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Physicochemical and Bacteriological Quality Assessment of Water Downstream of the Kaddoussa Dam in Boudnib, Morocco
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作者 El Mostapha Albou Abdellali Abdaoui Ali Ait Boughrous 《Journal of Environmental & Earth Sciences》 2025年第1期503-513,共11页
This study addresses the pressing need to evaluate the quality of water resources in the Oued Guir watershed,highlighting the importance of monitoring both surface water and groundwater in the context of environmental... This study addresses the pressing need to evaluate the quality of water resources in the Oued Guir watershed,highlighting the importance of monitoring both surface water and groundwater in the context of environmental and public health.It focuses on the evaluation of physicochemical and bacteriological water quality downstream of the Kaddoussa Dam,as well as the characterization of wastewater from the Boudnib treatment plant discharged into Oued Guir.The goal is to assess the health of aquatic ecosystems and understand the impact of anthropogenic activities on these sensitive environments.A comprehensive analysis was conducted at 15 selected stations during a sampling campaign in November 2023.Groundwater and surface water were assessed using 10 physicochemical parameters,while bacteriological quality was evaluated based on fecal coliforms and Escherichia coli.In addition,38 parameters were studied to characterize the wastewater discharge.All analyses followed standard procedures and the results were compared to Moroccan and World Health Organization(WHO)standards.The study revealed that surface water and groundwater in the study area exhibited strong mineralization,with Electrical Conductivity(EC)exceeding 1400µS/cm at all stations.Nitrogen quality,in terms of Nitrates(NO₃⁻),was moderate across stations,while Ammonium(NH₄⁺)quality was consistently excellent.Physicochemical parameters of surface waters indicated overall excellent quality.Bacteriological analysis showed minimal contamination by fecal coliforms and Escherichia coli,with levels deemed negligible.However,wastewater from the Boudnib treatment plant exceeded Moroccan standards for organic load,presenting a potential environmental risk. 展开更多
关键词 Water Quality WASTEWATER Boudnib oued Guir Kaddoussa Dam Anthropogenic Activities
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基于频率纠缠双光子和级联Hong-Ou-Mandel干涉的量子陀螺仪理论研究
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作者 翟艺伟 潘展鹏 薛胜春 《物理学报》 北大核心 2025年第9期339-344,共6页
高时延分辨率的Hong-Ou-Mandel(HOM)干涉仪一直是量子精密测量领域的研究热点,将其应用到量子陀螺仪中可以实现突破经典理论极限的角速度测量.本文提出了基于频率纠缠双光子和级联HOM干涉仪的量子陀螺仪方案.利用信号光和闲置光之间由... 高时延分辨率的Hong-Ou-Mandel(HOM)干涉仪一直是量子精密测量领域的研究热点,将其应用到量子陀螺仪中可以实现突破经典理论极限的角速度测量.本文提出了基于频率纠缠双光子和级联HOM干涉仪的量子陀螺仪方案.利用信号光和闲置光之间由于旋转存在的Sagnac效应,将三轴角速度分别引入到级联HOM干涉仪中的对应测量臂,利用级联HOM干涉图谱中凹陷位置与多个独立时延差之间的对应关系,结合干涉可见度与量子Fisher信息理论,得到3个独立时延差(τ1,τ2,τ3)的最大量子Fisher信息分别为(2,0.1,0.006).通过引入测量不确定度,得出时延值测量精度可以突破散粒噪声极限,并结合时延差与旋转角速度的关系,可实现三轴角速度的测量,且测量精度可以超越经典光学陀螺仪,方案可为后续量子陀螺仪在全球导航传感领域的进一步应用提供理论支持. 展开更多
关键词 级联Hong-ou-Mandel 干涉 频率纠缠双光子 量子陀螺仪
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Assessment of the Recent Hydromorphological Features of Nokoue Lake and Its Channels (South-East Benin)
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作者 Tètchodiwèï Julie-Billard Yonouwinhi Gérard Alfred Franck Assiom d’Almeida +1 位作者 Felix Kofi Abagale Akuemaho Virgile Onésime Akowanou 《Open Journal of Modern Hydrology》 CAS 2024年第1期33-55,共23页
