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Regime switching模型下的幂式期权定价(英文)
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作者 苏小囡 王伟 王文胜 《华东师范大学学报(自然科学版)》 CAS CSCD 北大核心 2013年第6期32-39,共8页
研究了标的资产价格过程服从马尔科夫调节的几何布朗运动时的欧式幂型看涨期权的定价问题.特别是,市场利率,标的风险资产的预期收益率与波动率随着马尔科夫链的状态转移而变化.由于市场不完备,通过采用regime switching Esscher变换得... 研究了标的资产价格过程服从马尔科夫调节的几何布朗运动时的欧式幂型看涨期权的定价问题.特别是,市场利率,标的风险资产的预期收益率与波动率随着马尔科夫链的状态转移而变化.由于市场不完备,通过采用regime switching Esscher变换得到一个等价鞅测度并给出期权的定价公式.最后,考虑了所得结果的数值分析. 展开更多
关键词 regime SWITCHING 幂式期权 regime SWITCHING ESSCHER变换 期权定价 数值分析
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Markov repairable systems with stochastic regimes switching 被引量:5
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作者 Liying Wang Lirong Cui Mingli Yu 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2011年第5期773-779,共7页
Compared with the classical Markov repairable system, the Markov repairable system with stochastic regimes switching introduced in the paper provides a more realistic description of the practical system. The system ca... Compared with the classical Markov repairable system, the Markov repairable system with stochastic regimes switching introduced in the paper provides a more realistic description of the practical system. The system can be used to model the dynamics of a repairable system whose performance regimes switch according to the external conditions. For example, to satisfy the demand variation that is typical for the power and communication systems and reduce the cost, these systems usually adjust their operating regimes. The transition rate matrices under distinct operating regimes are assumed to be different and the sojourn times in distinct regimes are governed by a finite state Markov chain. By using the theory of Markov process, Ion channel theory, and Laplace transforms, the up time of the system are studied. A numerical example is given to illustrate the obtained results. The effect of sojourn times in distinct regimes on the availability and the up time are also discussed in the numerical example. 展开更多
关键词 Markov repairable system up time stochastic regimes switching system Markov process.
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Hydro-geodynamic Regime of the Mineral Groundwater Deposit in Kemeri(Latvia)
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作者 Lei Wei Geological Department,Moscow State University,Moscow 119234,Russia. 《地学前缘》 EI CAS CSCD 北大核心 2009年第S1期11-11,共1页
The mineral(hydrogen sulfide) groundwater deposit is situated to the west of the city Riga(the capital of Latvia),and near the coast Gulf of Riga. There is a big health resort(spa) for the recovery of patients.The dep... The mineral(hydrogen sulfide) groundwater deposit is situated to the west of the city Riga(the capital of Latvia),and near the coast Gulf of Riga. There is a big health resort(spa) for the recovery of patients.The deposit Kemeri appertains to the Baltic artesian basin.There is an aquifer system with 7 layers,among them 4 layers are aquifers,the others are aquitards.Salaccpilskiy aquifer contains 展开更多
关键词 MINERAL GROUNDWATER hydro-geodynamic regime contamination
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A Diffusion Equation for Gas Permeation though an Inorganic Porous Membrane in the Knudsen Regime
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作者 Pei Huang Nanping Xu Jun Shi(Nanjing Institute of Chemical. Technology, Nanjing 210009, P.R.China) 《高校化学工程学报》 EI CAS CSCD 1994年第S1期111-114,共4页
ADiffusionEquationforGasPermeationthoughanInorganicPorousMembraneintheKnudsenRegimePeiHuang;NanpingXu;JunShi... ADiffusionEquationforGasPermeationthoughanInorganicPorousMembraneintheKnudsenRegimePeiHuang;NanpingXu;JunShi(NanjingInstitute... 展开更多
关键词 MEMBRANE EQUATION Gas INORGANIC Knudsen Diffusion PERMEATION POROUS regime an
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Monitoring and Analysis on Impact of Gezhouba Hydroproject on Downstream River Course 被引量:6
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作者 TANG Cong-shengSenior Engineer, Jingjiang Hydrologic and Water Resources Survey Bureau, Changjiang Water Resources Commission, Jingzhou 434002, China SONG Shi-jieEngineer, Jingjiang Hydrologic and Water Resources Survey Bureau, Changjiang Water Resources Commission, Jingzhou 434002, China WANG Wei-guoSenior Engineer, Jingjiang Hydrologic and Water Resources Survey Bureau, Changjiang Water Resources Commission, Jingzhou 434002, China HU Chun-pingSenior Engineer, Jingjiang Hydrologic and Water Resources Survey Bureau, Changjiang Water Resources Commission, Jingzhou 434002, China 《人民长江》 北大核心 2002年第S1期46-49,共4页
