标的资产价格服从跳-扩散过程的具有随机寿命的未定权益定价

本文在假设被终止或取消的风险与重大信息导致的标的资产价格跳跃的风险为非系统风险的情况下,应用无套利资本资产定价,推导出了标的的资产的价格服从跳-扩散过程具有随机寿命的未定权益满足的偏微分方程,然后应用Feynman-kac公式获得了未定权益的定价公式.     

Formation and hydrogenation of p(2 × 2)-N on Pt(1 1 1)

The formation of a well-ordered p(2 × 2) overlayer of atomic nitrogen on the Pt(1 1 1) surface and its reaction with hydrogen were characterized with reflection absorption infrared spectroscopy (RAIRS), temperature programmed desorption (TPD), low energy electron diffraction (LEED), Auger electron spectroscopy (AES), and X-ray photoelectron spectroscopy (XPS). The p(2 × 2)-N overlayer is formed by exposure of ammonia to a surface at 85 K that is covered with 0.44 monolayer (ML) of molecular oxygen and then heating to 400 K. The reaction between ammonia and oxygen produces water, which desorbs below 400 K. The only desorption product observed above 400 K is molecular nitrogen, which has a peak desorption temperature of 453 K. The absence of oxygen after the 400 K anneal is confirmed with AES. Although atomic nitrogen can also be produced on the surface through the reaction of ammonia with an atomic, rather than molecular, oxygen overlayer at a saturation coverage of 0.25 ML, the yield of surface nitrogen is significantly less, as indicated by the N₂ TPD peak area. Atomic nitrogen readily reacts with hydrogen to produce the NH species, which is characterized with RAIRS by an intense and narrow (FWHM ∼ 4 cm⁻¹) peak at 3322 cm⁻¹. The areas of the H₂ TPD peak associated with NH dissociation and the XPS N 1s peak associated with the NH species indicate that not all of the surface N atoms can be converted to NH by the methods used here.     

The Linear Fokker-Planck Equation for the Ornstein-Uhlenbeck Process as an (Almost) Nonlinear Kinetic Equation for an Isolated N-Particle System

It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a heat bath of fixed temperature. Apparently, it is not so well known that the same partial differential equation, but now with constant coefficients which are functionals of the solution itself rather than being prescribed, describes the kinetic evolution (in the N→∞ limit) of an isolated N-particle system with certain stochastic interactions. Here we discuss in detail this recently discovered interpretation. An erratum to this article can be found at     

Cosmic dust and our origins

The small solid particles in the space between the stars provide the surfaces for the production of many simple and complex molecules. Processes involving the effects of ultraviolet irradiation of the thin (hundredth micron) mantles are shown to produce a wide range of molecules and ions also seen in comets. Some of the more complex ones inferred from laboratory experiments are expected to play an important role in the origin of life. An outline of the chemical evolution of interstellar dust as observed and as studied in the laboratory is presented. Observations of comets are shown to provide substantial evidence for their being fluffy aggregates of interstellar dust as it was in the protosolar nebula, i.e. the interstellar cloud which collapsed to form the solar system. The theory that comets may have brought the progenitors of life to the earth is summarized.     

约束层对激光驱动冲击波压力影响机理的理论研究

针对刚性约束层、柔性约束层以及液体约束层，从激光诱导冲击波阵面状态、汽化物(包括气体和等离子体)扩散以及冲击波的反射进行分析，发现对于脉宽小于冲击波通过汽化物层的时间间隔的短脉冲激光，约束层并不能直接提高冲击波的冲量，而对于脉宽大于冲击波通过汽化层时间间隔的激光，其增强冲击效果是通过约束汽化物的扩散，提高压力幅值和由于冲击波在约束层与工件表面的多次反射而延长对工件的作用时间来实现的.刚性约束层能最大地增加冲击冲量，而柔性约束层和液体约束层的主要优点是其形状可与非平面形工件表面符合. 关键词： 激光 约束层 扩散 反射波     

Numerical solution of the three‐dimensional parabolic equation with an integral condition

Developement of numerical methods for obtaining approximate solutions to the three dimensional diffusion equation with an integral condition will be carried out. The numerical techniques discussed are based on the fully explicit (1,7) finite difference technique and the fully implicit (7,1) finite difference method and the (7,7) Crank‐Nicolson type finite difference formula. The new developed methods are tested on a problem. Truncation error analysis and numerical examples are used to illustrate the accuracy of the new algorithms. The results of numerical testing show that the numerical methods based on the finite difference techniques discussed in the present article produce good results. © 2002 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 18: 193–202, 2002; DOI 10.1002/num.1040     

Co-Segregation Effects on Boundary Migration

We analyze the effect of co-segregation on the mobility of grain boundaries within the framework of the impurity drag theory originally proposed by Cahn and Lücke and Stüwe for an ideal solution. The new derivation extends this model to the case where there are two types of impurities (or three components in the alloy). Since the resultant expression for the boundary mobility is complicated, numerical solutions were obtained for several cases to show how co-segregation affects the boundary mobility. Depending on the relative diffusivities of the two impurities which are both attracted to the boundary, the mobility may either increase or decrease with increasing concentration of one of the impurities. When one of the impurities is attracted to the boundary and the other repelled from the boundary, increasing the concentration of the attractive impurity can lead to a sharp decrease in the boundary mobility.     

Likelihood Ratio Processes for Markovian Particle Systems with Killing and Jumps

We consider Markov processes built from pasting together pieces of strong Markov processes which are killed at a position dependent rate and connected via a transition kernel. We give necessary and sufficient conditions for local absolute continuity of probability laws for such processes on a suitable path space and derive an explicit formula for the corresponding likelihood ratio process. The main tool is the consideration of the process between successive jumps – what we call ‘elementary experiments’ – and criteria for absolute continuity of laws of the process there. We apply our results to systems of branching diffusions with interactions and immigrations. This revised version was published online in June 2006 with corrections to the Cover Date.     

Absorbing boundary conditions for reaction-diffusion equations

We treat here of the question of absorbing boundary conditionsfor nonlinear diffusion equations. We use the conditions designedfor the linear equation, we prove them to be well posed forthe nonlinear problem, and through numerical experiments thatthey are well suited for reaction–diffusion equations.     

What Oxidation State of Iron Determines the Amethyst Colour?

A colourless quartz crystal doped with ⁵⁷Fe³⁺ was obtained by hydrothermal synthesis in an NH₄F solution. The crystal was transformed into violet amethyst by gamma-irradiation. The change in colour was accompanied by changes in the Mössbauer spectrum that can be interpreted as the conversion of trivalent iron into the tetravalent state: Fe³⁺→Fe⁴⁺.