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Stochastic Control for Optimal Execution:Fast Approximation Solution Scheme Under Nested Mean-semi Deviation and Conditional Value at Risk
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作者 Meng-Fei He Duan Li Yuan-Yuan Chen 《Journal of the Operations Research Society of China》 EI CSCD 2017年第2期161-176,共16页
When executing a large order of stocks in a market,one important factor in forming the optimal trading strategy is to consider the price impact of large-volume trading activity.Minimizing a risk measure of the impleme... When executing a large order of stocks in a market,one important factor in forming the optimal trading strategy is to consider the price impact of large-volume trading activity.Minimizing a risk measure of the implementation shortfall,i.e.,the difference between the value of a trader’s initial equity position and the sum of cash flow he receives from his trading process,is essentially a stochastic control problem.In this study,we investigate such a practical problem under a dynamic coherent risk measure in a market in which the stock price dynamics has a feature of momentum effect.We develop a fast approximation solution scheme,which is critical in highfrequency trading.We demonstrate some prominent features of our derived solution algorithm in providing useful guidance for real implementation. 展开更多
关键词 Nested coherent risk measure Momentum effect approximation solution scheme Stochastic dynamic programming
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RESTRICTED NONLINEAR APPROXIMATION AND SINGULAR SOLUTIONS OF BOUNDARY INTEGRAL EQUATIONS 被引量:1
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作者 Reinhard Hochmuth (Freie Universitat Berlin, Germany) 《Approximation Theory and Its Applications》 2002年第1期1-25,共25页
This paper studies several problems , which are potentially relevant for the construction of adaptive numerical schemes. First, biorthogonal spline wavelets on [0,1] are chosen as a starting point for characterization... This paper studies several problems , which are potentially relevant for the construction of adaptive numerical schemes. First, biorthogonal spline wavelets on [0,1] are chosen as a starting point for characterizations of functions in Besom spaces B(?)(0,1) with 0<σ<∞ and (1+σ)-1<γ<∞. Such function spaces are known to be related to nonlinear approximation. Then so called restricted nonlinear approximation procedures with respect to Sobolev space norms are considered. Besides characterization results Jackson type estimates for various tree-type and tresholding algorithms are investigated. Finally known approximation results for geometry induced singularity functions of boundary integeral equations are combined with the characterization results for restricted nonlinear approximation to show Besov space regularity results. 展开更多
关键词 In RESTRICTED NONLINEAR approximation AND SINGULAR solutionS OF BOUNDARY INTEGRAL EQUATIONS
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THE REGULARIZED SOLUTION APPROXIMATION OF FORWARD/BACKWARD PROBLEMS FOR A FRACTIONAL PSEUDO-PARABOLIC EQUATION WITH RANDOM NOISE
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作者 狄华斐 容伟杰 《Acta Mathematica Scientia》 SCIE CSCD 2023年第1期324-348,共25页
This paper deals with the forward and backward problems for the nonlinear fractional pseudo-parabolic equation ut+(-Δ)^(s1)ut+β(-Δ)^(s2)u=F(u,x,t)subject o random Gaussian white noise for initial and final data.Und... This paper deals with the forward and backward problems for the nonlinear fractional pseudo-parabolic equation ut+(-Δ)^(s1)ut+β(-Δ)^(s2)u=F(u,x,t)subject o random Gaussian white noise for initial and final data.Under the suitable assumptions s1,s2andβ,we first show the ill-posedness of mild solutions for forward and backward problems in the sense of Hadamard,which are mainly driven by random noise.Moreover,we propose the Fourier truncation method for stabilizing the above ill-posed problems.We derive an error estimate between the exact solution and its regularized solution in an E‖·‖Hs22norm,and give some numerical examples illustrating the effect of above method. 展开更多
关键词 regularized solution approximation forward/backward problems fractional Laplacian Gaussian white noise Fourier truncation method
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EXISTENCE,UNIQUENESS AND APPROXIMATION OF THE SOLUTION OF AN ODE WITH (INFINITELY MANY) STATE-DEPENDENT IMPULSES VIA FIXED MESH GALERKIN FORMULATION
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作者 Francois Dubeau(d’informatique Universite,de Sherbooke) 《Analysis in Theory and Applications》 1999年第2期55-73,共19页
