金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

On the deformation and fracture of porous materials

The constitutive behavior of porous materials (including the yield loci, the void growth rate, the macro stress-strain relation and the strain to localization instability) is examined based on the lower bound approach proposed by the present authors. These results are then compared with the experimental and the finite element results as well as those predicted by Gurson's equations. Emphasis is placed on approaching the real behavior from the upper and the lower bound analysis. Calculation is also made on the influence of void nucleation on the critical strain to instability and a modified strain-controlled nucleation criterion is proposed. Finally the instability and fracture of AISI4340 steel in plane strain tension is examined and comparison is made between theoretical and experimental results.     

低噪音摩阻复台材料影响因素的探讨

采用动态粘弹谱仪（ＤＤＶ）、电子扫描显微镜（ＳＥＭ）和摩擦试验机等对影响摩阻复合材料制动噪音的因素进行了探讨。结果表明，摩阻材料基体的合理改性以提高其损耗角正切ｔａｎδ对减少振动、降低噪音行之有效。同时对传统解决噪音的方法，如添加固体润滑剂、橡胶共混等进行了分析比较。     

A STUDY OF J-INTEGRAL OF THE ORTHOTROPIC COMPOSITE MATERIAL

ＡＳＴＵＤＹＯＦＪ－ＩＮＴＥＧＲＡＬＯＦＴＨＥＯＲＴＨＯＴＲＯＰＩＣＣＯＭＰＯＳＩＴＥＭＡＴＥＲＩＡＬＷａｎｇＡｉ－ｑｉｎ（王蔼勤）；ＦｅｎｇＢａｏ－ｌｉａｎ（冯宝莲）；ＹａｎｇＷｅｉ－ｙａｎｇ（杨维阳）（ＴａｉｙｕａｎＨｅａｖｙＭａｃｈｉｎｅｒｙ．...     

NEW ALTERNATING DIRECTION FINITE ELEMENT SCHEME FOR NONLINEAR PARABOLIC EQUATION

A new alternating direction (AD) finite element (FE) scheme for 3-dimensional nonlinear parabolic equation and parabolic integro-differential equation is studied. By using AD, the 3-dimensional problem is reduced to a family of single space variable problems, calculation work is simplified; by using FE, high accuracy is kept; by using various techniques for priori estimate for differential equations such as inductive hypothesis reasoning, the difficulty arising from the nonlinearity is treated. For both FE and ADFE schemes, the convergence properties are rigorously demonstrated, the optimal H1-and L2-norm space estimates and the 0((△t)2) estimate for time variable are obtained.     

一类广义非线性混合拟变分包含组

本文引入了一类新的带松弛单调映射和松弛Lipschitz映射的广义非线性混合拟变分包含组 ,构造了求解该类变分包含组的迭代算法 ,证明了该类变分包含组解的存在性以及由本文构造的迭代算法产生的迭代序列的强收敛性 .所得结果推广和改进了大量文献中的最新结果[1 5 ] .     

Oscillations of the Solutions of Nonlinear Delay Hyperbolic Partial Differential Equations

In this paper, oscillatory properties of solutions of certain hyperbolic partial differential equations with multi-delays are investigated and a series of sufficient conditions for oscillations of the equations are established. The results fully indicate that the oscillations are caused by delays.     

Projector formalism of generalized Brownian motion theory applied to dissipative and noisy systems

The projector formalism of Zwanzig-Mori type is extended to obtain generalized Fokker-Planck and generalized nonlinear Langevin equations for coarse-grained variables when the underlying microscopic dynamics is dissipative and noisy (stochastic).     

Influence of Relative Permeability on the Stability Characteristics of Immiscible Flow in Porous Media

Relative permeability functions for immiscible displacements in porous media show a wide range of profiles. Although, this behavior is well known, its impact on the stability of the displacement process is unexplored. Our analysis clearly demonstrates for the first time that the viscous instability characteristics of two-phase flows are governed not only by their end point values, but are strongly dependent on the actual profile of relative permeability functions. Linear stability analysis predicts the capacity of the flow to develop large scale fingers which can result in substantial bypassing of the resident fluid. It is observed that relative permeability functions attributed to drainage processes yield a more unstable displacement as compared to functions related to imbibition processes. Moreover, instability is observed to increase for those relative permeability functions which result from increased wettability of the wetting fluid. High accuracy numerical simulations show agreement with these predictions and demonstrate how large amplitude viscous fingers result in significant bypassing for certain relative permeability functions. In the nonlinear regime, the finger amplitude grows at a rate ∝ t^1/2 initially, drops to t^1/4 at a later time and finally grows ∝ t. The basic mechanisms of finger interaction, however, are not substantially influenced by relative permeability functions.