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Seismic ray-tracing calculation based on parabolic travel-time interpolation 被引量:2
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作者 周竹生 张赛民 陈灵君 《Journal of Central South University of Technology》 2004年第2期199-205,共7页
A new seismic ray-tracing method is put forward based on parabolic travel-time interpolation(PTI) method, which is more accurate than the linear travel-time interpolation (LTI) method. Both PTI method and LTI method a... A new seismic ray-tracing method is put forward based on parabolic travel-time interpolation(PTI) method, which is more accurate than the linear travel-time interpolation (LTI) method. Both PTI method and LTI method are used to compute seismic travel-time and ray-path in a 2-D grid cell model. Firstly, some basic concepts are introduced. The calculations of travel-time and ray-path are carried out only at cell boundaries. So, the ray-path is always straight in the same cells with uniform velocity. Two steps are applied in PTI and LTI method, step 1 computes travel-time and step 2 traces ray-path. Then, the derivation of LTI formulas is described. Because of the presence of refraction wave in shot cell, the formula aiming at shot cell is also derived. Finally, PTI method is presented. The calculation of PTI method is more complex than that of LTI method, but the error is limited. The results of numerical model show that PTI method can trace ray-path more accurately and efficiently than LTI method does. 展开更多
关键词 ray-tracing parabolic travel-time interpolation method linear travel-time interpolation method (travel-time ) ray-path grid cell
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A Novel Spacetime Collocation Meshless Method for Solving Two- Dimensional Backward Heat Conduction Problems 被引量:1
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作者 Chihyu Liu Chengyu Ku +1 位作者 Jingen Xiao Weichung Yeih 《Computer Modeling in Engineering & Sciences》 SCIE EI 2019年第1期229-252,共24页
In this article,a meshless method using the spacetime collocation for solving the two-dimensional backward heat conduction problem(BHCP)is proposed.The spacetime collocation meshless method(SCMM)is to derive the gener... In this article,a meshless method using the spacetime collocation for solving the two-dimensional backward heat conduction problem(BHCP)is proposed.The spacetime collocation meshless method(SCMM)is to derive the general solutions as the basis functions for the two-dimensional transient heat equation using the separation of variables.Numerical solutions of the heat conduction problem are expressed as a series using the addition theorem.Because the basis functions are the general solutions of the governing equation,the boundary points may be collocated on the spacetime boundary of the domain.The proposed method is verified by conducting several heat conduction problems.We also carry out numerical applications to compare the SCMM with other meshless methods.The results show that the SCMM is accurate and efficient.Furthermore,it is found that the recovered boundary data on inaccessible boundary can be obtained with high accuracy even though the over specified data are provided only at a 1/6 portion of the spacetime boundary. 展开更多
关键词 SPACETIME COLLOCATION MESHLESS method backward heat conduction problem basis functions.
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Solution of scattering from rough surface with a 2D target above it by a hybrid method based on the reciprocity theorem and the forward-backward method 被引量:4
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作者 王运华 张彦敏 +1 位作者 贺明霞 郭立新 《Chinese Physics B》 SCIE EI CAS CSCD 2008年第10期3696-3703,共8页
This paper proposes a hybrid method based on the forward-backward method (FBM) and the reciprocity theorem (RT) for evaluating the scattering field from dielectric rough surface with a 2D target above it. Here, th... This paper proposes a hybrid method based on the forward-backward method (FBM) and the reciprocity theorem (RT) for evaluating the scattering field from dielectric rough surface with a 2D target above it. Here, the equivalent electric/magnetic current densities on the rough surface as well as the scattering field from it are numerically calculated by FBM, and the scattered field from the isolated target is obtained utilizing the method of moments (MOM). Meanwhile, the rescattered coupling interactions between the target and the surface are evaluated employing the combination of FBM and RT. Our hybrid method is first validated by available MOM results. Then, the functional dependences of bistatic and monostatic scattering from the target above rough surface upon the target altitude, incident and scattering angles are numerically simulated and discussed. This study presents a numerical description for the scattering mechanism associated with rescattered coupling interactions between a target and an underlying randomly rough surface. 展开更多
