美式期权定价问题的变网格差分方法

本文提出一种求解美式期权定价自由边值问题的变网格差分方法.通过建立一个自由边界所满足的方程,利用变网格技术可同时求出期权的差分解和最佳执行边界.本文分别讨论了显式和隐式变网格差分格式,并给出了差分解的收敛性和稳定性分析.数值实验表明本文算法是一个非常有效的期权定价算法.     

Banach空间中渐近非扩张映象具误差的强收敛定理

设E是一实的Banach空间,其范数是一致Gteaux可微的;D是E的一非空闭凸子集,设T:D→D是具有序列{k_n}[1,∞),lim_(n→∞) k_n=1的渐近非扩张映象.本文证明了,在一定条件下,由(1.3)和(1.5)式定义的具误差的迭代序列{x_n}强收敛于T的不动点.本文结果也推广和改进了最近一些人的最新结果.     

On association schemes all elements of which have valency 1 or 2

In the present note, we investigate schemes S in which each element s satisfies n_s2 and n_s^*s≠2. We show that such a scheme is schurian. More precisely, we show that it is isomorphic to G//t, where G is a finite group and t an involution of G weakly closed in C_G(t).

Groups G with an involution t weakly closed in C_G(t) have been described in Glauberman's Z^*-Theorem [G. Glauberman, Central elements in core-free groups, J. Algebra 4 (1966) 403–420] with the help of the largest normal subgroup of G having odd order.     

CONVERGENCE OF AN IMMERSED INTERFACE UPWIND SCHEME FOR LINEAR ADVECTION EQUATIONS WITH PIECEWISE CONSTANT COEFFICIENTS I： L^1-ERROR ESTIMATES

We study the L^l-error estimates for the upwind scheme to the linear advection equations with a piecewise constant coefficients modeling linear waves crossing interfaces. Here the interface condition is immersed into the upwind scheme. We prove that, for initial data with a bounded variation, the numerical solution of the immersed interface upwind scheme converges in L^l-norm to the differential equation with the corresponding interface condition. We derive the one-halfth order L^l-error bounds with explicit coefficients following a technique used in [25]. We also use some inequalities on binomial coefficients proved in a consecutive paper [32].     

Locally one-dimensional difference schemes for the fractional order diffusion equation

Locally-one-dimensional difference schemes for the fractional diffusion equation in multidimensional domains are considered. Stability and convergence of locally one-dimensional schemes for this equation are proved.     

Normal coderivative for multifunctions and implicit function theorems

In the framework of the theory of normal coderivative for multifunctions, new implicit function theorems are obtained. The main tools of the proofs are the Ekeland variational principle, a nonsmooth version of Fermat's rule, a sum rule, and the differential estimate for marginal functions established by B.S. Mordukhovich and Y. Shao [B.S. Mordukhovich, Y. Shao, Nonsmooth sequential analysis in Asplund spaces, Trans. Amer. Math. Soc. 348 (1996) 1235-1280].     

A discrete eigenfunctions method for computing mixed hyperbolic problems based on an implicit difference scheme

In this paper numerical solutions of mixed hyperbolic problems are computed using a discrete eigenfunctions method combined with an implicit difference scheme. This new numerical technique preserves the qualitative properties of the analytic solution due to the Sturm-Liouville structure of the underlying discrete linear boundary-value problem and has computational stability advantages vs other methods. Illustrative examples are included.     

渐近φ伪压缩映象有限族的迭代程序的强收敛(英文)

Strong convergence theorems for approximation of common fixed points of asymptoticallyφ-quasi-pseudocontractive mappings and asymptoticallyφ-strictly- pseudocontractive mappings are proved in real Banach spaces by using a new compos- ite implicit iteration scheme with errors.The results presented in this paper extend and improve the main results of Sun,Gu and Osilike published on J.Math.Anal. Appl.     

A random Euler scheme for Carathéodory differential equations

We study a random Euler scheme for the approximation of Carathéodory differential equations and give a precise error analysis. In particular, we show that under weak assumptions, this approximation scheme obtains the same rate of convergence as the classical Monte–Carlo method for integration problems.