A fixed mesh variational formulation is used to establish existence and uniqueness of the solution of ordinary differential equations with (in finitely many) state-dependent in pulses on the right-hand side. This appr... A fixed mesh variational formulation is used to establish existence and uniqueness of the solution of ordinary differential equations with (in finitely many) state-dependent in pulses on the right-hand side. This approach gives a natural numerical scheme to approximate the solution.The convergence of the approximation is proved and its asymptatic order obtained. 展开更多
关键词 ODE MESH EXISTENCE UNIQUENESS AND approximation OF THE solution OF AN ODE WITH INFINITELY MANY STATE-DEPENDENT IMPULSES VIA FIXED MESH GALERKIN FORMULATION VIA
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The Existence and Uniqueness of Solutions to Systems of Second-order Ordinary Differential Equations Boundary Value Problem in Absract Space 被引量:2
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作者 武力兵 孙涛 何希勤 《Chinese Quarterly Journal of Mathematics》 CSCD 2011年第4期573-577,共5页
In this paper, it is discussed by using cone and upper and lower solutions mono- tone iterative theory of mixed monotone operator that the bounary value problem is more generalized style to system of equations in the ... In this paper, it is discussed by using cone and upper and lower solutions mono- tone iterative theory of mixed monotone operator that the bounary value problem is more generalized style to system of equations in the form of -u = f(t, u, v) -v = g(t, u, v) u(0) = u(1) = 0 v(0) = v(1) = 0 in abstract space. Moreover, it is obtained unique solutions for system of equations and error estimations between approximation iteration sequence and exact solution under more simpler conditions. Therefore, some new results which extend and improve the related known works in the literatures are obtained. 展开更多
关键词 systems of equations bounary value problem CONE approximation solution
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Solution of Travelling Wave for Nonlinear Disturbed Long-Wave System 被引量:33
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作者 MO Jia-Qi 《Communications in Theoretical Physics》 SCIE CAS CSCD 2011年第3期387-390,共4页
The approximate expressions of the travelling wave solutions for a class of nonlinear disturbed long-wave system are constructed using the generalized variational iteration method.
关键词 nonlinear long-wave equation travelling wave approximate analytic solution
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Singularly Perturbed Solution of Coupled Model in Atmosphere-ocean for Global Climate 被引量:11
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作者 MO Jiaqi LIN Wantao WANG Hui 《Chinese Geographical Science》 SCIE CSCD 2008年第2期193-196,共4页
A box model of the interhemispheric thermohaline circulation (THC) in atmosphere-ocean for global cli-mate is considered. By using the multi-scales method, the asymptotic solution of a simplified weakly nonlinear mode... A box model of the interhemispheric thermohaline circulation (THC) in atmosphere-ocean for global cli-mate is considered. By using the multi-scales method, the asymptotic solution of a simplified weakly nonlinear model is discussed. Firstly, by introducing first scale, the zeroth order approximate solution of the model is obtained. Sec-ondly, by using the multi-scales, the first order approximate equation of the model is found. Finally, second order ap-proximate equation is formed to eliminate the secular terms, and a uniformly valid asymptotic expansion of solution is decided. The multi-scales solving method is an analytic method which can be used to analyze operation sequentially. And then we can also study the diversified qualitative and quantitative behaviors for corresponding physical quantities. This paper aims at providing a valid method for solving a box model of the nonlinear equation. 展开更多
关键词 atmosphere-ocean El Nino-Southern Oscillation singular perturbation approximate solution
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Approximate solutions of the Alekseevskii–Tate model of long-rod penetration 被引量:6
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作者 W.J.Jiao X.W.Chen 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2018年第2期334-348,共15页
