混合分数布朗运动环境下欧式障碍期权定价

当股票价格遵循混合分数布朗运动时,利用Δ-对冲和混合分数It8公式,建立混合分数布朗运动下欧式障碍期权定价模型,通过换元法将期权定价的偏微分方程转化为热传导方程,求得显示解.在此基础上,得到欧式障碍期权看涨-看跌平价关系式.由此,再根据敲入-敲出障碍期权关系式可推出障碍期权所有类型的定价公式.     

Influence of cross diffusions on mixed convection chemical reaction flow in a vertical channel with Navier slip: Homotopy approach

This paper is to examine the incompressible, laminar mixed convective Navier slip flow between vertical plates with cross diffusion effects. This research includes the first order chemical reaction also. The resulting equations with boundary conditions are reduced into dimensionless form using appropriate transformations. The series solutions are developed through a modern technique known as the homotopy analysis method. The convergent expressions of velocity components and temperature are derived. The influence of emerging parameters on fluid flow quantities have been presented graphically. Also, the nature of physical quantities are shown in tabular form.     

Positive solutions of nonlinear problems involving the square root of the Laplacian

We consider nonlinear elliptic problems involving a nonlocal operator: the square root of the Laplacian in a bounded domain with zero Dirichlet boundary conditions. For positive solutions to problems with power nonlinearities, we establish existence and regularity results, as well as a priori estimates of Gidas-Spruck type. In addition, among other results, we prove a symmetry theorem of Gidas-Ni-Nirenberg type.     

An optimal‐order error estimate on an H1‐Galerkin mixed method for a nonlinear parabolic equation in porous medium flow

We present an H¹‐Galerkin mixed finite element method for a nonlinear parabolic equation, which models a compressible fluid flow process in subsurface porous media. The method possesses the advantages of mixed finite element methods while avoiding directly inverting the permeability tensor, which is important especially in a low permeability zone. We conducted theoretical analysis to study the existence and uniqueness of the numerical solutions of the scheme and prove an optimal‐order error estimate for the method. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010     

标准混合差集矩阵的构造

通过利用差集矩阵和投影矩阵的正交分解之间的关系,首先提出了构造小的标准混合差集矩阵的一般方法.其次,给定一个阶为r+1的标准混合差集矩阵和一个阶为r的差集矩阵,首先提出了构造阶为r(r+1)的标准混合差集矩阵的一般方法.如果阶为r的差集矩阵不存在但一个试验次数为r~2的正交表存在,也可以通过它们构造阶数较大的标准混合差集矩阵.     

一类(k,n-k)泛函微分方程共扼边值问题的正解

在不假定非线性项f单调的前提下研究一类混合型泛函微分方程边值问题.利用锥上的不动点定理获得了所考虑问题的正解的存在性和多解性结果.     

一个具有混合核的新的Hilbert型积分不等式

通过引入参数及估算权系数,建立一个新的、具有混合核的Hilbert型积分不等式,并证明其常数因子为最佳值.作为应用,还给出了相应的等价形式及一些特殊结果.     

基于线性混合模型的艾滋病最佳治疗时机选择

本文利用美国艾滋病医疗试验机构ACTG的193A研究中的一组非平衡重复测量数据。以log(cd4+1)为体现疗效的因变量,年龄、性别为固定效应,治疗时间和滞后治疗时间为随机效应,同时考虑疗法对疗效的影响引入其与治疗时间的交互效应,建立线性混合效应模型。用SAS软件求解。再通过建立以治疗时间斜率随机效应为因变量初始logcd4为解释变量的回归模型判断艾滋病最佳治疗时机。结果表明,当初始cd4为185个/mm~3时治疗时机最佳,即为无症状感染的晚期.与美国DHHS推荐的小于200个/mm~3一致,却更为科学和精确。本研究对艾滋病治疗的临床实践具有重要的指导意义。     

非线性混合似变分不等式的扰动近似点-投影算法

In this paper we introduce a new perturbed proximal-projection algorithm for finding the common element of the set of fixed points of non-expansive mappings and the set of solutions of nonlinear mixed variational-like inequalities. The convergence criteria of the iterative sequences generated by the new iterative algorithm is also given. Our approach and results generalize many known results in this field.     

Finite energy solutions of self‐adjoint elliptic mixed boundary value problems

This paper describes existence, uniqueness and special eigenfunction representations of H¹‐solutions of second order, self‐adjoint, elliptic equations with both interior and boundary source terms. The equations are posed on bounded regions with Dirichlet conditions on part of the boundary and Neumann conditions on the complement. The system is decomposed into separate problems defined on orthogonal subspaces of H¹(Ω). One problem involves the equation with the interior source term and the Neumann data. The other problem just involves the homogeneous equation with Dirichlet data. Spectral representations of the solution operators for each of these problems are found. The solutions are described using bases that are, respectively, eigenfunctions of the differential operator with mixed null boundary conditions, and certain mixed Steklov eigenfunctions. These series converge strongly in H¹(Ω). Necessary and sufficient conditions for the Dirichlet part of the boundary data to have a finite energy extension are described. The solutions for a problem that models a cylindrical capacitor is found explicitly. Copyright © 2009 John Wiley & Sons, Ltd.