Based on 2022 and 2023 hydrometric data and satellite images (Sentinel 2022, SPOT 2010), this study aims to present the Nokoué Lake and its channels’ re-cent hydromorphological characteristics. Integrating flow,... Based on 2022 and 2023 hydrometric data and satellite images (Sentinel 2022, SPOT 2010), this study aims to present the Nokoué Lake and its channels’ re-cent hydromorphological characteristics. Integrating flow, tributary morphology, and topography data determined specific power values along the axes studied. The values obtained range from 2.69 to 12.92 W/m2 for Ouémé River and 2.46 to 10.99 W/m2 for Sô River. The resulting water erosion on banks and bottoms is of linear, areolar, or gully and claw types. Lake bathymetry varies from -0.5 to -2.6 m (low flow period) and -1 to -4 m;in the Ouémé, Sô, and Totchè rivers, it varies from -5 m to -7 m, reaching -10 m at the Cotonou channel entrance (flood period). Bathymetric profiles reveal varied “U”, “V” and “Intermediate” bottom morphologies, influenced by erosion/sedimentation processes and human activities. The flow facies identified are lentic in the northern tributaries and lotic in the Cotonou and Totchè canals. Spatial analysis identified nine (09) thematic classes. In 2022, the surface area of the water body has increased from 274 km2 at low water to 280 km2 at high water, whereas in 2010 (a recent year of exceptional flooding), the surface area was 270 km2 at low water and 277 km2 at high water. Significant changes in land use are observed between 2010 and 2022. The floodplain area decreased slightly, from 421 km2 in 2010 (year of exceptional flooding) to 419 km2 in 2022. The evolution of land use shows a progressive expansion of the urban environment to the detriment of the natural environment. In the medium to long term, this trend could threaten the hydromorphological balance and even the existence of this important lagoon ecosystem. 展开更多
关键词 Nokoué Lake ouémé River River Cotonou Channel HYDROMORPHOLOGY
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Assessment of Groundwater Physico-Chemical Quality in the Ouémé Delta (Southern-Benin) 被引量:1
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作者 Aoulatou Alassane Zakari Dadja Toyou Masamaéya Gnazou +5 位作者 Abdoukarim Alassane Kodjo Apelete Raoul Kpegli Ousmane Touré Boukari Bio Guidah Chabi Bénito Didier Koukpohounsi Daouda Mama 《Journal of Environmental Protection》 2024年第3期298-317,共20页
Groundwater resources are the main sources of water used to supply drinking water to the population of the Ouémé Delta via the Continental Terminal aquifer. Urbanization, population growth, and agricultural ... Groundwater resources are the main sources of water used to supply drinking water to the population of the Ouémé Delta via the Continental Terminal aquifer. Urbanization, population growth, and agricultural and industrial activities have resulted in a deterioration in the quality of these resources. To assess the quality of the delta’s groundwater and its suitability for human consumption and irrigation, a total of fourteen (14) physico-chemical parameters were analyzed in some forty existing water points between September 2020 and March 2021, using standard water analysis techniques. The values obtained were compared with the potability standards recommended by the World Health Organization (WHO) and the Republic of Benin and were subjected to statistical analysis (principal component