美式期权定价中非局部问题的有限元方法

在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .     

The projective method for solving linear matrix inequalities

Numerous problems in control and systems theory can be formulated in terms of linear matrix inequalities (LMI). Since solving an LMI amounts to a convex optimization problem, such formulations are known to be numerically tractable. However, the interest in LMI-based design techniques has really surged with the introduction of efficient interior-point methods for solving LMIs with a polynomial-time complexity. This paper describes one particular method called the Projective Method. Simple geometrical arguments are used to clarify the strategy and convergence mechanism of the Projective algorithm. A complexity analysis is provided, and applications to two generic LMI problems (feasibility and linear objective minimization) are discussed.     

Formulation,Stability, and Computation of Traffic Network Equilibria as Projected Dynamical Systems

In this paper, we present a unified treatment and analysis of a dynamic traffic network model with elastic demands formulated and studied as a projected dynamical system. We propose a travel route choice adjustment process that satisfies the projected dynamical system. Under certain conditions, stability and asymptotical stability of the equilibrium patterns are then derived. Finally, two discrete-time algorithms, the Euler method and the Heun method, are proposed for the computation of the solutions, and convergence results established. The convergence results depend crucially on stability analysis. The performance of the algorithms is then illustrated on several transportation networks.     

Compact Matrix Expressions for Generalized Wald Tests of Equality of Moment Vectors

Asymptotic chi-squared test statistics for testing the equality of moment vectors are developed. The test statistics proposed are generalized Wald test statistics that specialize for different settings by inserting an appropriate asymptotic variance matrix of sample moments. Scaled test statistics are also considered for dealing with nonstandard conditions. The specialization will be carried out for testing the equality of multinomial populations, and the equality of variance and correlation matrices for both normal and nonnormal data. When testing the equality of correlation matrices, a scaled version of the normal theory chi-squared statistic is proven to be an asymptotically exact chi-squared statistic in the case of elliptical data.     

求解一类变形变分不等式的投影收缩算法及其性质

对一类变形的变分不等式：求，使得提出了一类投影收缩算法，并得到了该算法的收敛性及相关性质．     

Assessing the Error Probability of the Model Selection Test

The asymptotic error probability of Linhart's model selection test isevaluated, and compared with the nominal significance level. We examine thecase where the expected discrepancies of the candidate models from the truemodel are asymptotically equal. The local alternatives method is employed inthe limiting operation of the asymptotic evaluation. Although the errorprobability under the null hypothesis is actually shown to be equal to orless than the level for most situations, intolerable violations of the errorcontrol are observed for nested models: It is often erroneously concludedthat the smaller model is significantly better than the larger model. Toprevent this violation, a modification of Linhart's test statistic isproposed. The effectiveness of the proposed test is confirmed throughtheoretical analysis and numerical simulations.     

空间光通信指令传输的抗干扰设计

设计一种用归零码及多重相关解调技术的传输方案，并给了所需的几种抗干扰单元电路，最后结合实验说明了此方案可提高不良环境下传输数据的置信率。     

Continuous dependence on the geometry and on the initial time for a class of parabolic problems I

In this paper, we investigate the continuous dependence on the geometry and the initial time for solutions u( x , t) of a class of nonlinear parabolic initial‐boundary value problems. Copyright © 2007 John Wiley & Sons, Ltd.     

上海基础房价相关指标及走势的分析与研究

基础房价的相关指标及其走势一直是大众关心的热门话题．本文通过对上海基础房价相关指标的分析，建立了市场房价走势的两个数学模型．模型一：在相关性分析的基础上利用主成分分析消除指标间的共线性，再用回归拟合房价模型并进行预测；模型二：在相关性分析的基础上利用核估计方法预测出房价．继呵对2005年下半年的房价走势进行了预测，得出的结果与实际情况相吻合．     

类Kerr介质中双模SU(1,1)相干态场与Λ型三能级原子相互作用的量子统计性质

导出了类Kerr介质中双模SU(1,1)相干态场与Λ型三能级原子相互作用系统的态函数,研究了Kerr效应对Λ型三能级原子布居概率、双模SU(1,1)相干态场的互关联函数、Cauchy-Schwartz不等式及二阶相干度的影响.结果表明:Kerr效应使原子与光场的耦合减弱,原子布居的崩塌与复苏的周期缩短;在初始光场较弱和较强两种情况下,类Kerr介质对双模SU(1,1)相干态场两模间的相关性、相关程度以及光子的聚束与反聚束效应产生的作用有明显的区别.