关键词 forward-backward method reciprocity theorem 2D target rough surface SCATTERING
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A Hybrid Backward Euler Control Volume Method to Solve the Concentration-Dependent Solid-State Diffusion Problem in Battery Modeling
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作者 Kudakwashe Chayambuka Grietus Mulder +1 位作者 Dmitri L. Danilov Peter H. L. Notten 《Journal of Applied Mathematics and Physics》 2020年第6期1066-1080,共15页
Several efficient analytical methods have been developed to solve the solid-state diffusion problem, for constant diffusion coefficient problems. However, these methods cannot be applied for concentration-dependent di... Several efficient analytical methods have been developed to solve the solid-state diffusion problem, for constant diffusion coefficient problems. However, these methods cannot be applied for concentration-dependent diffusion coefficient problems and numerical methods are used instead. Herein, grid-based numerical methods derived from the control volume discretization are presented to resolve the characteristic nonlinear system of partial differential equations. A novel hybrid backward Euler control volume (HBECV) method is presented which requires only one iteration to reach an implicit solution. The HBECV results are shown to be stable and accurate for a moderate number of grid points. The computational speed and accuracy of the HBECV, justify its use in battery simulations, in which the solid-state diffusion coefficient is a strong function of the concentration. 展开更多
关键词 Solid-State Diffusion Implicit methods backward Euler
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Iterative methods for a forward-backward heat equation in two-dimension
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作者 SUN Jie CHENG Xiao-liang 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2010年第1期101-111,共11页
A finite difference method is introduced to solve the forward-backward heat equation in two space dimensions. In this procedure, the backward and forward difference scheme in two subdomains and a coarse-mesh second-or... A finite difference method is introduced to solve the forward-backward heat equation in two space dimensions. In this procedure, the backward and forward difference scheme in two subdomains and a coarse-mesh second-order central difference scheme at the middle interface are used. Maximum norm error estimate for the procedure is derived. Then an iterative method based on domain decomposition is presented for the numerical scheme and the convergence of the given method is established. Then numerical experiments are presented to support the theoretical analysis. 展开更多
关键词 Forward-backward heat equation coarse mesh iterative method.
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Option pricing mechanisms driven by backward stochastic differential equations
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作者 Yufeng Shi Bin Teng Sicong Wang 《Financial Innovation》 2025年第1期2965-2983,共19页
This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning.We adopted a datadriven approach to find a market-appropriate generator... This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning.We adopted a datadriven approach to find a market-appropriate generator of the backward stochastic differential equation,which is achieved by leveraging the universal approximation capabilities of neural networks.Option pricing,which is the solution to the equation,is approximated using a recursive procedure.The empirical results for the S&P 500 index options show that the proposed deep learning g-pricing model has lower absolute errors than the classical Black–Scholes–Merton model for the same forward stochastic differential equations.The g-pricing mechanism has potential applications in option pricing. 展开更多