The Alekseevskii–Tate model is the most successful semi-hydrodynamic model applied to long-rod penetration into semi-infinite targets. However, due to the nonlinear nature of the equations, the rod(tail) velocity, pe... The Alekseevskii–Tate model is the most successful semi-hydrodynamic model applied to long-rod penetration into semi-infinite targets. However, due to the nonlinear nature of the equations, the rod(tail) velocity, penetration velocity, rod length, and penetration depth were obtained implicitly as a function of time and solved numerically By employing a linear approximation to the logarithmic relative rod length, we obtain two sets of explicit approximate algebraic solutions based on the implicit theoretica solution deduced from primitive equations. It is very convenient in the theoretical prediction of the Alekseevskii–Tate model to apply these simple algebraic solutions. In particular, approximate solution 1 shows good agreement with the theoretical(exact) solution, and the first-order perturbation solution obtained by Walters et al.(Int. J. Impac Eng. 33:837–846, 2006) can be deemed as a special form of approximate solution 1 in high-speed penetration. Meanwhile, with constant tail velocity and penetration velocity approximate solution 2 has very simple expressions, which is applicable for the qualitative analysis of long-rod penetration. Differences among these two approximate solutions and the theoretical(exact) solution and their respective scopes of application have been discussed, and the inferences with clear physical basis have been drawn. In addition, these two solutions and the first-order perturbation solution are applied to two cases with different initial impact velocity and different penetrator/target combinations to compare with the theoretical(exact) solution. Approximate solution 1 is much closer to the theoretical solution of the Alekseevskii–Tate model than the first-order perturbation solution in both cases, whilst approximate solution 2 brings us a more intuitive understanding of quasi-steady-state penetration. 展开更多
关键词 Long-rod penetration Alekseevskii–Tate model Theoretical solution Approximate solution Perturbation solution
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Asymptotic solution for the El Nio time delay sea-air oscillator model 被引量:6
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作者 莫嘉琪 林万涛 林一骅 《Chinese Physics B》 SCIE EI CAS CSCD 2011年第7期35-40,共6页
A sea-air oscillator model is studied using the time delay theory. The aim is to find an asymptotic solving method for the El Nino-southern oscillation (ENSO) model. Employing the perturbed method, an asymptotic sol... A sea-air oscillator model is studied using the time delay theory. The aim is to find an asymptotic solving method for the El Nino-southern oscillation (ENSO) model. Employing the perturbed method, an asymptotic solution of the corresponding problem is obtained. Thus we can obtain the prognoses of the sea surface temperature (SST) anomaly and the related physical quantities. 展开更多
关键词 nonlinear approximate solution El Nino-Southern oscillator model
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Approximate Solution for Mechanism of Thermally and Wind-driven Ocean Circulation 被引量:4
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作者 MO Jiaqi LIN Wantao LIN Yihua 《Chinese Geographical Science》 SCIE CSCD 2010年第5期383-388,共6页
The thermally and wind-driven ocean circulation is a complicated natural phenomenon in the atmospheric physics. Hence we need to reduce it using basic models and solve the models using approximate methods. A non-linea... The thermally and wind-driven ocean circulation is a complicated natural phenomenon in the atmospheric physics. Hence we need to reduce it using basic models and solve the models using approximate methods. A non-linear model of the thermally and wind-driven ocean circulation is used in this paper. The results show that the zero solution of the linear equation is a stable focus point, which is the path curve trend origin point as time (t) trend to infinity. By using the homotopic mapping perturbation method, the exact solution of the model is obtained. The homotopic mapping perturbation method is an analytic solving method, so the obtained solution can be used for analytic operating sequentially. And then we can also obtain the diversified qualitative and quantitative behaviors for corresponding physical quantities. 展开更多
关键词 global climate atmosphere-ocean oscillation homotopic mapping approximate solution
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Approximate Analytic Solution of Solitary Wave for a Class of Nonlinear Disturbed Long-Wave System 被引量:5
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作者 莫嘉琪 姚静荪 唐荣荣 《Communications in Theoretical Physics》 SCIE CAS CSCD 2010年第7期27-30,共4页
In this paper, the approximate expressions of the solitary wave solutions for a class of nonlinear disturbed long-wave system are constructed using the homotopie mapping method.
