Charge transport in a polypeptide chain

Charge transport is one important example of signal transduction in a protein which is responsible for action at a distance, and is a fundamental process in biochemical action. A model is presented in which electronic effects interact with motional processes to combine into a bifunctional model. This model is investigated with new detailed molecular dynamics calculations and successfully explains such action at a distance. Received 1st February 2002 / Received in final form 26 May 2002 Published online 13 September 2002     

Every diassociative A-loop is Moufang

An A-loop is a loop in which every inner mapping is an automorphism. A problem which had been open since 1956 is settled by showing that every diassociative A-loop is Moufang.

     

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.     

Development of a Simulation Model for Solid Objects Suspended in a Fluctuating Fluid

We introduce a new scheme for the future application of Real-coded Lattice Gas (RLG) to the numerical simulation of suspended solid objects in a fluctuating fluid environment. The reproduction of Brownian motion for a single solid object is verified through the Gaussian distribution of its displacements. The effectiveness of the solid–solid interaction model is also confirmed in an N-body simulation.     

Brownian surfaces with boundary and Deligne cohomology

We define differentiable random surfaces, which realize a kind of generalized parallel transport for line bundles over the loop space. This gives a realization of one of the axioms of Segal of conformal field theory.     

Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

一类NLS-mKdV方程族的扩展可积系统

利用代数变换，构造了与文献［５］中的loop代数₂的子代数等价的loop代数1的一个子 代数₁.再将₁扩展为一个高维的loop代数.利用设计了一个等谱问题 ，结合子代数间的直 和运算和同构关系，得到了NLS_mKdV方程族的一类扩展可积系统.作为约化情形，求得了著 名的Schrdinger方程与mKdV方程的可积耦合系统. 关键词： loop代数 可积系统 等谱问题     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

非线性光纤环形镜的脉冲透过特性研究

研究了光纤反常色散区非线性环形镜（NOLM）的脉冲透过特性，得到NOLM周期性透过率函数 第一极大值处透过率、压缩比和对应的孤子阶数与环长之间的函数关系图.通过比较长环和 短环NOLM对无啁啾、啁啾脉冲的透过率和压缩比特性，得出了长环有利于脉冲整形而短环有 利于脉冲压缩的结论. 关键词： 非线性环形镜 透过率 压缩比 孤子阶数     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.