analysis (PCA)). In addition, methods for determining the suitability of water for irrigation were used. The results showed that the waters are acidic to slightly neutral and influenced by ambient temperature. In addition, the waters are moderately mineralized, with conductivities (24 - 1205 μS/cm) in line with WHO standards. A comparison of the analytical results of the WHO (2017) and Benin (2001) standards indicates that the majority of the waters studied are of good quality for all the chemical parameters considered. Nevertheless, some samples show levels of nitrates (21%), potassium (14% to 16%), calcium (13%), ammonium (12%), nitrites (8%) and bicarbonates (10%) over their respective standards. The Wilcox and Riverside diagrams indicate that the majority of waters (90%) have excellent suitability for irrigation and no negative effect on soil fertilization. 展开更多
关键词 BENIN ouéméDelta GRouNDWATER Physico-Chemical Quality Consumption IRRIGATION
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均值回归OU过程驱动的具有有限Markov链和Lévy跳的随机Gilpin-Ayala模型的动力学研究
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作者 高蒙 艾晓辉 《黑龙江大学自然科学学报》 CAS 2024年第4期392-405,共14页
提出了均值回归OU(Ornstein-Uhlenbeck)过程驱动的具有有限Markov链和Lévy跳的随机Gilpin-Ayala模型,并研究了该随机Gilpin-Ayala模型的渐近行为。首先,选用适当的李雅普诺夫函数,证明随机Gilpin-Ayala种群模型全局解的存在性;其次... 提出了均值回归OU(Ornstein-Uhlenbeck)过程驱动的具有有限Markov链和Lévy跳的随机Gilpin-Ayala模型,并研究了该随机Gilpin-Ayala模型的渐近行为。首先,选用适当的李雅普诺夫函数,证明随机Gilpin-Ayala种群模型全局解的存在性;其次,证明了随机Gilpin-Ayala种群模型解的矩有界性;再次,证明了随机Gilpin-Ayala种群模型解的平稳分布的存在性;最后,证明了随机Gilpin-Ayala种群模型的灭绝性。通过例子和数值模拟图验证了理论结果。 展开更多
关键词 随机Gilpin-Ayala模型 ou过程 平稳分布 灭绝性
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Multi-Model Approach for Assessing the Influence of Calibration Criteria on the Water Balance in Ouémé Basin
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作者 Aymar Yaovi Bossa Mahutin Aristide Oluwatobi Kpossou +1 位作者 Jean Hounkpè Félicien Djigbo Badou 《Journal of Water Resource and Protection》 CAS 2024年第3期207-218,共12页
Hydrological models are very useful tools for evaluating water resources, and the hydroclimatic hazards associated with the water cycle. However, their calibration and validation require the use of performance criteri... Hydrological models are very useful tools for evaluating water resources, and the hydroclimatic hazards associated with the water cycle. However, their calibration and validation require the use of performance criteria which choice is not straightforward. This paper aims to evaluate the influence of the performance criteria on water balance components and water extremes using two global rainfall-runoff models (HBV and GR4J) over the Ouémé watershed at the Bonou and Savè outlets. Three (3) Efficacy criteria (Nash, coefficient of determination, and KGE) were considered for calibration and validation. The results show that the Nash criterion provides a good assessment of the simulation of the different parts of the hydrograph. KGE is better for simulating peak flows and water balance elements than other efficiency criteria. This study could serve as a basis for the choice of performance criteria in hydrological modelling. 展开更多
关键词 Hydrological Modelling Performance Criteria Water Balance ouémé Basin
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Flood Risk Assessment in the Lower Valley of Ouémé, Benin
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作者 Yaovi Aymar Bossa Octave Djangni +3 位作者 Yacouba Yira Jean Hounkpè Angèle D. Avossè Luc Ollivier Sintondji 《Open Journal of Modern Hydrology》 CAS 2024年第2期130-151,共22页