关键词 nonlinear long-wave equation solitary wave approximate analytic solution
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Dynamic characteristics of resonant gyroscopes study based on the Mathieu equation approximate solution 被引量:2
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作者 樊尚春 李艳 +2 位作者 郭占社 李晶 庄海涵 《Chinese Physics B》 SCIE EI CAS CSCD 2012年第5期58-65,共8页
Dynamic characteristics of the resonant gyroscope are studied based on the Mathieu equation approximate solution in this paper.The Mathieu equation is used to analyze the parametric resonant characteristics and the ap... Dynamic characteristics of the resonant gyroscope are studied based on the Mathieu equation approximate solution in this paper.The Mathieu equation is used to analyze the parametric resonant characteristics and the approximate output of the resonant gyroscope.The method of small parameter perturbation is used to analyze the approximate solution of the Mathieu equation.The theoretical analysis and the numerical simulations show that the approximate solution of the Mathieu equation is close to the dynamic output characteristics of the resonant gyroscope.The experimental analysis shows that the theoretical curve and the experimental data processing results coincide perfectly,which means that the approximate solution of the Mathieu equation can present the dynamic output characteristic of the resonant gyroscope.The theoretical approach and the experimental results of the Mathieu equation approximate solution are obtained,which provides a reference for the robust design of the resonant gyroscope. 展开更多
关键词 resonant gyroscopes dynamic characteristics Mathieu equation approximate solution
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Classification and Approximate Solutions to Perturbed Nonlinear Diffusion-Convection Equations 被引量:2
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作者 WANG Yong ZHANG Shun-Li 《Communications in Theoretical Physics》 SCIE CAS CSCD 2008年第1期17-21,共5页
This paper studies the perturbed nonlinear diffusion-convection equation with source term via the approximate generalized conditional symmetry (A GCS). Complete classification of those perturbed equations which admi... This paper studies the perturbed nonlinear diffusion-convection equation with source term via the approximate generalized conditional symmetry (A GCS). Complete classification of those perturbed equations which admit certain types of AGCSs is derived. Some approximate invariant solutions to the resulting equations can also be obtained. 展开更多
关键词 perturbed nonlinear diffusion-convection equation approximate generalized conditional symme-try approximate invariant solution
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Analytic Solution for Steady Slip Flow between Parallel Plates with Micro-Scale Spacing 被引量:1
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作者 张田田 贾力 王志成 《Chinese Physics Letters》 SCIE CAS CSCD 2008年第1期180-183,共4页
The Navier-Stokes equations for slip flow between two very closely spaced parallel plates are transformed to an ordinary differential equation based on the pressure gradient along the flow direction using a new simila... The Navier-Stokes equations for slip flow between two very closely spaced parallel plates are transformed to an ordinary differential equation based on the pressure gradient along the flow direction using a new similarity transformation. A powerful easy-to-use homotopy analysis method was used to obtain an analytical solution. The convergence theorem for the homotopy analysis method is presented. The solutions show that the second-order homotopy analysis method solution is accurate enough for the current problem. 展开更多
关键词 HOMOTOPY ANALYSIS METHOD APPROXIMATE solution TECHNIQUE HEAT-TRANSFER SMALL PARAMETERS MICROCHANNELS FLUID
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STRONG COMPACTNESS OF APPROXIMATE SOLUTIONS TO DEGENERATE ELLIPTIC-HYPERBOLIC EQUATIONS WITH DISCONTINUOUS FLUX FUNCTION 被引量:1
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作者 Helge Holden Kenneth H. Karlsen +1 位作者 Darko Mitrovic Evgueni Yu. Panov 《Acta Mathematica Scientia》 SCIE CSCD 2009年第6期1573-1612,共40页
Under a non-degeneracy condition on the nonlinearities we show that sequences of approximate entropy solutions of mixed elliptic-hyperbolic equations are strongly precompact in the general case of a Caratheodory flux ... Under a non-degeneracy condition on the nonlinearities we show that sequences of approximate entropy solutions of mixed elliptic-hyperbolic equations are strongly precompact in the general case of a Caratheodory flux vector. The proofs are based on deriving localization principles for H-measures associated to sequences of measurevalued functions. This main result implies existence of solutions to degenerate parabolic convection-diffusion equations with discontinuous flux. Moreover, it provides a framework in which one can prove convergence of various types of approximate solutions, such as those generated by the vanishing viscosity method and numerical schemes. 展开更多
关键词 degenerate hyperbolic-elliptic equation degenerate convection-diffusion equation conservation law discontinuous flux approximate solutions COMPACTNESS
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ONE LINEAR ANALYTIC APPROXIMATION FOR STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS 被引量:1
