Vasicek债券定价模型的推广形式

V asicek债券定价模型假定即期利率r(t)遵循O-U过程,利率的长期均值θ为一个常数.对此进行推广,假设θ遵循一个离散跳跃过程,跳跃的次数与幅度由中央银行根据物价指数确定,建立一个新的模型.运用Ito引理和无套利原理给出到期日价值为1的零息票债券的定价公式.     

Artificial time integration

Many recent algorithmic approaches involve the construction of a differential equation model for computational purposes, typically by introducing an artificial time variable. The actual computational model involves a discretization of the now time-dependent differential system, usually employing forward Euler. The resulting dynamics of such an algorithm is then a discrete dynamics, and it is expected to be “close enough” to the dynamics of the continuous system (which is typically easier to analyze) provided that small – hence many – time steps, or iterations, are taken. Indeed, recent papers in inverse problems and image processing routinely report results requiring thousands of iterations to converge. This makes one wonder if and how the computational modeling process can be improved to better reflect the actual properties sought. In this article we elaborate on several problem instances that illustrate the above observations. Algorithms may often lend themselves to a dual interpretation, in terms of a simply discretized differential equation with artificial time and in terms of a simple optimization algorithm; such a dual interpretation can be advantageous. We show how a broader computational modeling approach may possibly lead to algorithms with improved efficiency. AMS subject classification (2000)  65L05, 65M32, 65N21, 65N22, 65D18     

Acoustic characterization and prediction for fan-duct-plenum-room integrations

This paper investigates mutual influence of duct and room acoustics in the whole fan-duct-plenum-room integrations. Applying the parametric design language of finite element software ANSYS (APDL), dimensional and positional influence on system acoustics has been studied. Models with different room dimensions, duct lengths, duct cross-sections, duct locations, duct discharges and duct elbow were constructed, and their characteristics were compared qualitatively. Results show that small rooms, short ducts, large duct cross-sections and bell mouth duct discharges help to increase room sound pressure levels (SPLs); SPLs in ducts and plenums are sensitive to duct dimensions and duct discharge types but insensitive to duct locations and room dimensions; duct elbows have relatively indistinct acoustic influence in each component. Based on the calculation results, a semi-experimental method was proposed for simply and approximately evaluating indoor acoustic spectra of fan-duct-plenum-room integrations, then an example was used to demonstrate the prediction process. Finally, by adopting several ideal models, sound field constitutions, duct and room wall admittances and duct end reflection were explored quantitatively. This study may give a detailed understanding of fan-duct-plenum-room acoustics for researchers, also it might provide a new, simple and approximate prediction method for professionals to evaluate and improve fan-ducted acoustics.     

稀疏阵列天线综合的遗传算法优化

通过遗传算法优化选择常规满阵中一定比例的工作单元,使阵列在欠饱和状态下达到窄波束低副瓣的要求。以单元的工作状态和激励幅度为优化参量,波束宽度和副瓣电平为适值函数,通过适值缩放和多种群进化竞争使遗传进化稳定地收敛到全局最优。详细分析了稀疏阵的单元布局、稀疏率及单元激励对优化阵列特性的影响。     

Level of nodes in increasing trees revisited

Simply generated families of trees are described by the equation T(z) = ϕ(T(z)) for their generating function. If a tree has n nodes, we say that it is increasing if each node has a label ∈ { 1,…,n}, no label occurs twice, and whenever we proceed from the root to a leaf, the labels are increasing. This leads to the concept of simple families of increasing trees. Three such families are especially important: recursive trees, heap ordered trees, and binary increasing trees. They belong to the subclass of very simple families of increasing trees, which can be characterized in 3 different ways. This paper contains results about these families as well as about polynomial families (the function ϕ(u) is just a polynomial). The random variable of interest is the level of the node (labelled) j, in random trees of size n ≥ j. For very simple families, this is independent of n, and the limiting distribution is Gaussian. For polynomial families, we can prove this as well for j,n → ∞ such that n − j is fixed. Additional results are also given. These results follow from the study of certain trivariate generating functions and Hwang's quasi power theorem. They unify and extend earlier results by Devroye, Mahmoud, and others. © 2007 Wiley Periodicals, Inc. Random Struct. Alg., 2007     

深能级杂质对光导半导体开关非线性特性的影响

建立了非线性GaAs光导开关深能级杂质瞬态模型的基本方程,获得了与实验现象定性吻合的电流输出,给出了平均载流子随时间演化的情况.分析结果表明,在考虑了深能级杂质的俘获、发射和碰撞电离后,有可能对非线性光导开关中发生的一系列现象做出解释,进一步的仔细分析将对非线性光导开关的设计和制作提供理论指导.     

Discovery of a new long-lived isomeric state in 125Ce

A new long-lived isomeric state in the near proton dripline nucleus ¹²⁵Ce has been identified with Schottky mass spectrometry at GSI. The excitation energy E ^* = 103(12)keV and the decay time of 193(1)s have been obtained from a single stored fully ionized ^125m Ce⁵⁸⁺ ion. The data implies an E3 transition and a 1/2⁺ assignment for the spin of the isomer.     

Lifetime study of high-spin states in 104,105In

In the neutron deficient isotopes _104,105In lifetimes of high spin states in the range from 0.5 ps to 600 ps have been measured in a coincidence recoil distance Doppler shift (RDDS) experiment. By combining the Doppler shift attenuation (DSA) and RDDS methods at few μm flight distances, the problem of delayed feeding has been avoided and very short lifetimes in the range 0.5–0.8 ps have been determined. Shell model calculations with strong restrictions for the neutron orbitals reveal good agreement with experimental level energies and still fair agreement for most measured B(M1) and B(E2) values. Received: 30 June 1998     

InAs/GaAs自组织量子点的DLTS谱

将DLTS用于对InAs/GaAsQD结构样品的测量,测定了QD能级发射载流子的热激活能;获得了QD能级俘获电子过程伴随有多声子发射(MPE)、QD能级存在一定程度的展宽、以及在某些特定的生长条件下,存在亚稳生长构形的实验证据.结果表明:DLTS在QD体系的研究中有其特有的功能     

微光光子数字化摄象机

美国自适应光学联合公司(AOA)在哈佛大学 PAPA 探测器的基础上研制成功的光子数字化编址摄象机是一种具有极高探测灵敏度的光子计数式二维微光摄象机。采用多通道光学编码方法,可对光电倍增管探测到的每一个光电于事件产生相应的(x,y,T)时-空坐标数据,微机采集来自光子摄象机的数据流供实时图象显示和处理。