A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that gov...A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that governs the time evolution of the probability density function of this process. In the stochastic process and, correspondingly, in the FP model the control function enters as a time-dependent coefficient. The objectives of the control are to minimize a discrete-in-time, resp. continuous-in-time, tracking functionals and its L2- and L1-costs, where the latter is considered to promote control sparsity. An efficient proximal scheme for solving these optimal control problems is considered. Results of numerical experiments are presented to validate the theoretical results and the computational effectiveness of the proposed control framework.展开更多
This paper deals with the dividend optimization problem for an insurance company, whose surplus follows a jump-diffusion process. The objective of the company is to maximize the expected total discounted dividends pai...This paper deals with the dividend optimization problem for an insurance company, whose surplus follows a jump-diffusion process. The objective of the company is to maximize the expected total discounted dividends paid out until the time of ruin. Under concavity assumption on the optimal value function, the paper states some general properties and, in particular, smoothness results on the optimal value function, whose analysis mainly relies on viscosity solutions of the associated Hamilton-Jacobi-Bellman （HJB） equations. Based on these properties, the explicit expression of the optimal value function is obtained. And some numerical calculations are presented as the application of the results.展开更多
We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approa...We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.展开更多
This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution.The authors give the explicit closed-form expression for the join...This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution.The authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected process.Finally,the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.展开更多
In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and...In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.展开更多
In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not only face default risk, but also face the rare shocks of the underlying a...In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not only face default risk, but also face the rare shocks of the underlying assets and the counterparty assets. The dynamics of two correlated assets are modeled as a class of jump diffusion processes. Furthermore, we assume that the dynamic of the corporate liability is a geometric Brownian motion that is related to the underlying asset and the counterparty asset. Under this new framework,we give an explicit pricing formula of the vulnerable European options.展开更多
In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus...In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.展开更多
The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In thi...The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In this paper, we modify the classical Poisson risk model to describe the surplus process of an insurance portfolio. We consider a jump-diffusion risk process compounded by a geometric Brownian motion, and assume that the claim sizes and claim intervals are dependent. Using the properties of conditional expectation, we establish integro-differential equations for the Gerber-Shiu function and the ultimate ruin probability.展开更多
A kind of linear-quadratic Stackelberg games with the multilevel hierarchy driven by both Brownian motion and Poisson processes is considered.The Stackelberg equilibrium is presented by linear forward-backward stochas...A kind of linear-quadratic Stackelberg games with the multilevel hierarchy driven by both Brownian motion and Poisson processes is considered.The Stackelberg equilibrium is presented by linear forward-backward stochastic differential equations(FBSDEs)with Poisson processes(FBSDEPs)in a closed form.By the continuity method,the unique solvability of FBSDEPs with a multilevel self-similar domination-monotonicity structure is obtained.展开更多
Agricultural Products Processing and Storage(ISSN 3059-4510,Owner:Hunan Academy of Agricultural Sciences,China.Production and hosting:Springer Nature)is an international,peer-reviewed open access journal with the aim ...Agricultural Products Processing and Storage(ISSN 3059-4510,Owner:Hunan Academy of Agricultural Sciences,China.Production and hosting:Springer Nature)is an international,peer-reviewed open access journal with the aim to offer a platform for the rapid dissemination of signifi cant,novel,and high-impact research in the fi elds of agricultural product processing science,technology,engineering,and nutrition.Additionally,supplemental issues are curated and published to facilitate in-depth discussions on special topics.展开更多
Wire arc additive manufacturing(WAAM)has emerged as a promising approach for fabricating large-scale components.However,conventional WAAM still faces challenges in optimizing microstructural evolution,minimizing addit...Wire arc additive manufacturing(WAAM)has emerged as a promising approach for fabricating large-scale components.However,conventional WAAM still faces challenges in optimizing microstructural evolution,minimizing additive-induced defects,and alleviating residual stress and deformation,all of which are critical for enhancing the mechanical performance of the manufactured parts.Integrating interlayer friction stir processing(FSP)into WAAM significantly enhances the quality of deposited materials.However,numerical simulation research focusing on elucidating the associated thermomechanical coupling mechanisms remains insufficient.A comprehensive numerical model was developed to simulate the thermomechanical coupling behavior in friction stir-assisted WAAM.The influence of post-deposition FSP on the coupled thermomechanical response of the WAAM process was analyzed quantitatively.Moreover,the residual stress distribution and deformation behavior under both single-layer and multilayer deposition conditions were investigated.Thermal analysis of different deposition layers in WAAM and friction stir-assisted WAAM was conducted.Results show that subsequent layer deposition induces partial remelting of the previously solidified layer,whereas FSP does not cause such remelting.Furthermore,thermal stress and deformation analysis confirm that interlayer FSP effectively mitigates residual stresses and distortion in WAAM components,thereby improving their structural integrity and mechanical properties.展开更多