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作者 Svetlana Jankovic Dejan Ilic 《Acta Mathematica Scientia》 SCIE CSCD 2010年第4期1073-1085,共13页
This article concerns the construction of approximate solutions for a general stochastic integrodifferential equation which is not explicitly solvable and whose coeffcients functionally depend on Lebesgue integrals an... This article concerns the construction of approximate solutions for a general stochastic integrodifferential equation which is not explicitly solvable and whose coeffcients functionally depend on Lebesgue integrals and stochastic integrals with respect to martingales. The approximate equations are linear ordinary stochastic differential equations, the solutions of which are defined on sub-intervals of an arbitrary partition of the time interval and connected at successive division points. The closeness of the initial and approximate solutions is measured in the L^p-th norm, uniformly on the time interval. The convergence with probability one is also given. 展开更多
关键词 Stochastic integrodifferential equation linear approximation approximate solution L^p-convergence convergence with probability one
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Classification and Approximate Solutions to a Class of Perturbed Nonlinear Wave Equations 被引量:1
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作者 ZHANG Zhi-Yong CHEN Yu-Fu YONG Xue-Lin 《Communications in Theoretical Physics》 SCIE CAS CSCD 2009年第11期769-772,共4页
A complete approximate symmetry classification of a class of perturbed nonlinear wave equations isperformed using the method originated from Fushchich and Shtelen.Moreover,large classes of approximate invariantsolutio... A complete approximate symmetry classification of a class of perturbed nonlinear wave equations isperformed using the method originated from Fushchich and Shtelen.Moreover,large classes of approximate invariantsolutions of the equations based on the Lie group method are constructed. 展开更多
关键词 approximate symmetry Lie reduction approximate solution
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Approximate solution for the Klein Gordon-Schrdinger equation by the homotopy analysis method 被引量:1
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作者 王佳 李彪 叶望川 《Chinese Physics B》 SCIE EI CAS CSCD 2010年第3期83-89,共7页
The Homotopy analysis method is applied to obtain the approximate solution of the Klein-Gordon Schrodinger equation. The Homotopy analysis solutions of the Klein-Gordon Schrodinger equation contain an auxiliary parame... The Homotopy analysis method is applied to obtain the approximate solution of the Klein-Gordon Schrodinger equation. The Homotopy analysis solutions of the Klein-Gordon Schrodinger equation contain an auxiliary parameter which provides a convenient way to control the convergence region and rate of the series solutions. Through errors analysis and numerical simulation, we can see the approximate solution is very close to the exact solution. 展开更多
关键词 Klein-Gordon-Schrodinger equation homotopy analysis method approximate solution
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Approximate Analytical Solutions for Scattering States of D-dimensional Hulthen Potentials 被引量:1
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作者 CHEN Chang-Yuan SUN Dong-Sheng LIU Cheng-Lin LU Fa-Lin 《Communications in Theoretical Physics》 SCIE CAS CSCD 2011年第3期399-404,共6页
Using the exponential function transformation approach along with an approximation for the centrifugal potential, the radial Schr6dinger equation of D-dimensional Hulthen potential is transformed to a hypergeometric d... Using the exponential function transformation approach along with an approximation for the centrifugal potential, the radial Schr6dinger equation of D-dimensional Hulthen potential is transformed to a hypergeometric differential equation. The approximate analytical solutions of scattering states are attained. The normalized wave functions expressed in terms of hypergeometrie functions of scattering states on the "k/2π scale" and the calculation formula of phase shifts are given. The physical meaning of the approximate analytical solutions is discussed. 展开更多
关键词 D-dimensional Hulthen potential Schrodinger equation scattering states approximate analytical solutions
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New approximate solution for time-fractional coupled KdV equations by generalised differential transform method 被引量:1
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作者 刘金存 侯国林 《Chinese Physics B》 SCIE EI CAS CSCD 2010年第11期41-47,共7页
In this paper, the genera]ised two-dimensiona] differentia] transform method (DTM) of solving the time-fractiona] coupled KdV equations is proposed. The fractional derivative is described in the Caputo sense. The pr... In this paper, the genera]ised two-dimensiona] differentia] transform method (DTM) of solving the time-fractiona] coupled KdV equations is proposed. The fractional derivative is described in the Caputo sense. The presented method is a numerical method based on the generalised Taylor series expansion which constructs an analytical solution in the form of a polynomial. An illustrative example shows that the genera]ised two-dimensional DTM is effective for the coupled equations. 展开更多
关键词 fractional coupled KdV equations Caputo fractional derivative differential transform method approximate analytic solution
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