In response to the increased frequency of flood events in recent years, it has become crucial to enhance preparedness and anticipation through precise flood risk assessments. To this end, this study aims to produce up... In response to the increased frequency of flood events in recent years, it has become crucial to enhance preparedness and anticipation through precise flood risk assessments. To this end, this study aims to produce updated and precise flood risk maps for the Lower Valley of Ouémé River Basin, located in the South of Benin. The methodology used consisted of a combination of geographical information systems (GIS) and multi-criteria analysis, including Analytical Hierarchy Process (AHP) methods to define and quantify criteria for flood risk assessment. Seven hydro-geomorphological indicators (elevation, rainfall, slope, distance from rivers, flow accumulation, soil type, and drainage density), four socio-economic vulnerability indicators (female population density, literacy rate, poverty index, and road network density), and two exposure indicators (population density and land use) were integrated to generate risk maps. The results indicate that approximately 21.5% of the Lower Valley is under high and very high flood risk, mainly in the south between Dangbo, So-Ava, and Aguégués. The study findings align with the historical flood pattern in the region, which confirms the suitability of the used method. The novelty of this work lies in its comprehensive approach, the incorporation of AHP for weighting factors, and the use of remote sensing data, GIS technology, and spatial analysis techniques which adds precision to the mapping process. This work advances the scientific understanding of flood risk assessment and offers practical insights and solutions for flood-prone regions. The detailed flood risk indicator maps obtained stand out from previous studies and provide valuable information for effective flood risk management and mitigation efforts in the Lower Valley of Ouémé. 展开更多
关键词 Flood HAZARD Exposure Vulnerability Risk Lower Valley of ouémé
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Evaluation of Agricultural Contamination Level by Heavy Metals and Pesticides in Sediments of Rivers and Water Bodies for Shrimp Fishing in the Lower Ouémé: Case of the Aguigadji, Ahlan and Sele Stations in Benin
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作者 Souradjou Orou Goura Fadéby Modeste Gouissi +3 位作者 Armelle Sabine Yélignan Hounkpatin Wakili Bolatito Yessoufou Tayéwo Sylvain Biaou Nonvignon Martial Fassinou 《Advances in Materials Physics and Chemistry》 CAS 2024年第2期25-46,共22页
This study assessed sediment contamination by heavy metals and pesticide active ingredients linked to chemical inputs used in agricultural activities in the lower Ouémé. Pesticide residues from the organochl... This study assessed sediment contamination by heavy metals and pesticide active ingredients linked to chemical inputs used in agricultural activities in the lower Ouémé. Pesticide residues from the organochlorine, pyrethroid and organophosphorus families were investigated by gas chromatography, and heavy metals (Cd, Pb, As, Ni, Zn, Fe, Mg, Cr and Hg) by atomic absorption spectrophotometry. The metallic pollution indices, the contamination factor (CF) and the ecological risk index were calculated. The results revealed 8 active ingredients in the rainy season