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91.
The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd. 相似文献
92.
The turbulent flow in a compound meandering channel with a rectangular cross section is one of the most complicated turbulent flows, because the flow behaviour is influenced by several kinds of forces, including centrifugal forces, pressure‐driven forces and shear stresses generated by momentum transfer between the main channel and the flood plain. Numerical analysis has been performed for the fully developed turbulent flow in a compound meandering open‐channel flow using an algebraic Reynolds stress model. The boundary‐fitted coordinate system is introduced as a method for coordinate transformation in order to set the boundary conditions along the complicated shape of the meandering open channel. The turbulence model consists of transport equations for turbulent energy and dissipation, in conjunction with an algebraic stress model based on the Reynolds stress transport equations. With reference to the pressure–strain term, we have made use of a modified pressure–strain term. The boundary condition of the fluctuating vertical velocity is set to zero not only for the free surface, but also for computational grid points next to the free surface, because experimental results have shown that the fluctuating vertical velocity approaches zero near the free surface. In order to examine the validity of the present numerical method and the turbulent model, the calculated results are compared with experimental data measured by laser Doppler anemometer. In addition, the compound meandering open channel is clarified somewhat based on the calculated results. As a result of the analysis, the present algebraic Reynolds stress model is shown to be able to reasonably predict the turbulent flow in a compound meandering open channel. Copyright © 2005 John Wiley & Sons, Ltd. 相似文献
93.
非等间距序列建模过程中存在的问题及改进 总被引:6,自引:0,他引:6
在研究非等间距序列的基础上 ,本文将非等间距累加运用于非等间距序列的建模过程中 ,使原有模型得到改进 .实例表明 ,改进后模型的精度有了很大提高 相似文献
94.
95.
Andrey Pereverzev 《Foundations of Physics Letters》2003,16(5):411-428
We argue that it may be possible to consistently explain the quantum measurement by assuming that the wave function is in one-to-one correspondence with objective physical reality and has no probabilistic interpretation. In the context of such approach we consider the model of a harmonic oscillator linearly coupled to a heat bath and treat the oscillator as the system being measured. Three classes of initial pure states for the bath are considered. Exact expressions for the average values and variances of the oscillator coordinate and momentum as functions of time are considered for each class of pure states. It is shown that these quantities exhibit different asymptotic behavior for different classes of initial states of the bath. In particular, if each mode of the bath is initially in a coherent state, then for an arbitrary initial state of the oscillator the variances of the oscillator coordinate and momentum asymptotically approach the same values as for a coherent state of the free oscillator, while the averages of coordinate and momentum show a Brownian-like behavior. We argue that such behavior shows several features of the quantum measurement and supports our interpretation of the wave function. 相似文献
96.
E. Rodriguez E. Jimenez G.J. Jacob A.A.R. Neves C.L. Cesar L.C. Barbosa 《Physica E: Low-dimensional Systems and Nanostructures》2005,26(1-4):361
Multilayer PbTe quantum dots (QDs) and SiO2 were grown by pulsed laser deposition (PLD) and Plasma enhanced chemical vapor deposition (PECVD) techniques. The crystalline structure, QD size and size dispersion were observed by high-resolution transmission electron microscopy (HRTEM) measurements. This technique allows one to grow PbTe QDs as small as 1.8 nm diameter and 0.6 nm size dispersion. The whole structure can be used in a Fabry–Perot cavity for an optical device operating at the mid-infrared region. 相似文献
97.
A time discrete scheme is used to approximate the solution toa phase field system of PenroseFife type with a non-conservedorder parameter. An a posteriori error estimate is presentedthat allows the estimation of the difference between continuousand semidiscrete solutions by quantities that can be calculatedfrom the approximation and given data. 相似文献
98.
Li Yingle Huang Jiying Gong Shuohong 《International Journal of Infrared and Millimeter Waves》2003,24(6):953-961
The dielectric constant for rain medium is investigated by utilizing the system identification method. The rain rate model and frequency model of permittivity in millimeter waves band for rain medium are presented. The results obtained with models are in very good agreement with references in calculating the attenuation of electromagnetic waves induced by rain, which Shows that the obtained models are valid and practicable. The cross-polar discrimination gotten with rain rate model is in agreement with references. 相似文献
99.
100.
Trabecular bone fracture is closely related to the trabecular architecture, microdamage accumulation, and bone tissue properties. Primary constituents of trabecular tissue are hydroxyapatite (HA) mineralized type-I collagen fibers. In this research, dynamic fracture in two dimensional (2-D) micrographs of ovine (sheep) trabecular bone is modeled using the mesoscale cohesive finite element method (CFEM). The bone tissue fracture properties are obtained based on the atomistic strength analyses of a type-I collagen + HA interfacial arrangement using molecular dynamics (MD). Analyses show that the presented framework is capable of analyzing the architecture dependent fracture in 2-D micrographs of trabecular bone. 相似文献