An analysis of over-relaxation in a kinetic approximation of systems of conservation laws

The over-relaxation approach is an alternative to the Jin–Xin relaxation method in order to apply the equilibrium source term in a more precise way. This is also a key ingredient of the lattice Boltzmann method for achieving second-order accuracy. In this work, we provide an analysis of the over-relaxation kinetic scheme. We compute its equivalent equation, which is particularly useful for devising stable boundary conditions for the hidden kinetic variables.     

关于混合型多项式Hammerstein积分方程正解迭代求法

本文给出了混合型多项式Ｈａｍｍｅｒｓｔｅｉｎ积分方程正解的迭代求法，并将所得结果应用到二阶非线性常微分方程的边值问题     

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     

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.     

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.