and 9 in the dry season. Glyphosate was the active ingredient with the highest concentration at all stations, 9.65 ± 0.84 mg/kg recorded in the dry season at the Aguigadji station. All glyphosate values were above the EQS. DDT, Atrazine and Endosulfan also showed high concentrations in the dry and rainy seasons. Emamectin, Abamectin and Lambda Cyhalothrin also showed high concentrations in the dry season at Aguigadji, Ahlan and Sele. Only glyphosate was recorded at the control station (Toho), but in very low concentrations. Lead showed the highest concentrations at all the stations, 265.96 ± 21.02 mg/Kg in the rainy season and 255.38 ± 79.09 mg/Kg in the dry season, all detected at the Aguigadji station and above the EQS. Zn, Ni, Fe, Cu and Cr were all representative in both the dry and rainy seasons at the contaminated stations. Manganese showed high concentrations in the rainy season. Pb showed very high contamination (FC ≥ 6) at the Aguigadji and Ahlan stations and significant contamination (3 ≤ FC 6) at the Sele station in both the rainy and dry seasons. Ni, Hg and Cd, showed either moderate or significant contamination at the contaminated stations. The risk values showed a considerable ecological Ri (190 ≤ Ri < 380) in the rainy season and a moderate ecological Ri (95 ≤ Ri < 190) in the dry season at these contaminated stations. 展开更多
关键词 PESTICIDES Heavy Metals SEDIMENTS Shrimp Fishing Area Lower ouémé
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Management of Water Resources in a Hyper-Arid Area: Strategy and Issues (Case of Oued-Souf Valley-South Eastern of Algeria)
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作者 Salim Khechana El-Fadel Derradji 《Journal of Water Resource and Protection》 2012年第11期922-928,共7页
Rising Groundwater in Oued-Souf valley is result to errors committed by human in their interventions on the ecosystems and the mismanagement of this resource, witch principally marked in overexploitation of depth grou... Rising Groundwater in Oued-Souf valley is result to errors committed by human in their interventions on the ecosystems and the mismanagement of this resource, witch principally marked in overexploitation of depth groundwater and the used sewerage system, leading the region to a truly dramatic and almost desperate, palms were turned into sort of marshes, where reeds take the place of dead palm trees. This situation lead us to search a model of water resources management, according to sustainability criteria taking into account the socio-economic (social, agricultural, industrial, tourism ) and ecosystem aspects (environmental and territorial). This by adapting and implementing the Integrated Management of Water Resources (IMWR) in this unit of water resources, so as to guide and mobilize progressively human, informational, financial and material resources, as well as the various sectors private and public to research concrete and measurable results, for water and ecosystems those are associated and that people wanted to see protected and restored. 展开更多
关键词 Rising Groundwater oued-Souf VALLEY Integrated MANAGEMENT of Water Resources CONFRONTATION Resources-Needs
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Geomorphosite Valorization a View to Sustainable Development: Case of Ait Hajji, Oued Boulahmayel Valley, Central Morocco 被引量:1
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作者 Nahraoui Fatima Zahra El Wartiti Mohamed +1 位作者 Zahraoui Mohamed Dabi Sanaa 《Journal of Geographic Information System》 2011年第1期12-17,共6页
