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The valuation of barrier options under a threshold rough Heston model

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Journal of Management Science and Engineering 2023年第1期8卷 15-31页

作者： kevin z.Tong Allen Liu Department of Mathematics and Statistics University of Ottawa585 King EdwardOttawaOntarioK1N 6N5Canada Enterprise Risk and Portfolio Management Bank of MontrealFirst Canadian PlaceTorontoOntarioM5X 1A3Canada

In this paper,we propose a novel model for pricing double barrier options,where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process,which is driven by the convolution of a fractional kernel with the CIR *** new model both captures the leverage effect and produces rough paths for the volatility *** model also nests the threshold diffusion,Heston and rough Heston *** can derive analytical formulas for the double barrier option prices based on the eigenfunction expansion *** also implement the model and numerically investigate the sensitivities of option prices with respect to the parameters of the model.

关键词： Rough stochastic volatility Threshold diffusion Barrier options Eigenfunction expansion Stochastic time change

A stock assessment for Illex argentinus in Southwest Atlantic using an environmentally dependent surplus production model

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Acta Oceanologica Sinica 2018年第2期37卷 94-101页

作者： WANG Jintao chen Xinjun kevin W.Staples chen Yong College of Marine Sciences Shanghai Ocean University Shanghai 201306 China National Distant-water Fisheries Engineering Research Center Shanghai Ocean University Shanghai 201306 China Key Laboratory of Sustainable Exploitation of Oceanic Fisheries Resources of Ministry of Education Shanghai Ocean University Shanghai 201306 China School of Marine Sciences University of Maine Orono Maine 04469 USA Collaborative Innovation Center for National Distant-water Fisheries Shanghai 201306 China

The southern Patagonian stock（SPS） of Argentinian shortfin squid, Illex argentinus, is an economically important squid fishery in the Southwest Atlantic. Environmental conditions in the region play an important role in regulating the population dynamics of the I. argentinus population. This study develops an environmentally dependent surplus production（EDSP） model to evaluate the stock abundance of I. argentines during the period of 2000 to 2010. The environmental factors（favorable spawning habitat areas with sea surface temperature of 16–18°C） were assumed to be closely associated with carrying capacity（K） in the EDSP model. Deviance Information Criterion（DIC） values suggest that the estimated EDSP model with environmental factors fits the data better than a Schaefer surplus model without environmental factors under uniform and normal *** EDSP model estimated a maximum sustainable yield（MSY） from 351 600 t to 685 100 t and a biomass from 1 322 400 t to1 803 000 t. The fishing mortality coefficient of I. argentinus from 2000 to 2010 was smaller than the values of F（0.1） and F（MSY）. Furthermore, the time series biomass plot of I. argentinus from 2000 to 2010 shows that the biomass of *** and this fishery were in a good state and not presently experiencing overfishing. This study suggests that the environmental conditions of the habitat should be considered within squid stock assessment and management.

关键词： Illex argentinus stock assessment Schaefer surplus production model environmental factors Southwest Atlantic

Evaluation of different Krylov subspace methods for simulation of the water faucet problem

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Nuclear Science and Techniques 2021年第5期32卷 1-16页

作者： Hong-Yang Wei kevin Briggs Victor Quintanilla Yi-Tung chen Department of Mechanical Engineering University of NevadaLas VegasNV 89154USA

In this study,a one-dimensional two-phase flow four-equation model was developed to simulate the water faucet *** performance of six different Krylov subspace methods,namely the generalized minimal residual(GMRES),transpose-free quasi-minimal residual,quasi-minimal residual,conjugate gradient squared,biconjugate gradient stabilized,and biconjugate gradient,was evaluated with and without the application of an incomplete LU(ILU)factorization preconditioner for solving the water faucet *** simulation results indicate that using the ILU preconditioner with the Krylov subspace methods produces better convergence performance than that without the ILU *** the GMRES demonstrated an acceptable convergence performance under the Krylov subspace methods without the *** velocity and pressure distribution in the water faucet problem could be determined using the Krylov subspace methods with an ILU preconditioner,while GMRES could determine it without the need for a ***,there are significant advantages of using an ILU preconditioner with the GMRES in terms of *** different Krylov subspace methods showed similar performance in terms of computational efficiency under the application of the ILU preconditioner.

