动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.     

Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

Research on Hawking Radiation as Tunneling from Schwarzshild-anti-de Sitter Black Hole

After taking into account energy conservation and the particle’s self-gravitation interaction, Hawking radiation of the massive particle as tunneling from Schwarzshild-anti-de Sitter black hole is studied by using Parikh-Wilczek’s semi-classical quantum tunneling approach. Meanwhile, Hawking radiation as tunneling from the black hole is reexamined by developing Angheben–Nadalini–Vanzo–Zerbini (ANVZ) covariant method to cover energy conservation and the particle’s self-gravitation interaction. Both the results perfectly generalize those obtained by Parikh and Wilczek, and show that the tunneling rate is related to the change of Bekenstein-Hawking entropy, and the factual emission spectrum is not exactly thermal, but satisfies the underlying unitary theory. PACS: 04.70-s, 9760. Lf.     

On the blow-up rate of large solutions for a porous media logistic equation on radial domain

In this paper we establish the exact blow-up rate of the large solutions of a porous media logistic equation. We consider the carrying capacity function with a general decay rate at the boundary instead of the usual cases when it can be approximated by a distant function. Obtaining the accurate blow-up rate allows us to establish the uniqueness result. Our result covers all previous results on the ball domain and can be further adapted in a more general domain.     

Lp[0,1]空间Müntz有理逼近的Jackson型估计

设Λ={λn}n∞=1为正的实数数列,且当n→∞时,有λn↘0.本文给出了当λn≤Mn-1/2,n=1,2,…,(其中M＞0为一正常数)时Müntz系统{xλn}的有理函数在Lp[0,1]空间的逼近速度,主要结论为Rn(f,Λ) Lp≤CMω(f,n-1/2)Lp,1≤p≤∞.     

多气隙电阻板室抗辐照性能研究

给出了为RHIC-STAR飞行时间探测器设计的多气隙电阻板室(MRPC)的辐照实验结果. 实验采用100mCi⁶⁰Co γ源, 采用不同的剂量率对MRPC进行辐照. 一个室在大剂量率2.87×10^－2Gy/h下辐照了24h后, 其性能如噪声计数率, 暗电流等均大大退化. 另一个室在相对低剂量率5.31×10^－4Gy/h下辐照了530h, 其性能没有见到任何变坏. 实验的目的是为了了解这种探测器在几年的运行中经过大剂量的辐照后的性能变化情况.     

直接资本化法中自有资本收益率的算法探讨

在分析我国房地产自有资本收益率操作中所存在问题的基础上,论述了自有资本收益率的实质是自有资金直接资本化率,并在房地产持有期小于抵押贷款期以及房地产持有期和土地批租年限相同的两种情况下,推导出了与土地有限期使用制度相适应的房地产资本化率和自有资本收益率的计算方法,提出了利用债务保障比率的取值范围检验资本化率合理性的基本公式.     

掺铒光纤放大器中上转换过程的影响

掺杂浓度的提高影响了掺铒光纤放大器(EDFA)的性能,对经典Giles模型提出了新的要求。首先研究了高掺杂下铒离子距离较小引起的上转换过程的机理,通过优化速率方程模型分析了上转换过程对EDFA的影响,得出了在泵浦光和信号光远远大于ASE光的假设下泵浦光和信号光沿光纤长度变化的近似表达式,并将该近似分析解与解析解进行了比较。仿真结果表明上转换过程会降低随光纤传输的信号光和泵浦光,影响EDFA的放大性能,并得出了当掺铒浓度大于2.95×1025m-3时,上转换过程的影响不能忽略的结论。     

随机环境下的对称零程过程的大偏差原理

利用相对熵方法及鞅方法给出了随机环境下的对称零程过程的经验测度的收敛速度函数.     

1.54μmEr3+,Yb3+共掺玻璃激光器的速率方程及数值分析

LD抽运共掺Er,Yb玻璃激光器中的跃迁过程较复杂,针对双掺离子之间的能量传递和Er3+的多种跃迁过程,给出了详细的准三能级系统的速率方程,在合理简化后进行了数值分析,分析了Er3+掺杂浓度和介质长度、抽运光斑、输出镜透过率、谐振腔长、抽运光的椭圆度等因素对激光阈值及斜率效率的影响. 关键词： 1.54μm激光 Er3+玻璃 速率方程 数值分析