Application of the Singularity-Separating Method to American Exotic Option Pricing

This paper is devoted to numerical methods for American barrier and lookback options, which are important examples of American exotic options. Since the singularity-separating method is adopted, accurate numerical results can be obtained very fast.     

On the existence of f-local subgroups in a group

We prove the existence of infinite subgroups with nontrivial locally finite radicals and of locally finite subgroups in the groups with almost finite almost solvable elements of prime orders and in the groups with generally finite elements.     

Extension on absolute summability factors of infinite series

Extension and improvement has been made on a recent result proved by Mazhar [S.M. Mazhar, Absolute summability factors of infinite series, Kyungpook Math. J. 39 (1999) 67-73] concerning absolute summability factors of infinite series.     

p—级数与几个广义积分

本文给出了ｐ—级数与广义积分∫１０ｌｎｋ－１ｘ１－ｘｄｘ，∫１０ｌｎｋ－１ｘ１＋ｘｄｘ，∫１０ｌｎｋ－１ｘ１－ｘ２ｄｘ，∫１０ｌｎｋ－１ｘ１＋ｘ２ｄｘ之间的关系．并通过一些ｐ—级数的求和，给出了上述广义积分中某些积分的积分值．     

Efficient computation of mean drag for the subcritical flow past a circular cylinder using general Galerkin G2

General Galerkin (G2) is a new computational method for turbulent flow, where a stabilized Galerkin finite element method is used to compute approximate weak solutions to the Navier–Stokes equations directly, without any filtering of the equations as in a standard approach to turbulence simulation, such as large eddy simulation, and thus no Reynolds stresses are introduced, which need modelling. In this paper, G2 is used to compute the drag coefficient c_D for the flow past a circular cylinder at Reynolds number Re=3900, for which the flow is turbulent. It is found that it is possible to approximate c_D to an accuracy of a few percent, corresponding to the accuracy in experimental results for this problem, using less than 10⁵ mesh points, which makes the simulations possible using a standard PC. The mesh is adaptively refined until a stopping criterion is reached with respect to the error in a chosen output of interest, which in this paper is c_D. Both the stopping criterion and the mesh‐refinement strategy are based on a posteriori error estimates, in the form of a space–time integral of residuals times derivatives of the solution of a dual problem, linearized at the approximate solution, and with data coupling to the output of interest. Copyright © 2008 John Wiley & Sons, Ltd.     

与Euler函数有关的误差项均值估计

设ψ(n)是Euler函数,r是正实数.以E(x,r)表示和式的渐近公式中的误差项,本文研究了E(x,r)的算术均值和积分均值.     

Smooth and path connected Banach submanifold Σ r of B(E,F) and a dimension formula in B(ℝ n ,ℝ m )

Given two Banach spaces E,F, let B(E,F) be the set of all bounded linear operators from E into F, Σ _r the set of all operators of finite rank r in B(E,F), and Σ _r ^# the number of path connected components of Σ _r . It is known that Σ _r is a smooth Banach submanifold in B(E,F) with given expression of its tangent space at each A ∈ Σ _r . In this paper,the equality Σ _r ^# = 1 is proved. Consequently, the following theorem is obtained: for any nonnegative integer r, Σ _r is a smooth and path connected Banach submanifold in B(E,F) with the tangent space T _A Σ _r = {B ∈ B(E,F): BN(A) ⊂ R(A)} at each A ∈ Σ _r if dim F = ∞. Note that the routine method can hardly be applied here. So in addition to the nice topological and geometric property of Σ _r the method presented in this paper is also interesting. As an application of this result, it is proved that if E = ℝ ⁿ and F = ℝ ^m , then Σ _r is a smooth and path connected submanifold of B(ℝ ⁿ , ℝ ^m ) and its dimension is dimΣ _r = (m+n)r−r ² for each r, 0 <- r < min {n,m}. Supported by the National Science Foundation of China (Grant No.10671049 and 10771101).     

一阶自回归模型参数变点的假设检验

本文讨论一阶自回归模型自回归参数$\phi$的变点问题. 对于一阶自回归模型, 在模型的白噪声序列的方差$\sigma^2$已知和未知的条件下, 利用最大似然方法, 我们分别讨论了模型自回归参数$\phi$的Abrupt Change-Point 和Gradual Change-Point的检测问题.     

Alternating subgroups of Coxeter groups

We study combinatorial properties of the alternating subgroup of a Coxeter group, using a presentation of it due to Bourbaki.     

LEGENDRE SERIES SOLUTIONS FOR TIME-VARIATION DYNAMICS

In this topic, a new approach to the analysis of time-variation dynamics is proposed by use of Legendre series expansion and Legendre integral operator matrix. The theoretical basis for effective solution of time-variation dynamics is therefore established, which is beneficial to further research of time-variation science. Supported by Shanghai Key Project Research Foundation.