关键词 Option pricing backward stochastic differential equation Numerical method Deep learning
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Comparison of atmospheric gravity wave event statistics between Dandong and Lhasa
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作者 YiXuan Chen Chang Lai +2 位作者 QinZeng Li JiYao Xu Wei Yuan 《Earth and Planetary Physics》 2026年第1期176-185,共10页
Using a recognition model of atmospheric gravity waves(AGWs),we identified 519 AGW events from the OH airglow images observed at the Dandong and Lhasa stations from 2015 to 2017.The 317 AGW events detected at the Dand... Using a recognition model of atmospheric gravity waves(AGWs),we identified 519 AGW events from the OH airglow images observed at the Dandong and Lhasa stations from 2015 to 2017.The 317 AGW events detected at the Dandong station have wavelengths ranging from 30 to 60 km,periods from 14 to 20 min,horizontal speeds from 30 to 60 m/s,and relative intensities from 0.4%to 0.6%,respectively.The parameters of 202 events recorded at the Lhasa station mainly vary within 15-35 km in horizontal wavelength,4-6 min in period,40-100 m/s in horizontal velocity,and 0.1%-0.3%in relative intensity.The occurrence rate peaks in winter and summer at Dandong and the peak in summer are absent at Lhasa because of the lack of convective weather.The seasonal propagation directions of the waves are influenced by both the wind field-filtering effect and the distribution of wave sources.In spring,because of the southeastward background wind field,fewer southeastward events are observed at the Dandong station.The situation at the Lhasa station is similar.In summer,both the Lhasa and Dandong stations are dominated by northeastward AGWs,which can be attributed to the southwestward wind.In autumn,ray-tracing results show that the events at Dandong mainly originate from wind shear,whereas the events at the Lhasa station are triggered by convective weather.The location of the wave sources determines the trend of the propagation directions at the Dandong and Lhasa stations in autumn.In winter,because of the eastward wind,more events are propagating to the southwest at the Dandong station. 展开更多
关键词 atmospheric gravity waves backward ray-tracing method wind field filtering convective precipitation
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基于反向射线追踪法的航向信标辐射性能分析
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作者 林欢 康远鹏 +3 位作者 梁飞 杨正波 施瑞 景小荣 《计算机应用》 北大核心 2026年第3期899-906,共8页
仪表着陆系统(ILS)是保障飞行安全的关键导航设备,它的信号质量直接影响飞机的着陆精度与安全性。然而,机场周边日益复杂的电磁环境导致多径效应加剧,严重影响了ILS信号的可靠性与精度。因此,以航向信标(LOC)为研究对象,提出一种基于反... 仪表着陆系统(ILS)是保障飞行安全的关键导航设备,它的信号质量直接影响飞机的着陆精度与安全性。然而,机场周边日益复杂的电磁环境导致多径效应加剧,严重影响了ILS信号的可靠性与精度。因此,以航向信标(LOC)为研究对象,提出一种基于反向射线追踪法的信号传播路径分析方法。该方法通过建立机场环境的电磁传播模型,结合射线追踪与路径有效性判定规则,系统研究多径环境下ILS信号的传播特性;重点分析障碍物引起的信号反射与绕射效应对机载LOC接收信号调制度差(DDM)的影响。仿真实验结果表明:障碍物靠近跑道中线附近时,DDM会出现显著波动,最大抖动约为国际民用航空组织(ICAO)规定值的283.4%;而适当调整障碍物位置后,障碍物间存在遮挡以及障碍物与跑道中线距离增大,导致多径干扰衰减,DDM的波动幅度明显减小且满足ICAO规定的限制要求,最大抖动约为规定值的99.0%。以上验证了该方法可有效评估复杂机场环境中多径传播对ILS性能的影响。 展开更多
关键词 仪表着陆系统 航向信标 反向射线追踪法 调制度差 多径干扰
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供暖变化对石家庄PM_(2.5)中PAHs赋存特征及来源的影响研究
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作者 王逸飞 杨雪晶 +3 位作者 郭雨 王冉 姚波 崔建升 《中国环境科学》 北大核心 2026年第2期646-656,共11页
研究供暖变化对PM_(2.5)中多环芳烃(PAHs)赋存特征和来源的影响对于城市大气污染控制具有重要意义.在供暖期与非供暖期间,分别在石家庄市区布设3个点位采集42个PM_(2.5)样品,使用气相色谱-质谱联用仪(GC-MS/MS)测定了16种PAHs的浓度,并... 研究供暖变化对PM_(2.5)中多环芳烃(PAHs)赋存特征和来源的影响对于城市大气污染控制具有重要意义.在供暖期与非供暖期间,分别在石家庄市区布设3个点位采集42个PM_(2.5)样品,使用气相色谱-质谱联用仪(GC-MS/MS)测定了16种PAHs的浓度,并基于此对PAHs的浓度变化、来源和健康风险进行分析.结果表明,供暖期间与非供暖期间PAHs的平均浓度分别为13.97ng/m^(3)和10.63ng/m^(3),苯并[a]芘(BaP)为主要污染物.PAHs与温度、湿度O_(3)呈显著负相关,与PM_(2.5)、PM_(10)、SO_(2)、NO_(2)和CO呈显著正相关,并且得出温度、PM_(2.5)和O_(3)是影响供暖期前后PAHs浓度的主要因素;特征比值法和PMF源解析(PMF)均表明供暖期间PAHs的主要来源为交通排放源和煤-生物质燃烧源,非供暖期为交通排放源和石油类污染(包括油挥发和液体燃料燃烧),交通排放源为PAHs的主要贡献源;TrajStat模型分析发现PAHs主要污染源来自于西北方向,京津冀及河南地区为主要污染地区,供暖期间PAHs扩散条件较差;健康风险评估结果表明石家庄市区PM_(2.5)中PAHs对成人及儿童均无风险,但儿童终身癌症风险值是成人的2倍,需引起注意. 展开更多
关键词 多环芳烃(PAHs) PM_(2.5) PMF源解析 特征比值法 后向轨迹 健康风险评价
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Channel Characteristics Analysis in Semi-Basement Scenarios for Smart Meter Communication Systems
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作者 Wang Qing Zhang Zhaolei +1 位作者 Liu Yu Ren Yi 《China Communications》 2026年第1期92-106,共15页