关键词： Water faucet problem Krylov subspace methods ILU preconditioner

Dynamic Plastic Response of Circular Plates Resting on Fluid with Finite Deformation

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China Ocean Engineering 1998年第1期13卷 53-62页

作者： Wang, G Li, z.chen, TY Marine Design & Res Inst China Shanghai 200011 Peoples R China Shanghai Jiao Tong Univ Dept Naval Architecture & Ocean Engn Shanghai 200030 Peoples R China

This paper concerns the dynamic plastic response of a circular plate resting on fluid subjected to a uniformly distributed rectangular load pulse with finite deformation. It is assumed that the fluid is incompressible and inviscous, and the plate is made of rigid-plastic material and simply supported along its edge. By using the method of the Hankel integral transformation, the nonuniform fluid resistance is derived as the plate and the fluid is coupled. Finally, an analytic solution for a circular plate under a medium load is obtained according to the equations of motion of the plate with finite deformation.

关键词： rigid-plastic circular plate dynamic plastic response fluid-solid coupling finite deformation

Carbon nanotube and conducting polymer composites for supercapacitors

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Progress in Natural Science:Materials International 2008年第7期18卷 777-788页

作者： Daniel Jewell George z. chen School of Chemical and Environmental and Mining Engineering University of Nottingham University ParkNottingham NG7 2RD UK

Composites of carbon nanotubes and conducting polymers can be prepared via chemical synthesis, electrochemical deposition on pre- formed carbon nanotube electrodes, or by electrochemical co-deposition. The composites combine the large pseudocapacitance of the conducting polymers with the fast charging/discharging double-layer capacitance and excellent mechanical properties of the carbon nanotubes. The electrochemically co-deposited composites are the most homogeneous and show an unusual interaction between the polymer and nanotubes, giving rise to a strengthened electron delocalisation and conjugation along the polymer chains. As a result they exhibit excellent electrochemical charge storage properties and fast charge/discharge switching, making them promising electrode mate- rials for high power supercapacitors.

关键词： Supercapacitor Carbon nanotube Conducting polymer

Analysis of Contact Melting Driven by Surface Heat Flux Around a Cylinder

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Journal of Thermal Science 2008年第1期17卷 64-68页

作者： Y.S.zhao W.z.chen F.R.Sun z.Y.chen Faculty of Thermal Engineering College of Power and ShippingNaval University of EngineeringWuhan 430033China Faculty of Thermal Engineering College of Power and ShippingNaval University of EngineeringWuhan 430033China Professor

The contact melting of phase change material around a moving horizontal cylindrical heat source, which descended under its own weight, is investigated in this article. A melting model under constant surface heat flux is established. The analytical results for thickness and pressure distributions inside melt layer and steady melting velocity are obtained by using contact melting theory. The melting law is discussed, and compared with that of contact melting driven by temperature difference. It is found that quasi-steady melting velocity is determined by heat flux of heat source, and the variation of heat source density has less effect on melting velocity.

关键词： Contact melting horizontal cylinder phase change phenomena

Food safety regulatory systems in Europe and China:A study of how co-regulation can improve regulatory effectiveness

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Journal of Integrative Agriculture 2015年第11期14卷 2203-2217页

作者： kevin chen WANG Xin-xin SONG Hai-ying Beijing Office International Food Policy Research Institute School of Economics and International Trade Zhejiang University of Finance and Economics International Business Administration College Zhejiang International Studies University

Food safety has received a great deal of attention in both developed and developing countries in recent years. In China, the numerous food scandals and scares that have struck over the past decade have spurred significant food safety regulatory reform, which has been increasingly oriented towards the public-private partnership model adopted by the Europe Union＇s （EU） food safety regulatory system. This paper analyzes the development of both the EU＇s and China＇s food safety regu- latory systems, identifies the current challenges for China and additionally considers the role of public-private partnership. The success of co-regulation in the food regulatory system would bring significant benefits and opportunities for China. Finally, this paper recommends additional measures like training and grants to improve the private＇s sector effectiveness in co-regulating China＇s food safety issues.

