Valuation of futures options with initial margin requirements and daily price limit

The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.     

Existence of solutions in variational relation problems without convexity

Two main existence conditions for solutions of variational relation problems are established without convexity. The first one is based on a finite solvability property and the second one on generalized KKM mappings. These conditions unify and strengthen several existing results in the literature on the topic. A model of satisficing process by rejection is considered which gives an economic interpretation of the introduced concepts.     

Recurrence of Ancestral Lines and Offspring Trees in Time Stationary Branching Populations

For time stationary Galton- Watson-branching populations on a general type space, the structure of the “individually positive recurrent part” of the system is described: its building blocks consist of finitely many “clans” with positive recurrent trunks. Conditions are given when this nubsystem is void, and when it equals the full system. In addition, positive recurrence on the clan level is characterized. Whereas individual positive recurrence turns out to be a symmetric concept with respect to forward and backward time direction (i. e., with respect to anceatral lines and offspring trees), with individual null recurrence this symmetry can fail even in the absence of branching, i.e., for independently migrating particle systems (Example 13.1). For discrete type spaces a classification of types as to the various individual recurrence concepts (positive, null, forward and backward in time) is proposed and illustrated by a couple of results and examples. For finite type spaces conditiom on the branching dynamics and its mean matrix for the existence of nontrivial equilibria are given.     

Collision problems of random walks in two-dimensional time

The collision problems of two-parameter random walks are studied. That is, some criteria have been established in terms of the characteristic functions of two or more mutually independent random walks in order to determine if they meet infinitly often in certain restricted time sets.     

返波型行波电子直线加速结构的理论研究

比较了行波与驻波两种工作方式以及前向波与返波型行波的不同特点;研究了返波型行波电子直线加速结构的工作特性;并针对返波型行波电子直线加速结构的特点,进行工作模式的选择;对工作频率为2856MHz,3π/4模的返波加速结构进行了优化设计;研究了带聚束段的返波型行波加速管的纵向与横向粒子动力学问题;为海关大型集装箱在线检测用加速器设计了一根9MeV返波型行波加速管,并与采用盘荷波导结构的加速管进行了对比.研究结果表明,返波型行波电子直线加速结构具有一定的优势,它把鼻锥型加速结构分流阻抗高及盘荷波导行波工作方式填充时间短,工作稳定性好等优点结合起来,性能明显优越.     

光栅投影轮廓测量的系统标定技术

针对在光栅投影轮廓测量术中系统标定可操作性不强、精度不高的问题进行了全面的分析 ,在此基础上提出一种新的系统结构 ,并推导了物相关系。由于去掉了传统结构的平行和垂直两个约束条件 ,测量系统中摄像机和投影装置可以采取任意相对位置 ,操作十分灵活。对新系统提出了方便实用的标定方法 ,在其中引入了摄像机定标技术。应用该测量系统和标定技术进行实例检测 ,测量结果证明 :与传统方法相比 ,可操作性和检测精度得到了提高     

关于反射倒向随机微分方程的解的一些性质

研究了关于反射倒向随机微分方程的解的一些性质．同时在适当的条件下建立了关于反射倒向随机微分方程生成元的一个唯一性定理和一个逆比较定理．     

强化对流传热场协同唯象机制及其控制

根据对流传热强度与流体中存在的各种内场及其外场的关系,从唯象上阐明了降低温度边界层厚度、增加流体扰动和增加近壁面速度梯度的强化对流传热方法的物理机制,其本质是控制流体中内场及其外场之间的相互协同。给出了当流体中存在内场和外场时强化对流传热场协同控制方法,以此可指导发展强化对流传热单元的新方法。     

Massive and massless neutrinos on unbalanced seesaws

The observation of neutrino oscillations requires new physics beyond the standard model (SM).A SM-like gauge theory with p lepton families can be extended by introducing q heavy right-handed Majorana neutrinos but preserving its SU(2)L x U(1)y gauge symmetry.The overall neutrino mass matrix M turns out to be a symmetric (p+q) x (p+q) matrix.Given p＞q,the rank of M is in general equal to 2q,corresponding to 2q non-zero mass eigenvalues.The existence of (p-q) massless left-handed Majorana neutrinos is an exact consequence of the model,independent of the usual approximation made in deriving the Type-I seesaw relation between the effective p x p light Majorana neutrino mass matrix M,and the q x q heavy Majorana neutrino mass matrix MR.In other words,the numbers of massive left- and right-handed neutrinos are fairly matched.A good example to illustrate this "seesaw fair play rule"is the minimal seesaw model with p ＝ 3 and q ＝ 2,in which one masslese neutrino sits on the unbalanced seesaw.     

Theoretical investigation of a backward wave oscillator

From the linear Vlasov equation,the theoretical investigation on relativistic backward wave osciUator is performed.The relationship between the microwave power and the guiding magnetic field,which accords with the results of the particle simulation and experiments,is deduced.