The smart meter communication system has substantial application value for the construction and upgrading of the entire power system.The deployment of the transmitter(Tx)of the smart meter system in the residential sc... The smart meter communication system has substantial application value for the construction and upgrading of the entire power system.The deployment of the transmitter(Tx)of the smart meter system in the residential scenarios is vexed by the need for more theoretical support.This paper mainly studies the communication channel between the Tx at semibasement and receiver(Rx)at outdoor.The design of an effective communication system relies on an accurate understanding of channel characteristics.Channel measurements and ray-tracing channel modeling are conducted to obtain channel data.The influence of different positions at same semi-basement is studied.Typical channel characteristics are analyzed,such as power delay profile(PDP),power angular profile(PAP),root-mean-square(RMS)delay spread(DS),channel capacity,received power,and path loss.The influence of different semi-basement placements and different floor heights is also compared.Besides,the channel measurements and simulation data fit well,which can illustrate the validity and reliability of the acquired channel data.This paper can provide theoretical support for the design and optimization of smart meter communication systems in semi-basement scenarios. 展开更多
关键词 channel characteristics channel measurements ray-tracing method semi-basement scenarios smart meter communication
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Forward-backward热方程差分逼近的直接算法
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作者 叶兴德 《浙江大学学报(理学版)》 CAS CSCD 2002年第2期125-128,共4页
通过利用区域分解技术和并行算法的思想 ,把原问题分解为几个完全独立的子区域上的问题 ,并直接并行求解 ,然后把这些解作适当的线性组合 ,得到原问题的解 .给出了 Forward-
关键词 直接算法 Forward-backward热方程 有限差分方法 差分逼近 差分格式 区域分解技术 并行算法
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投影向后Euler-Maruyama方法的随机C-稳定性和B-相容性
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作者 张志洋 张航宇 毕卉 《哈尔滨理工大学学报》 北大核心 2026年第1期145-152,共8页
在一些实际研究场景中,相关研究工作的开展可仅依靠数值解,且大量随机微分方程的解析解无法直接获,故各种数值方法在随机微分方程现代研究体系中的重要性愈发凸显。通过引入投影算子改进了随机常微分方程的向后欧拉法,得到了新的数值方... 在一些实际研究场景中,相关研究工作的开展可仅依靠数值解,且大量随机微分方程的解析解无法直接获,故各种数值方法在随机微分方程现代研究体系中的重要性愈发凸显。通过引入投影算子改进了随机常微分方程的向后欧拉法,得到了新的数值方法—投影向后Euler-Maruyama方法,并证明这一新方法满足随机C-稳定性和随机B-相容性。此外,通过数值实验对一维随机Black-Scholes方程进行了数值模拟,得到精确解和数值解的轨道图像。然后,通过分析均方误差证实了新方法的误差小于原方法。最后,对新方法的收敛阶进行模拟,验证了理论分析结果。 展开更多
关键词 随机常微分方程 向后Euler-Maruyama方法 C-稳定性 B-相容性 均方误差
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Determination of processing power and optimum billet radius of modified backward extrusion by upper bound approach 被引量:3
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作者 S.H.HOSSEINI K.ABRINIA 《Transactions of Nonferrous Metals Society of China》 SCIE EI CAS CSCD 2016年第8期2170-2178,共9页
A recently developed backward extrusion method entitled “modified backward extrusion” was presented using an upper bound analysis. For this purpose deformation area was divided into four distinct zones and a kinemat... A recently developed backward extrusion method entitled “modified backward extrusion” was presented using an upper bound analysis. For this purpose deformation area was divided into four distinct zones and a kinematically admissible velocity field for each of them was suggested. Total dissipated power was calculated for the deformation zones and the extrusion power wascomputed. The correlations of important geometrical parameters with extrusion force and dissipated powers were shown. Finding the initial billet size, a challenging area in the modified backward extrusion method, was discussed and the optimum billet radius was obtained, considering the minimum relative extrusion pressure. Finite element analyses were conducted and the results werecompared with the upper bound analysis. Finally, experiments were executed on commercially pure aluminium and a good agreement between upper bound and finite element analyses with experimental values was observed. 展开更多
关键词 modified backward extrusion upper bound method finite element analysis optimum billet radius
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Inverse analysis of laboratory data and observations for evaluation of backward erosion piping process 被引量:3
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作者 Sige Peng John D.Rice 《Journal of Rock Mechanics and Geotechnical Engineering》 SCIE CSCD 2020年第5期1080-1092,共13页