关键词： food safety co-regulation public-private partnership Food Safety Law of China European Union China

Development of barium@alginate adsorbents for sulfate removal in lithium refining

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Frontiers of Chemical Science and Engineering 2021年第1期15卷 198-207页

作者： Lisa Xu Kaifei chen George Q.chen Sandra E.Kentish Gang(kevin)Li Department of Chemical Engineering The University of MelbourneParkvilleVIC 3010Australia

The demand for lithium has been steadily growing in recent years due to the boom of electric *** purity lithium is commonly used in the manufacture of battery grade lithium *** residuals originating from acid leaching of lithium ores must be limited to below 20 mg·L^(−1) during *** are methods to remove sulfate such as membrane processing and chemical precipitation using barium ***,membrane separation is unable to achieve the required purity while chemical precipitation often causes secondary contamination with barium and requires extra filtration processes that lead to increased processing *** this study,we developed a polymeric matrix entrapped with barium ions as a novel adsorbent to selectively adsorb sulfate in aqueous *** adsorbent was prepared by dropwise injection method where alginate droplets were crosslinked with barium to form hydrogel *** a typical scenario,the microcapsules had a diameter of 3 mm and contained 5 wt-%*** microcapsules could successfully reduce sulfate concentration in a solution from 100 to 16 mg·L^(−1),exceeding the removal ***,the microcapsules were mechanically unstable in the presence of an excess amount of ***,calcium ions were added as a secondary crosslinking agent to improve the integrity of the *** two-step Ca/Ba@alginate microcapsules showed an exceptional adsorption performance,reducing the sulfate concentration to as low as 0.02 mg·L^(−1).Since the sulfate selective microcapsules can be easily removed from the aqueous system and do not result in secondary barium contamination,these Ca/Ba@alginate adsorbents will find applications in ultra-refining of lithium in industry.

关键词： barium@alginate microcapsules dropwise injection sulfate removal lithium

Constrained control of free piston engine generator based on implicit reference governor

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Science China(Information Sciences) 2018年第7期61卷 40-56页

作者： Xun GONG Ilya KOLMANOVSKY Emanuele GARONE kevin zASECK Hong chen State Key Laboratory of Automotive Simulation and Control Jilin University Department of Aerospace Engineering University of Michigan Ecole Polytechnique Universite Libre de Bruxelles

The free piston engine generator(FPEG) is a novel power plant concept for series hybrid electric vehicles(HEV) that requires reliable control to regulate piston motion and guarantee safe operation during load transitions. This paper focuses on the control and constraint enforcement in a FPEG using a reference governor. A discrete, implicit, control oriented model describing the piston motion in a two-stroke twocylinder FPEG at the turnaround point is derived based on energy balance and a feedback controller is designed to track the desired turnaround position by regulating fuel. An implicit reference governor is developed to guarantee safe piston motion by managing the load transitions. The reference governor utilizes Newton’s method applied to an implicit nonlinear model for response prediction and a bisection search algorithm to enforce the constraints for all the future time instants by adjusting the reference ***, the error in applying one iteration of Newton’s method in predicting the response of the implicit nonlinear system is estimated and accounted for in constraint tightening to guarantee that constraints are robustly enforced. The simulation results show that the feedback control scheme incorporating the developed implicit reference governor can effectively enforce the prescribed constraints during load transition.

关键词： free piston engine generator implicit system reference governor Newton’s method error bound