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41.
Dong Sheng WU Yi Min XIAO 《数学学报(英文版)》2007,23(4):613-622
Let B^α = {B^α(t),t E R^N} be an (N,d)-fractional Brownian motion with Hurst index α∈ (0, 1). By applying the strong local nondeterminism of B^α, we prove certain forms of uniform Hausdorff dimension results for the images of B^α when N 〉 αd. Our results extend those of Kaufman for one-dimensional Brownian motion. 相似文献
42.
LIKAITAI HEYINNIAN XIANGYIMIN 《高校应用数学学报(英文版)》1994,9(1):11-30
This paper deals with the inertial manifold and the approximate inertial manifold concepts of the Navier-Stokes equations with nonhomogeneous boundary conditions and inertial algorithm. Furtheremore, we provide the error estimates of the approximate solutions of the Navier-Stokes Equations. 相似文献
43.
Consider a queueing system where customers arrive at a circle according to a homogeneous Poisson process. After choosing their positions on the circle, according to a uniform distribution, they wait for a single server who travels on the circle. The server's movement is modelled by a Brownian motion with drift. Whenever the server encounters a customer, he stops and serves this customer. The service times are independent, but arbitrarily distributed. The model generalizes the continuous cyclic polling system (the diffusion coefficient of the Brownian motion is zero in this case) and can be interpreted as a continuous version of a Markov polling system. Using Tweedie's lemma for positive recurrence of Markov chains with general state space, we show that the system is stable if and only if the traffic intensity is less than one. Moreover, we derive a stochastic decomposition result which leads to equilibrium equations for the stationary configuration of customers on the circle. Steady-state performance characteristics are determined, in particular the expected number of customers in the system as seen by a travelling server and at an arbitrary point in time. 相似文献
44.
THE STEP-TRANSITION OPERATORS FOR MULTI-STEP METHODS OF ODE'S 总被引:1,自引:0,他引:1
Feng K. 《计算数学(英文版)》1998,(3)
1.'IntroductionThedisad~ageofsymplecticmethodsinusingtheinformationfrompasttimestepsleadstotheirneedingmorefunctionevaluationthannonsymplecticmethods.Thisdisadvantagecanbeovercomeifonecouldconstructsymplecticmulti-stepmethods.But'theaestProblemshouldbesolvedistogiveoutthedefinitionofsymplecticmultistepmethod.Ulltilnow,apopularideaisthatanm-stepmethodonMmaybewrittenasaone-stepmethodonMa.Inpaper12,71,theauthorshaveinvestigatedthecircumstanceunderWhichadifferenceschemecanpreservetheproductsympl… 相似文献
45.
D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,3(1):125-137
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of
a string. We derive the general condition that the partial differential equations governing the motion of such string must
obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a
fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation
fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial
(possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate
derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation
of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation.
Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998 相似文献
46.
Let X(t) be an N parameter generalized Lévy sheet taking values in ℝd with a lower index α, ℜ = {(s, t] = ∏
i=1
N
(s
i, t
i], s
i < t
i}, E(x, Q) = {t ∈ Q: X(t) = x}, Q ∈ ℜ be the level set of X at x and X(Q) = {x: ∃t ∈ Q such that X(t) = x} be the image of X on Q. In this paper, the problems of the existence and increment size of the local times for X(t) are studied. In addition, the Hausdorff dimension of E(x, Q) and the upper bound of a uniform dimension for X(Q) are also established. 相似文献
47.
We perform an analysis of the pattern formation for a moving sheet of inviscid fluid. The sheet, which is assumed to have an infinite horizontal extent, moves at some prescribed velocity into a passive surrounding gas. The sheet’s thickness is assumed much smaller than the horizontal scale of the fluid motion. By considering a system that is symmetric with respect to the horizontal planes, long scale asymptotics are used to reduce the full governing equations in three dimensions to a set of three coupled nonlinear partial differential equations for the horizontal components of the velocity field and the height of the interface profile. The interfacial conditions consisting of the kinematic and normal stress balance are incorporated into these evolution equations. Investigations are carried out as function of the sole dimensionless parameter, namely the Weber number. A small amplitude stability analysis around the planar gas–liquid interface reveals that wave patterns in the form of traveling plane waves occur subcritically, and are therefore unstable. The reduced evolution equations are solved numerically for fixed values of the Weber number. Since the reduced system of equations is homogeneous, the wave motion is generated by initial conditions. Five initial conditions have been imposed: one-dimensional rolls, two-dimensional squares, two-dimensional hexagons, two-dimensional ridges, and smooth peaks. The ensuing evolution of the liquid sheet’s shape and corresponding flow fields are described by illustrations of the changes in the sheet’s morphology with time. 相似文献
48.
Our purpose is to characterize the multiparameter Gaussian processes, that is Gaussian sheets, that are equivalent in law
to the Brownian sheet and to the fractional Brownian sheet. We survey multiparameter analogues of the Hitsuda, Girsanov and
Shepp representations. As an application, we study a special type of stochastic equation with linear noise.
相似文献
49.
Peter Friz Nicolas Victoir 《Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques》2007,43(6):775-785
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced (fractional) Brownian motion, in Hölder- or modulus topology, appears as special case. 相似文献
50.
A simple “chimney” method was used to eliminate the voids in an arrangement of quantum dots sized 2 nm on a solid substrate, which resulted in a large well ordered superlattice of area in the order more than 1 μm2. Based on the principle of speeding up the interparticle interaction of nanoparticles to overcome the particle-substrate one, a lateral centripetal force originated from a glass tube acting as a chimney in a simple evaporation device is imposed. This method allows the packing process to be controlled in a mechanical force field, that is, with the same nanogold dispersion different patterns on a substrate—from separate dots to an ordered compact monolayer or even a multilayer structure—could be easily obtained. 相似文献