An inverse analysis procedure has been developed to interpret collected pore pressure data and observations during backward erosion piping(BEP)initiation and progression in sandy soils.The procedure has been applied t... An inverse analysis procedure has been developed to interpret collected pore pressure data and observations during backward erosion piping(BEP)initiation and progression in sandy soils.The procedure has been applied to laboratory models designed to mimic the initiation and progression of BEP through a constricted vertical outlet.The inverse analysis uses three-dimensional(3D)finite element method(FEM)to successively produce models of the hydraulic head regime surrounding progressive stages of BEP based on observations at the sample surface and pore pressure measurements obtained from the laboratory models.The inverse analysis results in a series of 3D contour plots that represent the hydraulic-head regime at each stage of the BEP development,allowing for assessing the development of BEP mechanism as well as calculating the critical hydraulic conditions required for various BEP stages to initiate and progress.Interpretation of the results identified four significant stages of the piping process:(1)loosened zone initiation,(2)channel initiation and progression,(3)riser sand fluidization,and(4)loosened zone progression.Interpretation of the hydraulic head contour plots allows assessment of the critical hydraulic gradients needed to initiate and progress various components of the BEP development. 展开更多
关键词 backward erosion piping(BEP) Laboratory modeling Inverse analysis Finite element method(FEM) Soil loosening Critical gradient
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An IPC-based Prolog design pattern for integrating backward chaining inference into applications or embedded systems 被引量:2
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作者 Li Guoqi Shao Yuanxun +1 位作者 Hong Sheng Liu Bin 《Chinese Journal of Aeronautics》 SCIE EI CAS CSCD 2014年第6期1571-1577,共7页
Prolog is one of the most important candidates to build expert systems and AI-related programs and has potential applications in embedded systems. However, Prolog is not suitable to develop many kinds of components, s... Prolog is one of the most important candidates to build expert systems and AI-related programs and has potential applications in embedded systems. However, Prolog is not suitable to develop many kinds of components, such as data acquisition and task scheduling, which are also crucial. To make the best use of the advantages and bypass the disadvantages, it is attractive to integrate Prolog with programs developed by other languages. In this paper, an IPC-based method is used to integrate backward chaining inference implemented by Prolog into applications or embedded systems. A Prolog design pattern is derived from the method for reuse, whose principle and definition are provided in detail. Additionally, the design pattern is applied to a target system, which is free software, to verify its feasibility. The detailed implementation of the application is given to clarify the design pattern. The design pattern can be further applied to wide range applications and embedded systems and the method described in this paper can also be adopted for other logic programming languages. 展开更多
关键词 backward chaining inference Design method Embedded systems Inference engines Inter-process communication Prolog
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STABILIZED NUMERICAL APPROXIMATIONS OF THE BACKWARD PROBLEM OF A PARABOLIC EQUATION
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作者 Han Houde(韩厚德) +1 位作者 Hu Gang(胡刚) 《Numerical Mathematics A Journal of Chinese Universities(English Series)》 SCIE 2001年第2期182-192,共11页
In this paper, the backward problem of a parabolic equation is considered. Three new stability estimates are given. Based on the new stability estimates, a regularization method is proposed for which error estimates a... In this paper, the backward problem of a parabolic equation is considered. Three new stability estimates are given. Based on the new stability estimates, a regularization method is proposed for which error estimates are available. The regularization method can be used for the numerical approximations of the original problem which will be shown by the numerical examples. 展开更多
关键词 backward PARABOLIC equation stability estimates REGULARIZATION method.