The aging process is an inexorable fact throughout our lives and is considered a major factor in develo ping neurological dysfunctions associated with cognitive,emotional,and motor impairments.Aging-associated neurode...The aging process is an inexorable fact throughout our lives and is considered a major factor in develo ping neurological dysfunctions associated with cognitive,emotional,and motor impairments.Aging-associated neurodegenerative diseases are characterized by the progressive loss of neuronal structure and function.展开更多
The complexity of the seismicity pattern for the subduction zone along the oceanic plate triggered the outer rise events and revealed cyclic tectonic deformation conditions along the plate subduction zones.The outer r...The complexity of the seismicity pattern for the subduction zone along the oceanic plate triggered the outer rise events and revealed cyclic tectonic deformation conditions along the plate subduction zones.The outer rise earthquakes have been observed along the Sunda arc,following the estimated rupture area of the 2005 M_(W)8.6 Nias earthquakes.Here,we used kinematic waveform inversion(KIWI)to obtain the source parameters of the 14 May 2021 M_(W)6.6 event off the west coast of northern Sumatra and to define the fault plane that triggered this outer rise event.The KIWI algorithm allows two types of seismic source to be configured:the moment tensor model to describe the type of shear with six moment tensor components and the Eikonal model for the rupture of pure double-couple sources.This method was chosen for its flexibility to be applied for different sources of seismicity and also for the automated full-moment tensor solution with real-time monitoring.We used full waveform traces from 8 broadband seismic stations within 1000 km epicentral distances sourced from the Incorporated Research Institutions for Seismology(IRIS-IDA)and Geofon GFZ seismic record databases.The initial origin time and hypocenter values are obtained from the IRIS-IDA.The synthetic seismograms used in the inversion process are based on the existing regional green function database model and were accessed from the KIWI Tools Green's Function Database.The obtained scalar seismic moment value is 1.18×10^(19)N·m,equivalent to a moment magnitude M_(W)6.6.The source parameters are 140°,44°,and−99°for the strike,dip,and rake values at a centroid depth of 10.2 km,indicating that this event is a normal fault earthquake that occurred in the outer rise area.The outer rise events with normal faults typically occur at the shallow part of the plate,with nodal-plane dips predominantly in the range of 30°-60°on the weak oceanic lithosphere due to hydrothermal alteration.The stress regime around the plate subduction zone varies both temporally and spatially due to the cyclic influences of megathrust earthquakes.Tensional outer rise earthquakes tend to occur after the megathrust events.The relative timing of these events is not known due to the viscous relaxation of the down going slab and poroelastic response in the trench slope region.The occurrence of the 14 May 2021 earthquake shows the seismicity in the outer rise region in the strongly coupled Sunda arc subduction zone due to elastic bending stress within the duration of the seismic cycle.展开更多
To explore the best preparation process for terminal blend(TB)composite-modified asphalt and to filter its formulation with excellent performance,this study evaluates the performance of TB composite modified asphalt b...To explore the best preparation process for terminal blend(TB)composite-modified asphalt and to filter its formulation with excellent performance,this study evaluates the performance of TB composite modified asphalt by physical property index,microscopic morphology,rheological testing,and infrared spectroscopy on multiple scales.The results show that the best preparation process for TB-modified asphalt is stirring at 260℃ for 4 h at 400 rpm,which significantly reduces the modification time of the asphalt.From a physical property viewpoint,the TB composite-modified asphalt sample with 5% styrene-butadiene-styrene(SBS)+1% aromatics+0.1% sulfur exhibits high-comprehensive,high-and low-temperature properties.More-over,its crosslinked mesh structure comprises black rubber particles uniformly interwoven in the middle,which further enhances the performance of the asphalt and results in an excellent performance formulation.In addition,the sample with 5%SBS content has a higher G*value and smaller δ value than that with 3%SBS content,indicating that its high-temperature resistance is improved.The effect of adding 3%SBS content on the viscoelastic ratio is,to some extent,less than that caused by 20% rubber powder.展开更多