The Pleistocene Fluvial-lacustrine of Ait Hajji Formation is located in South East of Tiddas, and in the Qua-ternary deposits of the Moroccan Central Plateau. These outcrops represent on a geomorphosite of great im-po... The Pleistocene Fluvial-lacustrine of Ait Hajji Formation is located in South East of Tiddas, and in the Qua-ternary deposits of the Moroccan Central Plateau. These outcrops represent on a geomorphosite of great im-portance for the study of geological heritage, and for a natural eco-tourism valorization in Morocco. For to aim a natural tourism promotion, for indigenous peoples, this geomorphosite in question has an fluorescent and dense flora with a diversified fauna in the heart of one Ordovician quartzite bar and Devonian limestone ridges. In Oued Boulahmayel geomorphosite contains a memory geological Formation of a Pleistocene epi-sode, beginning firstly by a dynamic fluviatil land synchronous with a local volcanic activity (Phonolite ne-phelinc) replaced by a lake sedimentation related to the formation of a dam natural, created a few hundred meters downstream from Boulahmayel. For valorizing of the hinterland of the plains towns, it is necessary to develop a geo-eco-tourism integrated who provide its harvest and will argue the benefits resources of rural people of high-mountains in their own environment. It is proposed in the perspective to initiate a sustainable development approach, while ensuring the conservation and ensure the continued natural existence of the surroundings environments and to appreciate the potential of the region. Thus that beauty hidden in the hin-terland upstream to a tourist eager for discoveries, to encourage them to practice their stay as short as it is, in a safe space and very quiet. In order to materialize the concept of geo-eco-tourism, we must deploy the ef-forts of local people, policy makers and scientists in order to produce tourist maps with different interesting routes, to implant signal panels, to develop tracks campsites and trails within the forests, creating shelters and rest houses in private homes, as well as provide training for specialized guide’s rescuers. 展开更多
关键词 Geological Site GEOMORPHOLOGY CENTRAL Morocco Ait Hajji oued Boulahmayel Fluvial-lacustrine Formations Geo-eco-tourism Sustainable Development
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TS-OU过程随机模拟
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作者 张世斌 《上海海事大学学报》 北大核心 2006年第4期91-94,共4页
利用Rosinski一类随机积分的序列表示及由复合Poisson过程驱动的OU型过程本身的特点,设计TS-OU过程不同组成部分的模拟方法.根据TS-OU过程的马氏性和时齐性,给出其轨道的R语言模拟程序.用逆高斯分布对初始平稳分布模拟情况进行验证,用TS... 利用Rosinski一类随机积分的序列表示及由复合Poisson过程驱动的OU型过程本身的特点,设计TS-OU过程不同组成部分的模拟方法.根据TS-OU过程的马氏性和时齐性,给出其轨道的R语言模拟程序.用逆高斯分布对初始平稳分布模拟情况进行验证,用TS-OU过程的自相关函数对其模拟轨道进行验证,拟合结果较好. 展开更多
关键词 TS-ou过程 逆高斯ou过程 随机波动率 随机模拟
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Geophysical Contribution to the Determination of the Limit between Laayoune and Foum El Oued Aquifers, Origin of Supply Sources of Oued Sakia El Hamra, Laayoune Province, Morocco
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作者 Mohamed Chibout Anasse Benslimane +3 位作者 Mohamed El Mokhtar Fatima Zahra Faqihi Sidi Mokhtar El Kanti Ahmed Ntarmouchant 《International Journal of Geosciences》 2019年第11期1008-1035,共28页
