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11.
We address two common major problems in the study of time series characterizing fluctuations in complex systems: multifractal analysis and multifractal modeling. Specifically, we introduce a multi-fractal centered moving average (MF-CMA) analysis, which is computationally easier but equivalently performing compared with the well-established multi-fractal detrended fluctuation analysis (MF-DFA) with linear detrending. In addition, we study in detail a generalized binomial multi-fractal model (GB-MFM) to conveniently and reliably generate multifractal surrogate data with arbitrary singularity strengths and arbitrary long-term persistence. We use the data generated by this model as well as realistic, by construction monofractal data series with crossovers and trends to test and compare the multifractal analysis methods and discuss finite-size effects as well as limitations due to spurious multifractality. 相似文献
12.
B. J. Uscinski 《Waves in Random and Complex Media》2005,15(4):437-450
We consider the intensity fluctuations arising when a point source of radiation moves in a randomly inhomogeneous scattering medium. The medium itself can also move with a velocity whose component normal to the direction of propagation can have an arbitrary distribution. We derive an expression for the space-time autocorrelation function of the intensity fluctuations transverse to the direction of propagation. The result is analysed for some particular cases and it is shown how the resulting information can be useful in examining the behaviour of random media in situations of practical interest. 相似文献
13.
Twist stiffness and an asymmetric bending stiffness of a polymer or a polymer bundle is captured by the elastic ribbon model.
We investigate the effects a ring geometry induces to a thermally fluctuating ribbon, finding bend-bend coupling in addition
to twist-bend coupling. Furthermore, due to the geometric constraint the polymer's effective bending stiffness increases.
A new parameter for experimental investigations of polymer bundles is proposed: the mean square diameter of a ribbonlike ring,
which is determined analytically in the semiflexible limit. Monte Carlo simulations are performed which affirm the model's
prediction up to high flexibility. 相似文献
14.
We propose a method for analyzing the data for the rates of exchange of various currencies versus the U.S. dollar. The method analyzes the return time series of the data as a Markov process, and develops an effective equation which reconstructs it. We find that the Markov time scale, i.e., the time scale over which the data are Markov-correlated, is one day for the majority of the daily exchange rates that we analyze. We derive an effective Langevin equation to describe the fluctuations in the rates. The equation contains two quantities, D(1) and D(2), representing the drift and diffusion coefficients, respectively. We demonstrate how the two coefficients are estimated directly from the data, without using any assumptions or models for the underlying stochastic time series that represent the daily rates of exchange of various currencies versus the U.S. dollar. 相似文献
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17.
N. G. van Kampen 《Journal of statistical physics》1981,24(1):175-187
A survey is given of the facts and fancies concerning the nonlinear Langevin or Itô equation. Actually, it is merely a pre-equation, which becomes an equation when an interpretation rule is added. The rules of Itô and Stratonovich differ, but both are mathematically consistent and therefore equally admissible conventions. The reason why they seem to lead to physical differences is that the Langevin approach used to arrive at the equation involves a tacit assumption. For systems with external noise this assumption can be justified, and it is then clear that the Stratonovich rule applies. Systems with internal noise, however, can only be properly described by a master equation and the Itô-Stratonovich controversy never enters. Afterward one is free to model the resulting fluctuations either with an Itô or a Stratonovich scheme, but that does not lead to any new information. 相似文献
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19.
Gonzalo R. Mendieta 《随机分析与应用》2013,31(1):75-88
Infinitesimal Analysis is used to give two constructions of the brownian bridge process. In the first construction a hyperfinite tied down random walk is used and a brownian bridge is obtained via the standard part map. As a consequence it is shown that the brownian bridge is the weak limit of a sequence of normalized tied down random walks. The second construction is based on a hyperfinite uniform empirical process. This construction gives an almost trivial proof of Donsker's Invariance Principle for the uniform empirical process 相似文献
20.
Finken R Lamura A Seifert U Gompper G 《The European physical journal. E, Soft matter》2008,27(3):309-321
The stochastic motion of a two-dimensional vesicle in linear shear flow is studied at finite temperature. In the limit of
small deformations from a circle, Langevin-type equations of motion are derived, which are highly nonlinear due to the constraint
of constant perimeter length. These equations are solved in the low-temperature limit and using a mean-field approach, in
which the length constraint is satisfied only on average. The constraint imposes non-trivial correlations between the lowest
deformation modes at low temperature. We also simulate a vesicle in a hydrodynamic solvent by using the multi-particle collision
dynamics technique, both in the quasi-circular regime and for larger deformations, and compare the stationary deformation
correlation functions and the time autocorrelation functions with theoretical predictions. Good agreement between theory and
simulations is obtained. 相似文献