Oxide dispersion strengthened(ODS)alloys are extensively used owing to high thermostability and creep strength contributed from uniformly dispersed fine oxides particles.However,the existence of these strengthening pa...Oxide dispersion strengthened(ODS)alloys are extensively used owing to high thermostability and creep strength contributed from uniformly dispersed fine oxides particles.However,the existence of these strengthening particles also deteriorates the processability and it is of great importance to establish accurate processing maps to guide the thermomechanical processes to enhance the formability.In this study,we performed particle swarm optimization-based back propagation artificial neural network model to predict the high temperature flow behavior of 0.25wt%Al2O3 particle-reinforced Cu alloys,and compared the accuracy with that of derived by Arrhenius-type constitutive model and back propagation artificial neural network model.To train these models,we obtained the raw data by fabricating ODS Cu alloys using the internal oxidation and reduction method,and conducting systematic hot compression tests between 400 and800℃with strain rates of 10^(-2)-10 S^(-1).At last,processing maps for ODS Cu alloys were proposed by combining processing parameters,mechanical behavior,microstructure characterization,and the modeling results achieved a coefficient of determination higher than>99%.展开更多
In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via marti...In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping.展开更多
Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure ri...Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.展开更多
This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model estab...This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.展开更多
Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering d...Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.展开更多
In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the...In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.展开更多
文摘A framework for the optimal sparse-control of the probability density function of a jump-diffusion process is presented. This framework is based on the partial integro-differential Fokker-Planck (FP) equation that governs the time evolution of the probability density function of this process. In the stochastic process and, correspondingly, in the FP model the control function enters as a time-dependent coefficient. The objectives of the control are to minimize a discrete-in-time, resp. continuous-in-time, tracking functionals and its L2- and L1-costs, where the latter is considered to promote control sparsity. An efficient proximal scheme for solving these optimal control problems is considered. Results of numerical experiments are presented to validate the theoretical results and the computational effectiveness of the proposed control framework.
文摘This paper deals with the dividend optimization problem for an insurance company, whose surplus follows a jump-diffusion process. The objective of the company is to maximize the expected total discounted dividends paid out until the time of ruin. Under concavity assumption on the optimal value function, the paper states some general properties and, in particular, smoothness results on the optimal value function, whose analysis mainly relies on viscosity solutions of the associated Hamilton-Jacobi-Bellman （HJB） equations. Based on these properties, the explicit expression of the optimal value function is obtained. And some numerical calculations are presented as the application of the results.
基金Supported by the National Natural Science Foundation of China(No.11571365,11171349)
文摘We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.
基金supported by the Natural Science Foundation of China under Grant Nos.11301369,11401419the Natural Science Foundation of Jiangsu Province under Grant Nos.BK20130260,BK20140279
文摘This paper studies the first passage time problem for a reflected two-sided jump-diffusion risk model with the jumps having a hyper-Erlang distribution.The authors give the explicit closed-form expression for the joint Laplace transform of the first passage time and the overshoot for the reflected process.Finally,the formula is applied to the ruin problem under the barrier dividend strategy and the pricing of the Russian option.
基金Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296)Supported by the National Natural Science Foundation of China(71073020)
文摘In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.
基金supported by the National Natural Science Foundation of China(No.11471051 and No.11871010)supported by the National Social Science Foundation of China(No.16ZDA033)
文摘In this paper, we consider an improved model of pricing vulnerable options with credit risk. We assume that the vulnerable European options not only face default risk, but also face the rare shocks of the underlying assets and the counterparty assets. The dynamics of two correlated assets are modeled as a class of jump diffusion processes. Furthermore, we assume that the dynamic of the corporate liability is a geometric Brownian motion that is related to the underlying asset and the counterparty asset. Under this new framework,we give an explicit pricing formula of the vulnerable European options.
基金Supported by the National Natural Sci-ence Foundations of China (10271062 and 10471119)the Natural Science Foundation of Shandong Province(Y2004A06, Y2008A12, and ZR2009AL015)+1 种基金the Science Foundations of Shandong Provincial Education Department (J07yh05)the Science Foundations of Qufu Normal University (XJ0713, Bsqd200517)
文摘In this article, the joint distributions of several actuarial diagnostics which are important to insurers＇ running for the jump-diffusion risk process are examined. They include the ruin time, the time of the surplus process leaving zero ultimately （simply, the ultimately leaving-time）, the surplus immediately prior to ruin, the supreme profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. The explicit expressions for their distributions are obtained mainly by the various properties of Levy process, such as the homogeneous strong Markov property and the spatial homogeneity property etc, moveover, the many properties for Brownian motion.
