一道有趣的高考数学试题的延伸与拓展

2012年高考数学全国卷(大纲版)的文理科选择题第12题,非常有趣,试题如下:文科12题:正方形ABCD的边长为1,点E在边AB上,点F在边BC上,AE=BF=1/3,动点P从E出发沿直线向F运动,每当碰到正方形的边时反弹,反弹时反射角等于入射角.当点P第一次碰到E时,P与正方形的边碰撞的次数为()     

漫谈高中数学教科书(苏教版)新增内容中的矛盾内涵

张奠宙教授认为:重要的数学内容和数学思想方法,都反映了某个哲学范畴或基本矛盾的数量方面的特征.矛盾性是重要数学内容和数学思想方法的内涵之一.研究高中数学教科书(苏教版)新增内容,剖析其中涉及的数学思想方法,不难发现,它们都体现出了矛盾论的观点.     

关于Lipschitz域上反射Brown运动的游程

本文具体刻画有界 Lipschitz 域上的反射 Brown 运动跨过某给定时刻 t 的离开 Martin 边界的游程．在此基础上,给出 Lipschitz 域上的反射 Brown 运动的边界过程的 L(?)vy 系统．     

β分式α稳定过程的1/H变差

本文主要讨论了β分式α稳定过程的1/H变差,这对关于β分式α稳定过程的随机分析是非常重要的.     

在重力场和磁场影响下自旋刚性航天器的周期运动

考虑重力场和磁场对轴对称航天器本体的影响，研究其质心在圆形轨道上的运动,通过降低系统的运动方程数，并将它变成为一个带电粒子在电磁场作用下的平面运动．确认系统运动是稳定的，并通过Liapunov全纯积分定理，构建其近似的周期运动.     

股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

关于Lipschitz域上反射Brown运动的游程

本文具体刻画有界Lipschitz域上的反射Brown运动跨过某给定时刻t的离开Martin边界的游程.在此基础上,给出Lipschitz域上的反射Brown运动的边界过程的Levy系统.     

Fractional Brownian Motion and Sheet as White Noise Functionals

In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and Фksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed.     

热泳和Brown运动对太阳能辐射下热分层纳米流体边界层流动的影响

在太阳辐射下的纳米流体中,数值地研究竖向延伸壁面具有可变流条件时的层流运动.使用的纳米流体模型为,在热分层中综合考虑了Brown运动和热泳的影响.应用一个特殊形式的Lie群变换,即缩放群变换,得到相应边值问题的对称群.对平移对称群得到一个精确解,对缩放对称群得到数值解.数值解依赖于Lewis数、Brown运动参数、热分层参数和热泳参数.得到结论:上述参数明显地影响着流场、温度和纳米粒子体积率的分布.显示出纳米流体提高了基流体热传导率和对流的热交换性能,基流体中的纳米粒子还具有改善液体辐射性能的作用,直接提高了太阳能集热器的吸热效率.     

Optimal selling time in stock market over a finite time horizon

In this paper, we examine the best time to sell a stock at a price being as close as possible to its highest price over a finite time horizon [0, T ], where the stock price is modelled by a geometric Brownian motion and the ’closeness’ is measured by the relative error of the stock price to its highest price over [0, T ]. More precisely, we want to optimize the expression: where (V t ) t≥0 is a geometric Brownian motion with constant drift α and constant volatility σ > 0, M t = max Vs is the running maximum of the stock price, and the supremum is taken over all possible stopping times 0 ≤τ≤ T adapted to the natural filtration (F t ) t≥0 of the stock price. The above problem has been considered by Shiryaev, Xu and Zhou (2008) and Du Toit and Peskir (2009). In this paper we provide an independent proof that when α = 1 2 σ 2 , a selling strategy is optimal if and only if it sells the stock either at the terminal time T or at the moment when the stock price hits its maximum price so far. Besides, when α > 1 2 σ 2 , selling the stock at the terminal time T is the unique optimal selling strategy. Our approach to the problem is purely probabilistic and has been inspired by relating the notion of dominant stopping ρτ of a stopping time τ to the optimal stopping strategy arisen in the classical "Secretary Problem".