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931.
932.
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. 相似文献
933.
Vladimir Gurvich 《Discrete Applied Mathematics》2010,158(14):1496-302
Consider an electrical circuit, each edge e of which is an isotropic conductor with a monomial conductivity function . In this formula, ye is the potential difference and current in e, while μe is the resistance of e; furthermore, r and s are two strictly positive real parameters common for all edges. In particular, the case r=s=1 corresponds to the standard Ohm’s law.In 1987, Gvishiani and Gurvich [A.D. Gvishiani, V.A. Gurvich, Metric and ultrametric spaces of resistances, in: Communications of the Moscow Mathematical Society, Russian Math. Surveys 42 (6 (258)) (1987) 235-236] proved that, for every two nodes a,b of the circuit, the effective resistance μa,b is well-defined and for every three nodes a,b,c the inequality holds. It obviously implies the standard triangle inequality μa,b≤μa,c+μc,b whenever s≥r. For the case s=r=1, these results were rediscovered in the 1990s. Now, after 23 years, I venture to reproduce the proof of the original result for the following reasons:
- •
- It is more general than just the case r=s=1 and one can get several interesting metric and ultrametric spaces playing with parameters r and s. In particular, (i) the effective Ohm resistance, (ii) the length of a shortest path, (iii) the inverse width of a bottleneck path, and (iv) the inverse capacity (maximum flow per unit time) between any pair of terminals a and b provide four examples of the resistance distances μa,b that can be obtained from the above model by the following limit transitions: (i) r(t)=s(t)≡1, (ii) r(t)=s(t)→∞, (iii) r(t)≡1,s(t)→∞, and (iv) r(t)→0,s(t)≡1, as t→∞. In all four cases the limits μa,b=limt→∞μa,b(t) exist for all pairs a,b and the metric inequality μa,b≤μa,c+μc,b holds for all triplets a,b,c, since s(t)≥r(t) for any sufficiently large t. Moreover, the stronger ultrametric inequality μa,b≤max(μa,c,μc,b) holds for all triplets a,b,c in examples (iii) and (iv), since in these two cases s(t)/r(t)→∞, as t→∞.
- •
- Communications of the Moscow Math. Soc. in Russ. Math. Surveys were (and still are) strictly limited to two pages; the present paper is much more detailed.Although a translation in English of the Russ. Math. Surveys is available, it is not free in the web and not that easy to find.
- •
- The last but not least: priority.
934.
张红玉 《数学的实践与认识》2010,40(11)
针对于微分方程数值解,介绍了一种新的误差估计方法.方法证实了伪谱方法具有精度高速度快的优点,进而引出了修正的伪谱方法. 相似文献
935.
936.
O. Penrose Joel L. Lebowitz J. Marro M. H. Kalos A. Sur 《Journal of statistical physics》1978,19(3):243-267
The results of computer simulations of phase separation kinetics in a binary alloy quenched from a high temperature are analyzed in detail, using the ideas of Lifshitz and Slyozov. The alloy was modeled by a three-dimensional Ising model with Kawasaki dynamics. The temperature after quenching was 0.59T
c, whereT
c
is the critical temperature, and the concentration of minority atoms was=0.075, which is about five times their largest possible single-phase equilibrium concentration at that temperature. The time interval covered by our analysis goes from about 1000 to 6000 attempted interchanges per site. The size distribution of small clusters of minority atoms is fitted approximately byc
1(1-)3
w(t),c
1 (1–)4
Q
l
w(t)l(2l10); wherec
l
is the concentration of clusters of sizel;Q
2,...,Q
10 are known constants, the cluster partition functions;t is the time; andw(t)=0.015(1+7.17t
–1/3). The distribution of large clusters (l20) is fitted approximately by the type of distribution proposed by Lifshitz and Slyozov,c
l
,(t)=–(d/dl)
[lnt+p
(l/t)], where is a function given by those authors and is defined by(x)=C
o
e–x-C
1
e
–4x/3-C
2
e
–5x/3;C
0,C
1,C
2 are constants determined by considering how the total number of particles in large clusters changes with time.Supported by the U.S. Air Force Office of Scientific Research under Grant No. 78-3522 and by the U.S. Department of Energy under Contract No. EY-76-C-02-3077*000. 相似文献
937.
本文研究了三维可压欧拉方程简单波解和双重波解的结构.给出了简单波的流动区域是被一族相互独立的平面所覆盖,沿着每个平面u,v,w从而p,ρ,c均为常数.双重波的流动区域是被一族相互独立的直线所覆盖,沿着每个特征平面u,v,w从而p,ρ,c均为常数. 相似文献
938.
In this paper, we study the quasi-neutral limit of compressible Euler-Poisson equations in plasma physics in the torus Td. For well prepared initial data the convergence of solutions of compressible Euler-Poisson equations to the solutions of incompressible Euler equations is justified rigorously by an elaborate energy methods based on studies on an λ-weighted Lyapunov-type functional. One main ingredient of establishing uniformly a priori estimates with respect to λ is to use the curl-div decomposition of the gradient. 相似文献
939.
Bifurcation method of dynamical systems is employed to investigate traveling wave solutions in the (2 + 1)-dimensional Zakharov-Kuznetsov-Benjamin-Bona-Mahony equation. Under some parameter conditions, exact solitary wave solutions and kink wave solutions are obtained. 相似文献
940.
I.L. El-Kalla 《Applied mathematics and computation》2010,217(8):3756-3763
In this paper, we demonstrate that an infinite number of successive integration by parts can be written in a closed form. This closed form can be used directly to prove that the analytic summation of Adomian series becomes identical to the closed form solution for some classes of differential and integral equations. 相似文献