文摘The classical Poisson risk model in ruin theory assumed that the interarrival times between two successive claims are mutually independent, and the claim sizes and claim intervals are also mutually independent. In this paper, we modify the classical Poisson risk model to describe the surplus process of an insurance portfolio. We consider a jump-diffusion risk process compounded by a geometric Brownian motion, and assume that the claim sizes and claim intervals are dependent. Using the properties of conditional expectation, we establish integro-differential equations for the Gerber-Shiu function and the ultimate ruin probability.
基金supported by National Natural Science Foundation of China(Grant Nos.11871310,11801317,61873325 and 11831010)the Natural Science Foundation of Shandong Province(Grant No.ZR2019MA013)+1 种基金the National Key R&D Program of China(Grant No.2018YFA0703900)the Colleges and Universities Youth Innovation Technology Program of Shandong Province(Grant No.2019KJI011)。
文摘A kind of linear-quadratic Stackelberg games with the multilevel hierarchy driven by both Brownian motion and Poisson processes is considered.The Stackelberg equilibrium is presented by linear forward-backward stochastic differential equations(FBSDEs)with Poisson processes(FBSDEPs)in a closed form.By the continuity method,the unique solvability of FBSDEPs with a multilevel self-similar domination-monotonicity structure is obtained.
文摘Agricultural Products Processing and Storage(ISSN 3059-4510,Owner:Hunan Academy of Agricultural Sciences,China.Production and hosting:Springer Nature)is an international,peer-reviewed open access journal with the aim to offer a platform for the rapid dissemination of signifi cant,novel,and high-impact research in the fi elds of agricultural product processing science,technology,engineering,and nutrition.Additionally,supplemental issues are curated and published to facilitate in-depth discussions on special topics.
基金National Key Research and Development Program of China(2022YFB4600902)Shandong Provincial Science Foundation for Outstanding Young Scholars(ZR2024YQ020)。
文摘Wire arc additive manufacturing(WAAM)has emerged as a promising approach for fabricating large-scale components.However,conventional WAAM still faces challenges in optimizing microstructural evolution,minimizing additive-induced defects,and alleviating residual stress and deformation,all of which are critical for enhancing the mechanical performance of the manufactured parts.Integrating interlayer friction stir processing(FSP)into WAAM significantly enhances the quality of deposited materials.However,numerical simulation research focusing on elucidating the associated thermomechanical coupling mechanisms remains insufficient.A comprehensive numerical model was developed to simulate the thermomechanical coupling behavior in friction stir-assisted WAAM.The influence of post-deposition FSP on the coupled thermomechanical response of the WAAM process was analyzed quantitatively.Moreover,the residual stress distribution and deformation behavior under both single-layer and multilayer deposition conditions were investigated.Thermal analysis of different deposition layers in WAAM and friction stir-assisted WAAM was conducted.Results show that subsequent layer deposition induces partial remelting of the previously solidified layer,whereas FSP does not cause such remelting.Furthermore,thermal stress and deformation analysis confirm that interlayer FSP effectively mitigates residual stresses and distortion in WAAM components,thereby improving their structural integrity and mechanical properties.
文摘The aging process is an inexorable fact throughout our lives and is considered a major factor in develo ping neurological dysfunctions associated with cognitive,emotional,and motor impairments.Aging-associated neurodegenerative diseases are characterized by the progressive loss of neuronal structure and function.