Gezhouba hydroproject was impounded and put into operation in 1981. In order to analyse the impact on the downstream river course, Jingjiang Hydrologic and Water Resources Survey Bureau of Changjiang Water Resources C... Gezhouba hydroproject was impounded and put into operation in 1981. In order to analyse the impact on the downstream river course, Jingjiang Hydrologic and Water Resources Survey Bureau of Changjiang Water Resources Commission has conducted prototype observation on the Yichang-Chenglingji river stretch. On basis of the observed data, the change in river regime and scour-sedimentation evolution and water surface profile below the dam are analysed systematically. The results show that the scouring of downstream river course mainly stretches from Yichang to Ouchikou, mainly occurring in 1980~1987; the scourring mainly takes place in the river channel and the water surface profile drops significantly in dry season,but not quite in high flood season. 展开更多
关键词 DOWNSTREAM RIVER channel monitoring and analysis RIVER regime evolution scour-sediment computation variation of water surface Gezhouba hydroproject
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Experimental investigation of particle-induced pressure loss in solid–liquid lifting pipe 被引量:7
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作者 宋跃文 朱小军 +1 位作者 孙志强 唐达生 《Journal of Central South University》 SCIE EI CAS CSCD 2017年第9期2114-2120,共7页
In order to investigate the characteristics of particle-induced pressure loss in the solid–liquid lifting pipe,a series of experiments were conducted in 200 mm diameter lifting pipe.Simulation manganese nodules with ... In order to investigate the characteristics of particle-induced pressure loss in the solid–liquid lifting pipe,a series of experiments were conducted in 200 mm diameter lifting pipe.Simulation manganese nodules with five different mean diameters of10 mm,20 mm,30 mm,40 mm and 50 mm were used,both in isolation and a combination in equal fraction by mass.The flow velocities in the lifting pipe ranged from 0.12 m/s to 1.61 m/s,and the mass of particles employed was 10 kg for each particle diameter.Three regimes,wavy bed,partly fluidization,and fully fluidization,were observed over the flow velocity.The solid–liquid pressure drop data were measured by differential pressure transmitter,and pressure drop caused by the solid particles was calculated and analyzed.The results show that the evolutions of the pressure loss due to solid particles are relevant to the solid–liquid flow regimes,and they are distinctly influenced by fluid velocity and particle size. 展开更多
关键词 lifting pipe pressure loss simulation manganese nodules flow regimes
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A model to determining the remaining useful life of rotating equipment,based on a new approach to determining state of degradation 被引量:3
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作者 Saeed RAMEZANI Alireza MOINI +1 位作者 Mohamad RIAHI Adolfo Crespo MARQUEZ 《Journal of Central South University》 SCIE EI CAS CSCD 2020年第8期2291-2310,共20页
Condition assessment is one of the most significant techniques of the equipment’s health management.Also,in PHM methodology cycle,which is a developed form of CBM,condition assessment is the most important step of th... Condition assessment is one of the most significant techniques of the equipment’s health management.Also,in PHM methodology cycle,which is a developed form of CBM,condition assessment is the most important step of this cycle.In this paper,the remaining useful life of the equipment is calculated using the combination of sensor information,determination of degradation state and forecasting the proposed health index.The combination of sensor information has been carried out using a new approach to determining the probabilities in the Dempster-Shafer combination rules and fuzzy c-means clustering method.Using the simulation and forecasting of extracted vibration-based health index by autoregressive Markov regime switching(ARMRS)method,final health state is determined and the remaining useful life(RUL)is estimated.In order to evaluate the model,sensor data provided by FEMTO-ST Institute have been used. 展开更多
