检索结果-南通市图书馆

PROBABILISTIC NUMERICAL APPROACH FOR PDE AND ITS APPLICATION IN THE VALUATION OF EUROPEAN OPTIONS

在线全文

学校读者我要写书评

暂无评论

Journal of Computational mathematics 2001年第6期19卷 591-600页

作者： Dong-sheng Wu (institute of systems science, academy of mathematics and systems sciences, chinese academy of sciences, beijing 100080, china.) 中科院系统科学所北京 100080

Presents a probabilistic numerical approach for a class of probabilistic differential equation. Application of the Brownian motion and Monte-Carlo method; Application in the valuation of European Options.

关键词： Brownian motion probabilistic numerical solution European Options

CONVERGENCE AND SUPERCONVERGENCE OF HERMITE BICUBIC ELEMENT FOR EIGENVALUE PROBLEM OF THE BIHARMONIC EQUATION

在线全文

学校读者我要写书评

暂无评论

Journal of Computational mathematics 2001年第2期19卷 139-142页

作者： Dong-sheng Wu (institute of systems science, academy of mathematics and systems sciences, chinese academy of sciences, beijing 100080, china.) 中科院系统科学所北京 100080

Provides information on a study which discussed the convergence and superconvergence for eigenvalue problem of the biharmonic equation using the Hermite bicubic element. Discussion on eigenvalue problem for biharmonic equation; Background on asymptotic error expansions and interpolation postprocessing; Superconvergence approximations to the eigenvalue and eigenfunction.

关键词： Hermite bicubic element biharmonic equation interpolation postprocessing eigenvalue problem

Lower bounds for eigenvalues of the Dirac-Witten operator

在线全文

学校读者我要写书评

暂无评论

science china.mathematics 2009年第8期52卷 2459-2468页

作者： CHEN YongFa institute of mathematics,academy of mathematics and systems science,chinese academy of sciences,beijing 100190,china institute of mathematics Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China

We get optimal lower bounds for the eigenvalues of the Dirac-Witten operator of compact(with or without boundary) spacelike hypersurfaces of Lorentian manifold satisfying certain conditions,just in terms of the mean curvature and the scalar curvature and the spinor energy-momentum tensor. In the limiting case,the spacelike hypersurface is either maximal and Einstein manifold with positive scalar curvature or Ricci-flat manifold with nonzero constant mean curvature.

关键词： Dirac-Witten operator eigenvalue mean curvature scalar curvature 53C27 53C40 53C80 83C60

NONPARAMETRIC APPROACH TO IDENTIFYING NARX systems

在线全文

学校读者我要写书评

暂无评论

Journal of systems science & Complexity 2010年第1期23卷 3-21页

作者： Qijiang SONG·Han-Pu CHEN Key Laboratory of systems and Control,institute of systems science,academy of mathematics and systems science,chinese academy of sciences,beijing 100190,china Key Laboratory of systems and Control Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences

This paper considers identification of the nonlinear autoregression with exogenous inputs(NARX system).The growth rate of the nonlinear function is required be not faster than linear withslope less than *** value of f(·) at any fixed point is recursively estimated by the stochasticapproximation (SA) algorithm with the help of kernel *** consistency of the estimatesis established under reasonable conditions,which,in particular,imply stability of the *** simulation is consistent with the theoretical analysis.

关键词： α-mixing geometrically ergodic Markov chains NARX nonparametric recursive estimate stochastic approximation strongly consistent.

A quasi-local mass for 2-spheres with negative Gauss curvature

在线全文

学校读者我要写书评

暂无评论

science china.mathematics 2008年第9期51卷 1644-1650页

作者： ZHANG Xiao institute of mathematics, academy of mathematics and systems science, chinese academy of sciences, beijing 100080, china institute of mathematics Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China

We extend our previous definition of quasi-local mass to 2-spheres whose Gauss curvature is negative, and prove its positivity.

关键词： general relativity quasi-local mass positivity 53C27 53C50 83C60

MULTI-AGENT TRACKING OF A HIGH-DIMENSIONAL ACTIVE LEADER WITH SWITCHING TOPOLOGY

在线全文

学校读者我要写书评

暂无评论

Journal of systems science & Complexity 2009年第4期22卷 722-731页

作者： Yiguang HONG Xiaoli WANG Key Lab of systems and Control,institute of systems science,academy of mathematics and systems science,chinese academy of sciences,beijing 100190,china. Key Lab of systems and Control Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China

This paper considers a multi-agent tracking problem for a high-dimensional active leaderand variable interconnection topology. The state of the leader not only keeps changing but also maynot be measured. To estimate the state such a leader individually, a neighbor-based local controllertogether with a neighbor-based state-estimation rule is given for each autonomous agent. Then, theauthors prove that, with the help of a constructed common Lyapunov function (CLF), each agent cantrack the active leader with unmeasurable states. Finally, the authors explicitly construct a CLF foran active leader with unknown periodic input for illustration.