Laayoune and the Foum El Oued aquifers are in hydraulic communication only at the level of Oued Saguia El Hamra. The present study has accordingly made use of all the hydrogeological, hydrological, geological and geop... Laayoune and the Foum El Oued aquifers are in hydraulic communication only at the level of Oued Saguia El Hamra. The present study has accordingly made use of all the hydrogeological, hydrological, geological and geophysical data that preceded the watershed of Oued Saguia El Hamra in its downstream part. These data are by no means omplementary with the objective of having a better understanding of the boundary line between Laayoune and Foum El Oued aquifers and the origin of feeding the sources of Oued Saguia El Hamra. This study will focus only on the previous geophysical studies where a reinterpretation of electrical soundings has proved useful as a result of the recent well-logging results. It makes it possible to highlight the presence of a significant rise in the truncated marly substratum of Oued Saguia El Hamra and depressions (left and right banks) which could correspond to stream channels or depressed areas. At the level of the Wadi bed, there has been a regular immersion of the conductive level roofs from east to west towards Foum El Oued favoring the flow of wastewater from the zone and spraying the brackish water sources towards the groundwater of Foum El Oued. In the light of the reinterpretation of electric polls, plus as well as the geophysical surveys by electrical tomography and high definition made at the right and left banks of the Oueed Saguia El-Hamra, it was possible to verify the existence of dry ridge separating the two webs of Laayoune and Foum El Oued and stream channels or depressed areas of the left bank for drainage of brackish water to sources located along Oued Saguia El Hamra. The true resistivity models tomography profiles confirm the presence of the backbone at the left and right banks and the graben of the left bank for underground water drainage of the web Laayoune to sources welling the river Saguia El Hamra. They reveal the presence of a quaternary plio-cover (coastal platform Moghrebian) as being heterogeneous and affected by many electrical discontinuities, particularly in the level resistant R2 (coquina sandstone). These discontinuities could correspond to lateral changes in facies and/or synsedimental faults compartmentalizing the plio-quaternary formations into a system of Horsts and Grabens that relies on the whole (D1, Cs) attributed to formations from the Miocene to the Upper Cretaceous. The contours of the map show the distribution of the three families of electrical soundings A, B and C limited by two main electrical discontinuities D and M. East of discontinuity million, this map reflects the look of the wall of the Pliocene-Quaternary resting on the impermeable upper Cretaceous floor. To the west of this electrical discontinuity M, the map reflects the behavior of the roof of marl deposits of Miocene age. 展开更多
关键词 Laayoun and Faum Al oued Aquifers Ridge LIMIT Wastewater BRACKISH Wa-ter MARL BEDROCK Vertical ELECTRICAL Sounding (SEV) ELECTRICAL Tomography (ETR)
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阿尔及利亚Oued Mya盆地438B区块下泥盆统储层沉积学特征 被引量:3
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作者 郑荣才 张天玲 +2 位作者 潘杨辉 胡诚 赵灿 《成都理工大学学报(自然科学版)》 CAS CSCD 北大核心 2011年第5期481-486,共6页
利用钻井岩心、测井资料和层序-岩相古地理编图,研究了阿尔及利亚Oued Mya(韦德迈阿次)盆地438B区块下泥盆统储层沉积学特征。该盆地是一个富含油气的古生代-中生代叠合盆地,438B区块地处盆地西北部,区块内下泥盆统发育有陆棚和障壁岛-... 利用钻井岩心、测井资料和层序-岩相古地理编图,研究了阿尔及利亚Oued Mya(韦德迈阿次)盆地438B区块下泥盆统储层沉积学特征。该盆地是一个富含油气的古生代-中生代叠合盆地,438B区块地处盆地西北部,区块内下泥盆统发育有陆棚和障壁岛-滨岸2个沉积体系,具备良好的油气生、储、盖组合和勘探开发潜力。其中障壁岛-滨岸沉积体系由障壁砂坝、潮汐通道、冲溢扇、潟湖、潮坪等沉积微相组成。以储层沉积学分析为基础的储层预测和评价结果,表明储层发育主要受高位体系域的障壁砂坝和冲溢扇沉积微相控制。这2个沉积微相可列为主要的勘探目标。 展开更多