关键词 remaining useful life(RUL) prognostics and health management(PHM) autoregressive markov regime switching(ARMRS) health index(HI) Dempster-Shafer theory fuzzy c-means(FCM) Kurtosis-entropy DEGRADATION
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Quasi-steady aerodynamic characteristics of Terminal Sensitive Bullets with short cylindrical portion 被引量:2
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作者 Yong-liang Yang Rui Guo +3 位作者 Rong-zhong Liu Liang Chen Bo-yang Xing Bo-bo Zhao 《Defence Technology(防务技术)》 SCIE EI CAS CSCD 2021年第2期633-649,共17页
The aerodynamic characteristics are vital for short cylindrical Terminal Sensitive Bullets(TSB)with lowaspect ratio,especially in terminal trajectory.Currently,there is little research in terms of the TSB andshort cyl... The aerodynamic characteristics are vital for short cylindrical Terminal Sensitive Bullets(TSB)with lowaspect ratio,especially in terminal trajectory.Currently,there is little research in terms of the TSB andshort cylinder with two free ends,and particularly in this trajectory,where the scanning angleβand rollangle a vary over a broad range between 0°and 180.In this work wind tunnel experiments are firstconducted to learn the effects of Reynolds number and scanning angle on aerodynamic parameters forshort cylinder with aspect ratio L/D=1.Similar to infinite cylinder,for the short cylinder with two freeends,the drag crisis phenomenon still exists in the critical regime 1.7×10^(5)≤Re≤6.8×10^(5).Then 3Dsimulations are performed to demonstrate the aerodynamic characteristics of short cylinder and TSBover a broad range of Re,L/D,a and 6.The sensitivity analysis of time step and grid are presented as well.whenβ3=0,for short cylinder,the drag crisis phenomenon was also observed in the simulation,but notas obvious as in the wind tunnel test.In some attitudes,there is an obvious Karman vortexin the wake ofshort cylinder and TSB.The correlation between time-averaged aerodynamic coefficients and L/D,Re,a&l is discussed.The vortex shedding frequency and shear layer behavior are obtained for quasi-steadyand unsteady flow.Finally,the effect of end's shape on drag reduction and vortex shedding frequency isanalyzed. 展开更多
关键词 Turbulent flows around bluff body Critical regime Flow-induced structural vibration
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Thermal features of Qinghai-Tibet Railway Embankment with Crushed-stone Slope Protection in Permafrost Regions
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作者 Guoyu Li,Ning Li,Wei Ma,Huijun Jin,Yu Sheng State Key Laboratory of Frozen Soil Engineering,Cold and Arid Regions Environmental and Engineering Research Institute, Chinese Academy of Science,Lanzhou 730000,China. 《地学前缘》 EI CAS CSCD 北大核心 2009年第S1期58-58,共1页
The Embankment with Crushed-Stone Slope Protection(ECSSP) in permafrost regions is an effective measure to cool subgrade and protect permafrost.It can mitigate the engineering hazards of the Qinghai-Tibet railway in t... The Embankment with Crushed-Stone Slope Protection(ECSSP) in permafrost regions is an effective measure to cool subgrade and protect permafrost.It can mitigate the engineering hazards of the Qinghai-Tibet railway in the permafrost regions. Considering the influence of the noctumal cold air during summer months in Qinghai-Tibet Plateau。 展开更多
关键词 Qinghai-Tibet RAILWAY EMBANKMENT with crushed-stone slope protection mechanisms of cooling effect THERMAL regime heat flow
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IMPACTS OF THE SOUTH-TO-NORTH WATER DIVERSION PROJECTS (MIDDLE ROUTE)ON THE WATER ENVIRONMENT OF THE MIDDLE AND LOWER REACHES OF THE HANJIANG RIVER
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作者 FAN Bei-Lin, WAN Jian-Rong, ZHANG Jie and LIN Qiu-Sheng (Yangtze River Scientific Research Institute,River Research Deparment, Wuhan 430010,China) 《水生生物学报》 CAS CSCD 北大核心 2006年第6期643-646,共4页
