On a general class of trigonometric functions and Fourier series†

We discuss a general class of trigonometric functions whose corresponding Fourier series can be used to calculate several interesting numerical series. Particular cases are presented.     

On some confidence intervals for estimating the mean of a skewed population

A number of methods are available in the literature to measure confidence intervals. Here, confidence intervals for estimating the population mean of a skewed distribution are considered. This note proposes two alternative confidence intervals, namely, Median t and Mad t, which are simple adjustments to the Student's t confidence interval. In order to compare the performance of these intervals, the following criteria are considered: (i) coverage probability; (ii) average width; and (iii) ratio of coverage to width. A simulation study has been undertaken to compare the performance of the intervals. The simulation study shows that for small sample size and moderate to highly skewed distributions, the proposed Median t performs the best in the sense of higher coverage, and the Mad t performs best in the sense of smaller confidence width. The proposed methods are very easy to calculate and are not overly computer-intensive, like Bootstrap confidence intervals. Some real-life examples have been considered that support the findings of the paper to some extent.     

Constructing Almost Symmetric Numerical Semigroups from Irreducible Numerical Semigroups

Every almost symmetric numerical semigroup can be constructed by removing some minimal generators from an irreducible numerical semigroup with its same Frobenius number.     

矩阵LU分解定理的简单证明及其数值实现

用简单的方法证明了矩阵LU分解定理,讨论了定理的推广以及定理相应的数值实现,并对《数值分析》课程教学方法改革进行了思考.     

Robin型离散Schwarz波形松弛算法的收敛性分析

Schwarz波形松弛(Schwarz waveform relaxation,SWR)是一种新型区域分解算法,是当今并行计算研究领域的焦点之一,但针对该算法的收敛性分析基本上都停留在时空连续层面.从实际计算角度看,分析离散SWR算法的收敛性更重要.本文考虑SWR研究领域中非常流行的Robin型人工边界条件,分析时空离散参数t和x、模型参数等因素对算法收敛速度的影响.Robin型人工边界条件中含有一个自由参数p,可以用来优化算法的收敛速度,但最优参数的选取却需要求解一个非常复杂的极小-极大问题.本文对该极小-极大问题进行深入分析,给出最优参数的计算方法.本文给出的数值实验结果表明所获最优参数具有以下优点:(1)相比连续情形下所获最优参数,利用离散情形下获得的参数可以进一步提高Robin型SWR算法在实际计算中的收敛速度,当固定t或x而令另一个趋于零时,利用离散情形下所获参数可以使算法的收敛速度具有鲁棒性(即收敛速度不随离散参数的减小而持续变慢).(2)相比连续情形下所获收敛速度估计,离散情形下获得的收敛速度估计可以更加准确地预测算法的实际收敛速度.     

CONSTITUTIVE MODELS AND HYPERGRAVITY PHYSICAL SIMULATION OF SOILS$^{\bf 1)}$

数值模拟和物理模拟是分析土体沉降和稳定性的主要手段. 本构模型作为描述土体应力应变关系的数学表达式, 是数值模拟的基础. 土体具有碎散性, 这一基本物理特性导致了其具有压硬性、摩擦性和剪胀性, 这是土的力学特性区别于金属的主要特征, 在土体的本构模型中必须反映这3个基本特性. 传统土力学将土体的变形和强度分离考虑, 分别采用弹性理论和基于刚塑性模型的极限平衡理论分析, 虽然应用广泛, 但由于不能全面地反映土的基本力学特性, 计算结果的精度常常难以满足定量分析的需要. 剑桥模型作为第一个全面反映压硬性、摩擦性和剪胀性的弹塑性本构模型, 实现了变形和强度的统一, 能较好地描述饱和正常固结黏土的应力应变关系, 被视为是现代土力学的开端; 统一硬化模型通过引入一个独特的硬化参数进一步发展了剑桥模型, 将适用范围扩大到超固结黏土. 作者认为, 未来岩土体本构模型研究的挑战是: 如何考虑岩土体在受力过程中土骨架相变与多场耦合, 以解决目前本构模型尚无法定量分析的能源、交通、环境和水利相关的重大岩土工程问题. 超重力物理模拟具有缩尺效应和缩时效应, 克服了常重力物理模拟中模型的应力水平低于原型的缺点, 特别适用于大尺度、长历时问题的模拟. 相较数值模拟, 超重力物理模拟的优势在于能够检验本构模型的合理性, 揭示本构模型无法描述的未知特性. 最后, 介绍了采用数值模拟和物理模拟联合分析大直径钢管桩水平受荷特性的工程案例.     

Error estimates for the finite element solution of elliptic problems with nonlinear newton boundary conditions

The paper is concerned with the study of an elliptic boundary value problem with a nonlinear Newton boundary condition. The existence and uniqueness of the solution of the continuous pioblem is a consequence of the monotone operator theory. The main attention is paid to the investigation of the finite element approximation using numeriral integration for the evaluation of boundary integrals. The error estimates for the solution of the discrete finite element problem are derived     

Mathematical Analysis and Numerical Simulation of a Nonlinear Thermoelastic System

Abstract

In this paper, we give a theoretical and numerical analysis of a model for small vertical vibrations of an elastic membrane coupled with a heat equation and subject to linear mixed boundary conditions. We establish the existence, uniqueness, and a uniform decay rate for global solutions to this nonlinear non-local thermoelastic coupled system with linear boundary conditions. Furthermore, we introduced a numerical method based on finite element discretization in a spatial variable and finite difference scheme in time which results in a nonlinear system to be solved by Newton’s method. Numerical experiments for one-dimensional and two-dimensional cases are presented in order to estimate the rate of convergence of the numerical solution that confirm our analysis and show the efficiency of the method.     

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.     

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is not the case for equity volatility. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. In a previous paper we studied the stochastic process for equity volatility, and proposed analytic approximations for different capital structures. In this companion paper we derive analytic approximations for the value of European equity options and warrants for a firm financed by equity, debt and warrants. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities either as a function of the stock price, or as a function of the firm's total assets. Since stock prices are observable, then for practical purposes, traders prefer to use the stock as the underlying instrument, we concentrate on valuation models in terms of the stock price. Second, we derive an exact solution for the valuation in terms of the stock price of (i) a European call option on the stock of a levered firm, i.e. a European compound call option on the total assets of the firm, (ii) an equity warrant for an all-equity firm, and (iii) an equity warrant for a firm financed by equity and debt. Unfortunately, to compute these solutions we need to specify the function of the stock price in terms of the firm's assets value. In general we are unable to specify this expression, but we propose tight bounds for the value of these options which can be easily computed as a function of the stock price. Our results provide useful extensions of the Black-Scholes model.