关键词： Active leader distributed algorithms multi-agent systems switching topology.

Holomorphic invariant forms of a bounded domain

在线全文

学校读者我要写书评

暂无评论

science china.mathematics 2008年第11期51卷 1945-1964页

作者： LU QiKeng institute of mathematics, academy of mathematics and systems science, chinese academy of sciences, beijing 100190, china institute of mathematics Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China

Given a complete ortho-normal system ? = (?0,?1,?2,…) of L 2 H( $ \mathcal{D} $ ), the space of holomorphic and absolutely square integrable functions in the bounded domain $ \mathcal{D} $ of ? n , we construct a holomorphic imbedding $ \iota _\phi :\mathcal{D} \to \mathfrak{F}(n,\infty ) $ , the complex infinite dimensional Grassmann manifold of rank n. It is known that in $ \mathfrak{F}(n,\infty ) $ there are n closed (μ, μ)-forms τμ (μ = 1,…,n) which are invariant under the holomorphic isometric automorphism of $ \mathfrak{F}(n,\infty ) $ and generate algebraically all the harmonic differential forms of $ \mathfrak{F}(n,\infty ) $ . So we obtain in $ \mathcal{D} $ a set of (μ, μ)-forms ι ? * τμ (μ = 1,…, n), which are independent of the system ? chosen and are invariant under the bi-holomorphic transformations of $ \mathcal{D} $ . Especially the differential metric ds 2 1 associated to the K?hler form ι ? * τ1 is a K?hler metric which differs from the bergman metric ds 2 of $ \mathcal{D} $ in general, but in case that the bergman metric is an Einstein metric, ds 1 2 differs from ds 2 only by a positive constant factor.

关键词： complete ortho-normal system holomorphic invariant forms 32A36 32A65

Fiducial inference in the pivotal family of distributions

在线全文

学校读者我要写书评

暂无评论

science china.mathematics 2006年第3期49卷 410-432页

作者： XU Xingzhong & LI Guoying Department of mathematics, beijing institute of Technology, beijing 100081, china.academy of mathematics and systems science, chinese academy of sciences, beijing 100080, china Department of mathematics Beijing Institute of Technology Beijing China academy of mathematics and systems science Chinese Academy of Sciences Beijing China

In this paper a family, called the pivotal family, of distributions is considered.A pivotal family is determined by a generalized pivotal model. Analytical results show that a great many parametric families of distributions are pivotal. In a pivotal family of distributions a general method of deriving fiducial distributions of parameters is proposed. In the method a fiducial model plays an important role. A fiducial model is a function of a random variable with a known distribution, called the pivotal random element, when the observation of a statistic is *** method of this paper includes some other methods of deriving fiducial distributions. Specially the first fiducial distribution given by Fisher can be derived by the method. For the monotone likelihood ratio family of distributions, which is a pivotal family, the fiducial distributions have a frequentist property in the Neyman-Pearson view. Fiducial distributions of regular parametric functions also have the above frequentist property. Some advantages of the fiducial inference are exhibited in four applications of the fiducial distribution. Many examples are given, in which the fiducial distributions cannot be derived by the existing methods.

关键词： confidence bounds, fiducial distributions, fiducial model, frequentist prop-erty, generalized pivotal model, pivotal family of distributions, testing hypotheses.

ON THE OBSERVABILITY AND DETECTABILITY OF LINEAR STOCHASTIC systems WITH MARKOV JUMPS AND MULTIPLICATIVE NOISE

在线全文

学校读者我要写书评

暂无评论

Journal of systems science & Complexity 2010年第1期23卷 102-115页

作者： Yuanhua NI Weihai ZHANG Haitao FANG Key Laboratory of systems and Control Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 China. College of Information and Electrical Engineering Shandong University of Science and Technology Qingdao China.

This paper presents the notions of exact observability and exact detectability for Markov jump linear stochastic systems of Ito type with multiplieative noise （for short, MJLSS）. Stochastic Popov-Belevith-Hautus （PBH） Criterions for exact observability and exact detectability are respectively obtained. As an application, stochastic H2/H∞ control for such MJLSS is discussed under exact detectability.

关键词： Exact detectability exact observability Markov jump systems multiplicative noise PBH Criterion stochastic H2/H∞ control.