In this paper, according to the rule of unbalanced sediment transport and the analysis of field data, different water diversion schemes were theoretically studied, including the erosion and sedimentation trend as well... In this paper, according to the rule of unbalanced sediment transport and the analysis of field data, different water diversion schemes were theoretically studied, including the erosion and sedimentation trend as well as their impacts on the environment of the middle and lower reaches of the Hanjiang River. The results showed that the 95×10 8m 3 water diversion scheme will cause less erosion and water level decrease than the 15×10 8m 3 water diversion scheme. Using a water diversion scheme of 95×10 8m 3, the decrease of water quantity can impact the river hydrodynamic regime substantially and the environments of the middle and lower reaches of the Hanjiang River will be greatly affected. It is therefore necessary to develop new water resources or build projects to meet the need of the environment and the needs for navigation. 展开更多
关键词 South-to-North Water Diversion Project River regime Water environment Mathematical model
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River Cutoff Practices on Lower Jingjiang Section of Changjiang River in the Last 30 Years
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作者 PAN Qing-shenProfessor-senior Engineer, Yangtze River Scientific Research Institute, Changjiang Water Resources Commission, Wuhan 430010, China 《人民长江》 北大核心 2002年第S1期40-45,共6页
River cutoff works have been implemented on Lower Jingjiang section for 30 years. Engineering practices have shown that channel straightening has been the river regulation measure for the permanent control of the mean... River cutoff works have been implemented on Lower Jingjiang section for 30 years. Engineering practices have shown that channel straightening has been the river regulation measure for the permanent control of the meandering Lower Jingjiang section. River cutoff have been carried out in accordance with the evolution property of meandering rivers and these works have brought about expected benefits. It has also been noted that certain aspects in river cutoff had not been fully understood. River cutoff is a dynamic engineering. River channel evolution properties shall be fully understood so as to adroitly guide actions according to circumstances in cutoff works. In addition, river channel evolution observation and engineering effectiveness monitoring should be strengthened with a view to update the designs. The diversion canals for channel shortening are of great importance that will account for the success or failure of river cutoff works. The newly formed river channels and the river regime control works on the adjacent upper and lower reaches are guarantees for river cutoff works to be brought into play in the long run. 展开更多
关键词 RIVER CUTOFF works RIVER regime control RIVER training MEANDERING channel LOWER Jingjiang SECTION of CHANGJIANG RIVER
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WORLD NEWS IN BRIEF(October 1--15,1988)
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《国际展望》 1988年第20期32-,共1页
The Supreme Siviet electedCommunist Party Chief HikhailGorbachev as the new head ofState on October I to take theplace of Andrei Gromyko who hadretired a day ago.Iranian and Iraqi foreignministers resumed talks in New... The Supreme Siviet electedCommunist Party Chief HikhailGorbachev as the new head ofState on October I to take theplace of Andrei Gromyko who hadretired a day ago.Iranian and Iraqi foreignministers resumed talks in NewYork on October I.The talksremained deadlocked over theShatt-al-Arab waterway. 展开更多
关键词 NEWS October 1 Premier SHUTTLE MILITARY LEDGE RESIDENT saying Israel regime
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WORLD NEWS IN BRIEF
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《国际展望》 1988年第1期32-,共1页
The Chinese Foreign Ministry stated on December 16 that China respects Prince Norodom Sihanouk’s intentions. Sihanouk announced on December 15 that he would hold a new round of talks with Hun Sun, 'prime minister... The Chinese Foreign Ministry stated on December 16 that China respects Prince Norodom Sihanouk’s intentions. Sihanouk announced on December 15 that he would hold a new round of talks with Hun Sun, 'prime minister' of the Phnom Penh regime, six days after he had cancelled the talks. 展开更多
关键词 stated MINISTER PRINCE NEWS regime 卜工 JORDAN
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