Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

In this paper we formulate a continuous-time mean–variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean–variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given.     

Effects of dilatational phase transformation on target strength of ceramic materials

The effects of dilatational phase transformation on the target strength of ceramic materials are investigated based on Tate's model. The constitutive behavior of materials in different regions (elastic, cracked, plastic and phase transformation) are taken into account. It is found that, with a proper choice of material parameters, the dilatational phase transformation can increase effectively the target strengthR. This would be of importance in penetration-resistance design. This work is partially supported by the Excellent Youth Foundation of Harbin Institute of Technology     

双棱镜干涉实验中的参量取值研究

本文从理论上推导出双棱镜干涉实验中各参量的取值范围,并通过实验研究找到测量误差小于1%时各参量的取值,这为减小实验误差提供了理论和实验依据.     

SW-Ⅱ型数显温控XL-Ⅰ箱形高温炉的故障及维修方法

运用电学的基本原理,对数显温控高温炉的故障进行了分析,在实践中总结出各种故障的发生原因、特征现象及解决方法。     

Opinion dynamics in networked command and control organizations

An opinion dynamics model for a Command and Control (C2) organization is essential for simulating combat system effectiveness. However, few studies have addressed opinion evolution in C2 simulation. With the goal of overcoming this research gap, this paper proposes an opinion exchange model, which is illustrated through a practical example of an Armored Division network. The model is divided into homogeneous and heterogeneous aspects: the former is mainly characterized by communication rules and types, while the latter is extended with the influence of multi-level opinion leaders. After carrying out the simulation of the two main models, the results show that the opinion evolution of the hierarchical leveled C2 organization with descending influence is much more complex and unpredictable than that of social networks.     

ZnO nanoparticles with controlled shapes and sizes prepared using a simple polyol synthesis

Nanocrystalline zinc oxide (ZnO) particles with controlled shapes and sizes were prepared at 180 ^°C by a simple polyol method. The amount of water and the method of addition played an important role in determining the characteristics of the synthesized particles. Rod-shaped ZnO particles with major axis lengths of ∼114 nm were obtained by heating the precursor solution, while equiaxial particles with average diameters of ∼24 nm were prepared by injecting water into hot precursor solution. Increasing the amount of water added to the precursor solution enlarged the aspect ratio of the rod-shaped particles and increased the particle size of the equiaxial particles due to enhanced hydrolysis and condensation of the Zn ion complex.     

Parameter estimation for a three‐dimensional numerical barotropic tidal model with adjoint method

The parameters of a three‐dimensional (3‐D) barotropic tidal model are estimated using the adjoint method. The mode splitting technique is employed in both forward and adjoint models. In the external mode, the alternating direction implicit method is used to discretize the two‐dimensional depth‐averaged equations and a semi‐implicit scheme is used for the 3‐D internal mode computations. In this model the bottom friction is expressed in terms of bottom velocity which is different from the previous works. Besides, the bottom friction coefficients (BFCs) are supposed to be spatially varying, i.e. the BFC at some grid points are selected as the independent BFC, while the BFC at the other grid points can be obtained through linear interpolation with these independent BFCs. On the basis of the simulation of M₂ tide in the Bohai and North Yellow Seas (BNYS), twin experiments are carried out to invert the prescribed distributions of model parameters. The parameters inverted are the Fourier coefficients of open boundary conditions (OBCs), the BFC and the vertical eddy viscosity profiles. In these twin experiments, the real topography of BNYS is installed. The ‘observations’ are produced by the tidal model and recorded at the position of TOPEX/Poseidon altimeter data, tidal gauge data and current data. The experiments discuss the influence of initial guesses, model errors and data number. The inversion has obtained satisfactory results and the prescribed distributions have been successfully inverted. The results indicate that the inversion of BFC is more sensitive to data error than that of OBC and the vertical eddy viscosity profiles. Copyright © 2007 John Wiley & Sons, Ltd.     

Interference effect of two equal‐sized square cylinders in tandem arrangement: With planar shear flow

Numerical simulations have been performed for flow past two equal‐sized square cylinders in tandem arrangement subjected to incoming planar shear flow. Effect of L/d ratio and the shear parameter has been studied. The range of L/d ratio (ratio of center‐to‐center distance (L) to cylinder width (d)) is varied from 2 to 7 and the non‐dimensional shear parameter (K) is varied from 0.0 to 0.4 in steps of 0.1. For all the cases the Reynolds number (Re) based on centerline velocity and cylinder width is fixed at 100. The results are compared with that of isolated square cylinder with uniform flow. Strouhal number decreases with increasing shear parameter. There are more than one shedding frequency at high shear parameters and L/d ratios. The mean drag coefficient is decreased with shear parameter and lesser than that of the single cylinder. The root mean square (RMS) value of both lift and drag coefficients is higher for the downstream cylinder for all values of shear parameter. With increasing L/d ratio, for both lift and drag, the RMS value increases and then decreases for upstream cylinder, whereas it continuously increases for the downstream cylinder. The stagnation point is moved towards the top leading edge with increasing shear. The critical L/d ratio, which is defined as the distance between two cylinders, beyond which the vortex shedding from the upstream cylinder occurs, decreases with increasing shear parameter. Copyright © 2007 John Wiley & Sons, Ltd.     

Local exact Lagrangian controllability of the Burgers viscous equation

We study and give the definition of the exact Lagrangian controllability of the viscous Burgers equation and prove a local result. We give similar results for the heat equation in dimension 1.     

Connection between an Exactly Solvable Stochastic Optimal Control Problem and a Nonlinear Reaction-Diffusion Equation

We present an exactly soluble optimal stochastic control problem involving a diffusive two-states random evolution process and connect it to a nonlinear reaction-diffusion type of equation by using the technique of logarithmic transformations. The work generalizes the recently established connection between the non-linear Boltzmann-like equations introduced by Ruijgrok and Wu and the optimal control of a two-states random evolution process. In the sense of this generalization, the nonlinear reaction-diffusion equation is identified as the natural diffusive generalization of the Ruijgrok–Wu and Boltzmann model.