study for the KdV and the good Boussinesq equations using Fourier Chebyshev tau meshless method

The current paper presents a scheme, which combines Fourier spectral method and Chebyshev tau meshless method based on the highest derivative (CTMMHD) to solve the nonlinear KdV equation and the good Boussinesq equation. Fourier spectral method is used to approximate the spatial variable, and the problem is converted to a series of equations with Fourier coefficients as unknowns. Then, CTMMHD is applied blockwise in time direction. For the long time computing of solitons, we introduce the computational area moving technique. The numerical results show that the accuracy of Fourier-CTMMHD is good and the computational area moving technique makes the long-time numerical behavior well for the problems with solitons moving towards the same direction.     

关于一类具阻尼项的非线性波方程的Cauchy问题

The paper concerns with the existence, uniqueness and nonexistence of global solution to the Cauchy problem for a class of nonlinear wave equations with damping term. It proves that under suitable assumptions on nonlinear the function and initial data the above-mentioned problem admits a unique global solution by Fourier transform method. The sufficient conditions of nonexistence of the global solution to the above-mentioned problem are given by the concavity method.     

Mixed value problem for nonlinear integro-differential equation with parabolic operator of higher power

We study the questions of one-valued solvability of mixed value problem for nonlinear integro-differential equation, consisting a parabolic operator of higher power. By the aid of Fourier series of separation variables the considering problem we can reduce to study the countable system of nonlinear integral equations, one-valued solvability of which will be proved by the method of successive approximations. The convergence of Fourier series will be studied by means of integral identity.     

The inverse scattering transform: Tools for the nonlinear fourier analysis and filtering of ocean surface waves

Surface wave data from the Adriatic Sea are analysed in the light of new data analysis techniques which may be viewed as a nonlinear generalization of the ordinary Fourier transform. Nonlinear Fourier analysis as applied herein arises from the exact spectral solution to large classes of nonlinear wave equations which are integrable by the inverse scattering transform (IST). Numerical methods are discussed which allow for implementation of the approach as a tool for the time series analysis of oceanic wave data. The case for unidirectional propagation in shallow water, where integrable nonlinear wave motion is governed by the Korteweg-deVries (KdV) equation with periodic/quasi-periodic boundary conditions, is considered. Numerical procedures given herein can be used to compute a nonlinear Fourier representation for a given measured time series. The nonlinear oscillation modes (the IST ‘basis functions’) of KdV obey a linear superposition law, just as do the sine waves of a linear Fourier series. However, the KdV basis functions themselves are highly nonlinear, undergo nonlinear interactions with each other and are distinctly non-sinusoidal. Numerical IST is used to analyse Adriatic Sea data and the concept of nonlinear filtering is applied to improve understanding of the dominant nonlinear interactions in the measured wavetrains.     

Forward residue harmonic balance for autonomous and non-autonomous systems with fractional derivative damping

Both the autonomous and non-autonomous systems with fractional derivative damping are investigated by the harmonic balance method in which the residue resulting from the truncated Fourier series is reduced iteratively. The first approximation using a few Fourier terms is obtained by solving a set of nonlinear algebraic equations. The unbalanced residues due to Fourier truncation are considered iteratively by solving linear algebraic equations to improve the accuracy and increase the number of Fourier terms of the solutions successively. Multiple solutions, representing the occurrences of jump phenomena, supercritical pitchfork bifurcation and symmetry breaking phenomena are predicted analytically. The interactions of the excitation frequency, the fractional order, amplitude, phase angle and the frequency amplitude response are examined. The forward residue harmonic balance method is presented to obtain the analytical approximations to the angular frequency and limit cycle for fractional order van der Pol oscillator. Numerical results reveal that the method is very effective for obtaining approximate solutions of nonlinear systems having fractional order derivatives.     

Approximative capabilities of “Smolyak type” computational aggregates with Dirichlet,Fejér and Valleé-Poussin kernels in the scale of Ul’yanov classes

In Ul’yanov classes, we compare computational aggregates constructed by the method of tensor products of functionals by means of trigonometric Fourier series.     

The scaled boundary FEM for nonlinear problems

The traditional scaled boundary finite-element method (SBFEM) is a rather efficient semi-analytical technique widely applied in engineering, which is however valid mostly for linear differential equations. In this paper, the traditional SBFEM is combined with the homotopy analysis method (HAM), an analytic technique for strongly nonlinear problems: a nonlinear equation is first transformed into a series of linear equations by means of the HAM, and then solved by the traditional SBFEM. In this way, the traditional SBFEM is extended to nonlinear differential equations. A nonlinear heat transfer problem is used as an example to show the validity and computational efficiency of this new SBFEM.     

Multigrid preconditioning for time-periodic Navier–Stokes problems

We propose to solve time-periodic Navier–Stokes problems by a discrete Fourier transform in time. Truncating the Fourier series yields a nonlinear system of equations for the unknown Fourier coefficients. Its solution by Picard iteration requires to solve a sequence of linear systems of equations. The focus of this work is on an efficient method to solve these linear systems. We employ GMRES, complemented by an optimal block triangular preconditioner. (© 2015 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

An efficient computational method for the optimal control problem for the Burgers equation

Pointwise control of the viscous Burgers equation in one spatial dimension is studied with the objective of minimizing the distance between the final state function and target profile along with the energy of the control. An efficient computational method is proposed for solving such problems, which is based on special orthonormal functions that satisfy the associated boundary conditions. Employing these orthonormal functions as a basis of a modal expansion method, the solution space is limited to the smallest lower subspace that is sufficient to describe the original problem. Consequently, the Burgers equation is reduced to a set of a minimal number of ordinary nonlinear differential equations. Thus, by the modal expansion method, the optimal control of a distributed parameter system described by the Burgers equation is converted to the optimal control of lumped parameter dynamical systems in finite dimension. The time-variant control is approximated by a finite term of the Fourier series whose unknown coefficients and frequencies giving an optimal solution are sought, thereby converting the optimal control problem into a mathematical programming problem. The solution space obtained is based on control parameterization by using the Runge–Kutta method. The efficiency of the proposed method is examined using a numerical example for various target functions.     

关于波动方程混合问题的特征线方法

传统的求解1维波动方程混合问题的方法是分离变量法，进而解出该问题的Fourier级数解，本文将用特征线方法给出该问题在求解区域内解的显式表达式。