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Solutions to general forward-backward doubly stochastic differential equations 被引量:1
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作者 朱庆峰 石玉峰 宫献军 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2009年第4期517-526,共10页
A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some... A general type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. It extends many important equations that have been well studied, including stochastic Hamiltonian systems. Under some much weaker monotonicity assumptions, the existence and uniqueness of measurable solutions are established with a incthod of continuation. Furthermore, the continuity and differentiability of the solutions to FBDSDEs depending on parameters is discussed. 展开更多
关键词 forward-backward doubly stochastic differential equations method of con-tinuation H-monotone
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Analysis of the Invariance and Generalizability of Multiple Linear Regression Model Results Obtained from Maslach Burnout Scale through Jackknife Method
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作者 Tolga Zaman Kamil Alakus 《Open Journal of Statistics》 2015年第7期645-651,共7页
The purpose of this study was to examine the burnout levels of research assistants in Ondokuz Mayis University and to examine the results of multiple linear regression model based on the results obtained from Maslach ... The purpose of this study was to examine the burnout levels of research assistants in Ondokuz Mayis University and to examine the results of multiple linear regression model based on the results obtained from Maslach Burnout Scale with Jackknife Method in terms of validity and generalizability. To do this, a questionnaire was given to 11 research assistants working at Ondokuz Mayis University and the burnout scores of this questionnaire were taken as the dependent variable of the multiple linear regression model. The variable of burnout was explained with the variables of age, weekly hours of classes taught, monthly average credit card debt, numbers of published articles and reports, gender, marital status, number of children and the departments of the research assistants. Dummy variables were assigned to the variables of gender, marital status, number of children and the departments of the research assistants and thus, they were made quantitative. The significance of the model as a result of multiple linear regressions was examined through backward elimination method. After this, for the five explanatory variables which influenced the variable of burnout, standardized model coefficients and coefficients of determination, and 95% confidence intervals of these values were estimated through Jackknife Method and the generalizability of the parameter estimation results of these variables on population was researched. 展开更多
关键词 JACKKNIFE method INVARIANCE GENERALIZABILITY Maslach BURNOUT SCALE Multiple Linear Regression backward Elimination method
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Effect of Richardson number on entropy generation over backward facing step
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作者 陈胜 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2012年第11期1431-1440,共10页
The flow over a backward facing step (BFS) has been taken as a useful proto- type to investigate intrinsic mechanisms of separated flow with heat transfer. However, to date, the open literature on the effect of Rich... The flow over a backward facing step (BFS) has been taken as a useful proto- type to investigate intrinsic mechanisms of separated flow with heat transfer. However, to date, the open literature on the effect of Richardson number on entropy generation over the BFS is absent yet, although the flow pattern and heat transfer characteristic both will receive significant influence caused by the variation of Richardson number in many prac- tical applications, such as in microelectromechanical systems and aerocrafts. The effect of Richardson number on entropy generation in the BFS flow is reported in this paper for the first time. The entropy generation analysis is conducted through numerically solving the entropy generation equation. The velocity and temperature, which are the inputs of the entropy generation equation, are evaluated by the lattice Boltzmann method. It is found that the distributions of local entropy generation number and Bejan number are significantly influenced by the variation of Richardson number. The total entropy gen- eration number is a monotonic decreasing function of Richardson number, whereas the average Bejan number is a monotonic increasing function of Richardson number. 展开更多
关键词 entropy generation backward facing step Richardson number latticeBoltzmann method
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An Implicit-Explicit Computational Method Based on Time Semi-Discretization for Pricing Financial Derivatives with Jumps
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作者 Yang Wang 《Open Journal of Statistics》 2018年第2期334-344,共11页
This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that... This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that the value of any European contingent claim should satisfy, where the asset price obeys the SVJ model. This equation is numerically solved by using the implicit- explicit backward difference method and time semi-discretization. In order to explain the validity of our method, the stability of time semi-discretization scheme is also proved. Finally, we use a simulation example to illustrate the efficiency of the method. 展开更多
关键词 SVJ Model of Bates Time SEMI-DISCRETIZATION Stability NO-ARBITRAGE Principle Implicit-Explicit backward Difference method
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