1 Introduction Physical and numerical models are constructed to investigate the evolution and mechanism of salt migration driven by tectonic processes.In recent years,we have designed and ran series of models to simul...1 Introduction Physical and numerical models are constructed to investigate the evolution and mechanism of salt migration driven by tectonic processes.In recent years,we have designed and ran series of models to simulate salt展开更多
We investigate the intensity correlation function C（s） and its associated relaxation time Tc for a saturation model of single-mode laser with correlated noises. The expressions of O（s） and Tc are derived by means ...We investigate the intensity correlation function C（s） and its associated relaxation time Tc for a saturation model of single-mode laser with correlated noises. The expressions of O（s） and Tc are derived by means of the projection operator method, and effects of correlations between an additive noise and a multiplicative noise are discussed by numerical calculation. Based on the calculated results, it is found that the correlation strength A between the additive noise and the multiplicative noise can enhance the fluctuation decay of the laser intensity.展开更多
In this study,we are interested in stochastic differential equations driven by GLévy processes.We illustrate that a certain class of additive functionals of the equations of interest exhibits the path-independent...In this study,we are interested in stochastic differential equations driven by GLévy processes.We illustrate that a certain class of additive functionals of the equations of interest exhibits the path-independent property,generalizing a few known findings in the literature.The study is ended with many examples.展开更多
This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Levy process, while the forward state is constrained in a convex set at the ter...This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Levy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland＇s variational principle. Finally, the result is applied to the utility optimization problem in a financial market.展开更多
基金supported by China Geological Survey Bureau potash resources investigation and evaluation project (1212011085524)NSFC projects (40872134, 41272227 )
文摘1 Introduction Physical and numerical models are constructed to investigate the evolution and mechanism of salt migration driven by tectonic processes.In recent years,we have designed and ran series of models to simulate salt
基金Supported by the National Natural Science Foundation of China under Grant No 10363001.
文摘We investigate the intensity correlation function C（s） and its associated relaxation time Tc for a saturation model of single-mode laser with correlated noises. The expressions of O（s） and Tc are derived by means of the projection operator method, and effects of correlations between an additive noise and a multiplicative noise are discussed by numerical calculation. Based on the calculated results, it is found that the correlation strength A between the additive noise and the multiplicative noise can enhance the fluctuation decay of the laser intensity.
文摘In this study,we are interested in stochastic differential equations driven by GLévy processes.We illustrate that a certain class of additive functionals of the equations of interest exhibits the path-independent property,generalizing a few known findings in the literature.The study is ended with many examples.
基金supported by the National Science Fundation of China under Grant No.11271007the National Social Science Fund Project of China under Grant No.17BGL058Humanity and Social Science Research Foundation of Ministry of Education of China under Grant No.15YJA790051
文摘This paper is concerned with a fully coupled forward-backward stochastic optimal control problem where the controlled system is driven by Levy process, while the forward state is constrained in a convex set at the terminal time. The authors use an equivalent backward formulation to deal with the terminal state constraint, and then obtain a stochastic maximum principle by Ekeland＇s variational principle. Finally, the result is applied to the utility optimization problem in a financial market.