关键词 储层沉积学 层序-岩相古地理 下泥盆统 oued Mya盆地 阿尔及利亚
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Lévy过程驱动的非高斯OU随机波动模型及其贝叶斯参数统计推断方法研究 被引量:9
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作者 刘志东 刘雯宇 《中国管理科学》 CSSCI 北大核心 2015年第8期1-9,共9页
本文采用CGMY和GIG过程对非高斯OU随机波动率模型进行扩展,建立连续叠加Lévy过程驱动的非高斯OU随机波动率模型,并给出模型的散粒噪声(Shot-Noise)表现方式与近似。在此基础上,为了反映的波动率相关性,本文把回顾抽样(Retrospectiv... 本文采用CGMY和GIG过程对非高斯OU随机波动率模型进行扩展,建立连续叠加Lévy过程驱动的非高斯OU随机波动率模型,并给出模型的散粒噪声(Shot-Noise)表现方式与近似。在此基础上,为了反映的波动率相关性,本文把回顾抽样(Retrospective Sampling)方法扩展到连续叠加的Lévy过程驱动的非高斯OU随机波动模型中,设计了Lévy过程驱动的非高斯OU随机波动模型的贝叶斯参数统计推断方法。最后,采用金融市场实际数据对不同模型和参数估计方法进行验证和比较研究。本文理论和实证研究均表明采用CGMY和GIG过程对非高斯OU随机波动率模型进行扩展之后,模型的绩效得到明显提高,更能反映金融资产收益率波动率变化特征,本文设计的Lévy过程驱动的非高斯OU随机波动模型的贝叶斯参数统计推断方法效率也较高,克服了已有研究的不足。同时,实证研究发现上证指数收益率和波动率跳跃的特征以及波动率序列具有明显的长记忆特性。 展开更多
关键词 LÉVY过程 非高斯ou过程 可逆跳跃MCMC 长记忆
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Lévy过程驱动非高斯OU随机波动率下的期权定价 被引量:9
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作者 刘志东 刘雯宇 阮禹铭 《管理科学学报》 CSSCI CSCD 北大核心 2019年第1期17-43,共27页
考虑金融时间序列发生的跳跃、随机波动率和"杠杆效应",建立由不同Lévy过程驱动的非高斯OU随机波动模型.通过结构保持等价鞅测度变换和FFT技术,对不同Lévy过程驱动下的非高斯OU(non-Gaussian Ornstein-Uhlenbeck pr... 考虑金融时间序列发生的跳跃、随机波动率和"杠杆效应",建立由不同Lévy过程驱动的非高斯OU随机波动模型.通过结构保持等价鞅测度变换和FFT技术,对不同Lévy过程驱动下的非高斯OU(non-Gaussian Ornstein-Uhlenbeck process)期权定价问题进行研究.同时,在结构保持等价鞅测度下,推导出不同Lévy过程驱动下BNS模型离散化表达形式,并构建了基于SMC(sequential Monte Carlo)的极大似然估计、联合样本估计、梯度-SMC估计的非高斯OU期权定价模型参数估计方法.实证研究中,采用近470万个S&P500期权价格数据,从样本内拟合效果、样本外预测、模型稳定性、综合矫正风险几个方面,对不同Lévy过程驱动的非高斯OU期权定价模型、参数估计方法以及期权定价效果进行全面系统研究.实证研究表明,所有模型对实值期权的定价效果要优于虚值期权.本文基于联合样本估计和梯度-SMC估计的非高斯OU期权定价模型具有明显的优势. 展开更多
关键词 Lévy跳跃过程 非高斯ou过程 结构保持等价鞅测度 梯度序贯蒙特卡洛 期权定价
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适用于强化学习惯性环境的分数阶改进OU噪声 被引量:2
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作者 王涛 张卫华 蒲亦非 《四川大学学报(自然科学版)》 CAS CSCD 北大核心 2023年第2期57-63,共7页
本文将DDPG算法中使用的Ornstein-Uhlenbeck(OU)噪声整数阶微分模型推广为分数阶OU噪声模型,使得噪声的产生不仅和前一步的噪声有关而且和前K步产生的噪声都有关联.通过在gym惯性环境下对比基于分数阶OU噪声的DDPG和TD3算法和原始的DDPG... 本文将DDPG算法中使用的Ornstein-Uhlenbeck(OU)噪声整数阶微分模型推广为分数阶OU噪声模型,使得噪声的产生不仅和前一步的噪声有关而且和前K步产生的噪声都有关联.通过在gym惯性环境下对比基于分数阶OU噪声的DDPG和TD3算法和原始的DDPG和TD3算法,我们发现基于分数阶微积分的OU噪声相比于原始的OU噪声能在更大范围内震荡,使用分数阶OU噪声的算法在惯性环境下具有更好的探索能力,收敛得更快. 展开更多
关键词 DDPG算法 TD3算法 分数阶微积分 ou噪声 强化学习
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分数OU模型参数估计的大偏差(英文) 被引量:2
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作者 汪宝彬 高付清 《数学杂志》 CSCD 北大核心 2006年第6期609-612,共4页
本文考虑了分数OU模型参数估计的大偏差,通过Laplace变换的技巧,得到了极大似然估计的大偏差.
关键词 大偏差 速率函数 分数ou扩散过程 漂移估计
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OU型Markov过程的不变测度及弱对偶性 被引量:1
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作者 袁德美 刘禄勤 《数学杂志》 CSCD 1997年第1期21-28,共8页
本文研究OU型Markov过程的不变测度、参考测度和弱对偶半群的存在性问题。
关键词 ou 不变测度 马氏过程 弱对偶性
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N参数d维广义OU过程象集代数和的Hausdorff维数(英文) 被引量:1
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作者 邓国和 杨向群 《广西师范大学学报(自然科学版)》 CAS 2004年第4期31-35,共5页
设X(t)∶RN+→Rd是N参数d维广义OU过程.对任意的紧集E,F RN+\{0},考虑了X(t)象集代数和X(E)-X(F)的Hausdorff维数,得到了象集代数和Hausdorff维数的上下界,这些结果包含了Browniansheet和广义Browniansheet的相应结论.
关键词 N参数d维广义ou过程 象集 HAUSDORFF维数
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两参数OU过程的钟重对数律(英文) 被引量:1
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作者 陆传荣 于浩 《应用概率统计》 CSCD 北大核心 2002年第2期119-124,共6页
在本文中,我们证明了两参数OU过程的钟重对数律.
关键词 两参数ou过程 钟重对数律
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