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971.
972.
随着金融市场的不断发展, 期权作为一种能够规避风险的金融衍生产品越来越引起投资者的青睐, 成交量呈逐年上升的趋势, 期权定价问题已经成为金融数学领域中一个重要的研究课题. 本文主要研究Black-Scholes模型下美式回望期权定价问题的数值解法. 美式回望期权定价问题是一个二维非线性抛物问题, 难以直接应用数值方法进行求解. 通过分析该问题的求解难点, 本文给出解决该困难的有效方法. 首先利用计价单位变换将定价问题转换为一维自由边值问题, 并采用Landau's变换将求解区域规范化; 而后针对问题的非线性特点,利用有限体积法和Newton法交替迭代求解期权价格和最佳实施边界, 并对数值解的非负性进行了分析. 最后, 通过与二叉树方法进行比较, 验证了本文方法的正确性和有效性, 为实际应用提供了理论基础. 相似文献
973.
Chen Chen Shuyu Hou Dacheng Ren Mingming Ren Qi Wang 《Mathematical Methods in the Applied Sciences》2015,38(18):4461-4478
We develop a numerical predictive tool for multiphase fluid mixtures consisting of biofilms grown in a viscous fluid matrix by implementing a second‐order finite difference discretization of the multiphase biofilm model developed recently on a general purpose graphic processing unit. With this numerical tool, we study a 3‐D biomass–flow interaction resulting in biomass growth, structure formation, deformation, and detachment phenomena in biofilms grown in a water channel in quiescent state and subject to a shear flow condition, respectively. The numerical investigation is limited in the viscous regime of the biofilm–solvent mixture. In quiescent flows, the model predicts growth patterns consistent with experimental findings for single or multiple adjacent biofilm colonies, the so‐called mushroom shape growth pattern. The simulated biomass growth both in density and thickness matches very well with the experimentally grown biofilm in a water channel. When shear is imposed at a boundary, our numerical studies reproduce wavy patterns, pinching, and streaming phenomena observed in biofilms grown in a water channel. Copyright © 2014 John Wiley & Sons, Ltd. 相似文献
974.
975.
The classical Strong Szegö-Widom Limit Theorem describes the asymptotic behavior of the determinants of the finite sections PnT(a)Pn of Toeplitz operators, i.e., of operators which have constant entries along each diagonal. We generalize these results to operators which have almost periodic sequences as their diagonals. 相似文献
976.
977.
C. Thai-HoangN. Nguyen-Thanh H. Nguyen-Xuan T. Rabczuk 《Applied mathematics and computation》2011,217(17):7324-7348
This paper presents an alternative alpha finite element method using triangular meshes (AαFEM) for static, free vibration and buckling analyses of laminated composite plates. In the AαFEM, an assumed strain field is carefully constructed by combining compatible strains and additional strains with an adjustable parameter α which can produce an effectively softer stiffness formulation compared to the linear triangular element. The stiffness matrices are obtained based on the strain smoothing technique over the smoothing domains and the constant strains on triangular sub-domains associated with the nodes of the elements. The discrete shear gap (DSG) method is incorporated into the AαFEM to eliminate transverse shear locking and an improved triangular element termed as AαDSG3 is proposed. Several numerical examples are then given to demonstrate the effectiveness of the AαDSG3. 相似文献
978.
In this paper, we examine the method of characteristic-mixed finite element for the approximation of convex optimal control problem governed by time-dependent convection-diffusion equations with control constraints. For the discretization of the state equation, the characteristic finite element is used for the approximation of the material derivative term (i.e., the time derivative term plus the convection term), and the lowest-order Raviart-Thomas mixed element is applied for the approximation of the diffusion term. We derive some a priori error estimates for both the state and control approximations. 相似文献
979.
Let L be a lattice. A function f:L→R (usually called evaluation) is submodular if f(x∧y)+f(x∨y)≤f(x)+f(y), supermodular if f(x∧y)+f(x∨y)≥f(x)+f(y), and modular if it is both submodular and supermodular. Modular functions on a finite lattice form a finite dimensional vector space. For finite distributive lattices, we compute this (modular) dimension. This turns out to be another characterization of distributivity (Theorem 3.9). We also present a correspondence between isotone submodular evaluations and closure operators on finite lattices (Theorem 5.5). This interplay between closure operators and evaluations should be understood as building a bridge between qualitative and quantitative data analysis. 相似文献
980.
In this article, a new stable nonconforming mixed finite element scheme is proposed for the stationary Navier-Stokes equations, in which a new low order CrouzeixRaviart type nonconforming rectangular element is taken for approximating space for the velocity and the piecewise constant element for the pressure. The optimal order error estimates for the approximation of both the velocity and the pressure in L2-norm are established, as well as one in broken H1-norm for the velocity. Numerical experiments are given which are consistent with our theoretical analysis. 相似文献