基金supported by the National Natural Science Foundation of China(Grant No.42130312)。
文摘The complexity of the seismicity pattern for the subduction zone along the oceanic plate triggered the outer rise events and revealed cyclic tectonic deformation conditions along the plate subduction zones.The outer rise earthquakes have been observed along the Sunda arc,following the estimated rupture area of the 2005 M_(W)8.6 Nias earthquakes.Here,we used kinematic waveform inversion(KIWI)to obtain the source parameters of the 14 May 2021 M_(W)6.6 event off the west coast of northern Sumatra and to define the fault plane that triggered this outer rise event.The KIWI algorithm allows two types of seismic source to be configured:the moment tensor model to describe the type of shear with six moment tensor components and the Eikonal model for the rupture of pure double-couple sources.This method was chosen for its flexibility to be applied for different sources of seismicity and also for the automated full-moment tensor solution with real-time monitoring.We used full waveform traces from 8 broadband seismic stations within 1000 km epicentral distances sourced from the Incorporated Research Institutions for Seismology(IRIS-IDA)and Geofon GFZ seismic record databases.The initial origin time and hypocenter values are obtained from the IRIS-IDA.The synthetic seismograms used in the inversion process are based on the existing regional green function database model and were accessed from the KIWI Tools Green's Function Database.The obtained scalar seismic moment value is 1.18×10^(19)N·m,equivalent to a moment magnitude M_(W)6.6.The source parameters are 140°,44°,and−99°for the strike,dip,and rake values at a centroid depth of 10.2 km,indicating that this event is a normal fault earthquake that occurred in the outer rise area.The outer rise events with normal faults typically occur at the shallow part of the plate,with nodal-plane dips predominantly in the range of 30°-60°on the weak oceanic lithosphere due to hydrothermal alteration.The stress regime around the plate subduction zone varies both temporally and spatially due to the cyclic influences of megathrust earthquakes.Tensional outer rise earthquakes tend to occur after the megathrust events.The relative timing of these events is not known due to the viscous relaxation of the down going slab and poroelastic response in the trench slope region.The occurrence of the 14 May 2021 earthquake shows the seismicity in the outer rise region in the strongly coupled Sunda arc subduction zone due to elastic bending stress within the duration of the seismic cycle.
基金Funded by the National Natural Science Foundation of China(No.52278446)。
文摘To explore the best preparation process for terminal blend(TB)composite-modified asphalt and to filter its formulation with excellent performance,this study evaluates the performance of TB composite modified asphalt by physical property index,microscopic morphology,rheological testing,and infrared spectroscopy on multiple scales.The results show that the best preparation process for TB-modified asphalt is stirring at 260℃ for 4 h at 400 rpm,which significantly reduces the modification time of the asphalt.From a physical property viewpoint,the TB composite-modified asphalt sample with 5% styrene-butadiene-styrene(SBS)+1% aromatics+0.1% sulfur exhibits high-comprehensive,high-and low-temperature properties.More-over,its crosslinked mesh structure comprises black rubber particles uniformly interwoven in the middle,which further enhances the performance of the asphalt and results in an excellent performance formulation.In addition,the sample with 5%SBS content has a higher G*value and smaller δ value than that with 3%SBS content,indicating that its high-temperature resistance is improved.The effect of adding 3%SBS content on the viscoelastic ratio is,to some extent,less than that caused by 20% rubber powder.
基金financial support of the National Natural Science Foundation of China(No.52371103)the Fundamental Research Funds for the Central Universities,China(No.2242023K40028)+1 种基金the Open Research Fund of Jiangsu Key Laboratory for Advanced Metallic Materials,China(No.AMM2023B01).financial support of the Research Fund of Shihezi Key Laboratory of AluminumBased Advanced Materials,China(No.2023PT02)financial support of Guangdong Province Science and Technology Major Project,China(No.2021B0301030005)。
文摘Oxide dispersion strengthened(ODS)alloys are extensively used owing to high thermostability and creep strength contributed from uniformly dispersed fine oxides particles.However,the existence of these strengthening particles also deteriorates the processability and it is of great importance to establish accurate processing maps to guide the thermomechanical processes to enhance the formability.In this study,we performed particle swarm optimization-based back propagation artificial neural network model to predict the high temperature flow behavior of 0.25wt%Al2O3 particle-reinforced Cu alloys,and compared the accuracy with that of derived by Arrhenius-type constitutive model and back propagation artificial neural network model.To train these models,we obtained the raw data by fabricating ODS Cu alloys using the internal oxidation and reduction method,and conducting systematic hot compression tests between 400 and800℃with strain rates of 10^(-2)-10 S^(-1).At last,processing maps for ODS Cu alloys were proposed by combining processing parameters,mechanical behavior,microstructure characterization,and the modeling results achieved a coefficient of determination higher than>99%.
基金Supported by the Natural Science Foundation of Jiangsu Province(BK20130260)the National Natural Science Foundation of China(11301369)the Postdoctoral Science Foundation of China(2013M540371)
文摘In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping.
基金Supported by the NNSF of China(40675023)the PHD Foundation of Guangxi Normal University.
文摘Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.
基金Supported by the Fundamental Research Funds of Lanzhou University of Finance and Economics(Lzufe2017C-09)
文摘This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.
基金Supported by the National Basic Research Program of China(973 Program)(2007CB814903)
文摘Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.
文摘In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.
