Efficient Collocation Schemes for Singular Boundary Value Problems

We discuss an error estimation procedure for the global error of collocation schemes applied to solve singular boundary value problems with a singularity of the first kind. This a posteriori estimate of the global error was proposed by Stetter in 1978 and is based on the idea of Defect Correction, originally due to Zadunaisky. Here, we present a new, carefully designed modification of this error estimate which not only results in less computational work but also appears to perform satisfactorily for singular problems. We give a full analytical justification for the asymptotical correctness of the error estimate when it is applied to a general nonlinear regular problem. For the singular case, we are presently only able to provide computational evidence for the full convergence order, the related analysis is still work in progress. This global estimate is the basis for a grid selection routine in which the grid is modified with the aim to equidistribute the global error. This procedure yields meshes suitable for an efficient numerical solution. Most importantly, we observe that the grid is refined in a way reflecting only the behavior of the solution and remains unaffected by the unsmooth direction field close to the singular point.     

简谐速度噪声及其与势场之间的频率共振

为了描述复杂的噪声环境，考虑了一种具有频率结构的噪声——简谐速度噪声，包括它的产生、关联函数、功率谱以及作为热噪声时的频率特性所导致的一些行为.结果表明：在频谱空间中简谐速度噪声是一种带通噪声，存在一个峰值频率，且噪声带宽由参量Γ控制.当简谐势中的一个布朗粒子受热简谐速度噪声驱动时，粒子能量极大值出现在两种频率相等的情况下.这表明噪声和势场的频率之间存在动力学共振，决定着粒子能量的大小. 关键词： 简谐噪声 简谐速度噪声 功率谱 频率共振     

Simulation of the Action of a Permeable Barrier on an Ideal Incompressible Channel Flow

Plane ideal incompressible flow in a rectangular channel partitioned by a thin permeable barrier (lattice) is considered. In flowing through the lattice the stream suddenly (jumpwise) changes direction and loses energy. The flow is assumed to be vortical; the vorticity is discontinuous on the lattice. A mathematical formulation of the problem for the stream function is proposed in the form of a nonlinear elliptic equation with coefficients discontinuous on the lattice line. A numerical solution is constructed using the finite-element iteration method. The results of the numerical simulation show how the flow velocity profile in the channel can be controlled by means of permeable barriers.     

93W合金有关力学参量的综合选评

 对93W合金材料进行了超声测量实验，并结合原有的超声测量结果进行了分析比较，提出了可以直接用冲击波速度关系式的三个系数c₀ 、λ和λ′来对钨合金的有关力学参量，如G₀、K₀、G₀′、K₀′等进行综合选评的方法。得到了一组对93W合金较为合理的力学参量推荐值。     

Parametric estimation of discretely sampled Gamma-OU processes

The stationary Gamma-OU processes are recommended to be the volatility of the financial assets. A parametric estimation for the Gamma-OU processes based on the discrete observations is considered in this paper. The estimator of an intensity parameter A and its convergence result are given, and the simulations show that the estimation is quite accurate. Assuming that the parameter A is estimated, the maximum likelihood estimation of shape parameter c and scale parameter a, whose likelihood function is not explicitly computable, is considered. By means of the Gaver-Stehfest algorithm, we construct an explicit sequence of approximations to the likelihood function and show that it converges the true (but unkown) one. Maximizing the sequence results in an estimator that converges to the true maximum likelihood estimator and the approximation shares the asymptotic properties of the true maximum likelihood estimator. Some simulation experiments reveal that this method is still quite accurate in most of rational situations for the background of volatility.     

图像稳定技术中的像运动描述及其处理分析

随着图像系统的广泛应用,对图像的稳定要求也越来越高。图像的运动和不稳定是常见的,往往是由于载体的运动引起的,为了达到图像稳定的目的,就需要对其运动进行描述,然后采用相应的算法进行补偿。给出了运动对图像清晰度的影响及像偏移的估算,并对数字电子图像稳定系统进行了简单阐述。     

Nd0.5Ca0.5Mn1-xAlxO3 (x=0,0.03)体系中电荷有序态的超声研究

系统研究了Nd0．5Ca0．5Mn1-xAlxO3(x=0,0．03)单相多晶样品在低温下的电磁性质和超声特性．电阻和磁化率测量表明,Nd0．5Ca0.5O3体系在TCO-257 K处发生了电荷有序相变．超声声速从室温开始随着温度的降低逐渐减小,并在TCO附近达到最小,之后,随着温度的进一步降低,声速急刷增加,同时伴随着一个尖锐的超声衰减峰出现.TCO附近的超声异常表明体系中存在着强烈的电-声子相互作用,该电-声子耦合来源于Mn3 的Jahn-Teller效应．在低温下,出现了另一个超声衰减峰,它的出现归结为反铁磁相与顺磁相之间的相分离现象.随着Al在Mn位的掺入,超声声速的最低点和衰减峰向低温移动,表明体系中的电荷有序态和反铁磁相均被部分抑制,     

An admissible minimax estimator of a bounded scale-parameter in a subclass of the exponential family under scale-invariant squared-error loss

A subclass of the scale-parameter exponential family is considered and for the rth power of the scale parameter, which is lower bounded, an admissible minimax estimator under scale-invariant squared-error loss is presented. Also, an admissible minimax estimator of a lower-bounded parameter in the family of transformed chi-square distributions is given. These estimators are the pointwise limits of a sequence of Bayes estimators. Some examples are given.     

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 in the continuous time mover‐stayer model with an application to bond ratings migration

The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd.