We apply the dynamic programming methods to compute the analytical solution of the dynamic mean-variance optimization problem affected by an exogenous liability in a multi-periods market model with singular second mom...We apply the dynamic programming methods to compute the analytical solution of the dynamic mean-variance optimization problem affected by an exogenous liability in a multi-periods market model with singular second moment matrixes of the return vector of assets. We use orthogonai transformations to overcome the difficulty produced by those singular matrixes, and the analytical form of the efficient frontier is obtained. As an application, the explicit form of the optimal mean-variance hedging strategy is also obtained for our model.展开更多
This paper discussses the random singular integral of random process with second order moment, establishes the concepts of the random singular integral and proves that it's a linear bounded operator of space Ha(L)...This paper discussses the random singular integral of random process with second order moment, establishes the concepts of the random singular integral and proves that it's a linear bounded operator of space Ha(L)(m, s). Then Plemelj formula and some other properties for random singular integral are proved.展开更多
A new second-order moment model for turbulent combustion is applied in the simulation of methane-air turbulent jet flame. The predicted results are compared with the experimental results and with those predicted using...A new second-order moment model for turbulent combustion is applied in the simulation of methane-air turbulent jet flame. The predicted results are compared with the experimental results and with those predicted using the well-known EBU-Arrhenius model and the original second-order moment model. The comparison shows the advantage of the new model that it requires almost the same computational storage and time as that of the original second-order moment model, but its modeling results are in better agreement with experiments than those using other models. Hence, the new second-order moment model is promising in modeling turbulent combustion with NOx formation with finite reaction rate for engineering application.展开更多
A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concepts of particle large-scale fluctuation due to turbulence and particle small-scale flu...A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concepts of particle large-scale fluctuation due to turbulence and particle small-scale fluctuation due to collision and through a unified treatment of these two kinds of fluctuations. The proposed model is used to simulate gas-particle flows in a channel and in a downer. Simulation results are in agreement with the experimental results reported in references and are near the results obtained using the sin- gle-scale second-order moment two-phase turbulence model superposed with a particle collision model （USM-θ model） in most regions.展开更多
A second-moment closure for the near-wall turbulence is proposed. The limiting behaviour of this closure near a wall is consistent with that of the exact Reynolds-stress transport equations, and it converts asymptotic...A second-moment closure for the near-wall turbulence is proposed. The limiting behaviour of this closure near a wall is consistent with that of the exact Reynolds-stress transport equations, and it converts asymptotically into a high- Reynolds-number closure remote from the wall. The closure is applied to a pressure- driven 3D transient channel flow. The predicted results are in fair agreement with the DNS data.展开更多
The USM-θ model of Bingham fluid for dense two-phase turbulent flow was developed, which combines the second-order moment model for two-phase turbulence with the particle kinetic theory for the inter-particle collisi...The USM-θ model of Bingham fluid for dense two-phase turbulent flow was developed, which combines the second-order moment model for two-phase turbulence with the particle kinetic theory for the inter-particle collision. In this model, phases interaction and the extra term of Bingham fluid yield stress are taken into account. An algorithm for USM-θ model in dense two-phase flow was proposed, in which the influence of particle volume fraction is accounted for. This model was used to simulate turbulent flow of Bingham fluid single-phase and dense liquid-particle two-phase in pipe. It is shown USM-θ model has better prediction result than the five-equation model, in which the particle-particle collision is modeled by the particle kinetic theory, while the turbulence of both phase is simulated by the two-equation turbulence model. The USM-θ model was then used to simulate the dense two-phase turbulent up flow of Bingham fluid with particles. With the increasing of the yield stress, the velocities of Bingham and particle decrease near the pipe centre. Comparing the two-phase flow of Bingham-particle with that of liquid-particle, it is found the source term of yield stress has significant effect on flow.展开更多
A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concept of particle large-scale fluctuation due to turbulence and particle small-scale fluc...A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concept of particle large-scale fluctuation due to turbulence and particle small-scale fluctuation due to collision. The proposed model is used to simulate gas-particle downer reactor flows. The computational results of both particle volume fraction and mean velocity are in agreement with the experimental results. After analyzing effects of empirical coefficient on prediction results, we can come to a conclusion that, inside the limit range of empirical coefficient, the predictions do not reveal a large sensitivity to the empirical coefficient in the downer reactor, but a relatively great change of the constants has important effect on the prediction.展开更多
The lifting scheme is a custom design construclion of Biorthogonal wavelets, a fast and efficient method to realize wavelet transform,which provides a wider range of application and efficiently reduces the computing t...The lifting scheme is a custom design construclion of Biorthogonal wavelets, a fast and efficient method to realize wavelet transform,which provides a wider range of application and efficiently reduces the computing time with its particular frame. This paper aims at introducing the second generation wavelets, begins with traditional Mallat algorithms, illustrates the lifting scheme and brings out the detail steps in the construction of Biorthogonal wavelets. Because of isolating the degrees of freedom remaining the biorthogonality relations, we can fully control over the lifting operators to design the wavelet for a particular application, such as increasing the number of the vanishing moments.展开更多
基金National Basic Research Program of China (973 Program No.2007CB814903)National Natural Science Foundation of China (No.70671069)
文摘We apply the dynamic programming methods to compute the analytical solution of the dynamic mean-variance optimization problem affected by an exogenous liability in a multi-periods market model with singular second moment matrixes of the return vector of assets. We use orthogonai transformations to overcome the difficulty produced by those singular matrixes, and the analytical form of the efficient frontier is obtained. As an application, the explicit form of the optimal mean-variance hedging strategy is also obtained for our model.
基金The project is supported by the NSF of China (10271098)Education Foundation of Fujian (JB02083) Science & Technical Development Foundation of Fuzhou University (2003xy-11).
文摘This paper discussses the random singular integral of random process with second order moment, establishes the concepts of the random singular integral and proves that it's a linear bounded operator of space Ha(L)(m, s). Then Plemelj formula and some other properties for random singular integral are proved.
基金The project sponsored by the Foundation for Doctorate Thesis of Tsinghua Universitythe National Key Project in 1999-2004 sponsored by the Ministry of Science and Technology of China
文摘A new second-order moment model for turbulent combustion is applied in the simulation of methane-air turbulent jet flame. The predicted results are compared with the experimental results and with those predicted using the well-known EBU-Arrhenius model and the original second-order moment model. The comparison shows the advantage of the new model that it requires almost the same computational storage and time as that of the original second-order moment model, but its modeling results are in better agreement with experiments than those using other models. Hence, the new second-order moment model is promising in modeling turbulent combustion with NOx formation with finite reaction rate for engineering application.
基金The project supported by the Special Funds for Major State Basic Research,China(G-1999-0222-08)the Postdoctoral Science Foundation(2004036239)
文摘A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concepts of particle large-scale fluctuation due to turbulence and particle small-scale fluctuation due to collision and through a unified treatment of these two kinds of fluctuations. The proposed model is used to simulate gas-particle flows in a channel and in a downer. Simulation results are in agreement with the experimental results reported in references and are near the results obtained using the sin- gle-scale second-order moment two-phase turbulence model superposed with a particle collision model （USM-θ model） in most regions.
基金The project supported by the National Natural Science Foundation of China
文摘A second-moment closure for the near-wall turbulence is proposed. The limiting behaviour of this closure near a wall is consistent with that of the exact Reynolds-stress transport equations, and it converts asymptotically into a high- Reynolds-number closure remote from the wall. The closure is applied to a pressure- driven 3D transient channel flow. The predicted results are in fair agreement with the DNS data.
基金Project supported by the National Key Basic Research and Development Program of China(No.G1999-0222-08)
文摘The USM-θ model of Bingham fluid for dense two-phase turbulent flow was developed, which combines the second-order moment model for two-phase turbulence with the particle kinetic theory for the inter-particle collision. In this model, phases interaction and the extra term of Bingham fluid yield stress are taken into account. An algorithm for USM-θ model in dense two-phase flow was proposed, in which the influence of particle volume fraction is accounted for. This model was used to simulate turbulent flow of Bingham fluid single-phase and dense liquid-particle two-phase in pipe. It is shown USM-θ model has better prediction result than the five-equation model, in which the particle-particle collision is modeled by the particle kinetic theory, while the turbulence of both phase is simulated by the two-equation turbulence model. The USM-θ model was then used to simulate the dense two-phase turbulent up flow of Bingham fluid with particles. With the increasing of the yield stress, the velocities of Bingham and particle decrease near the pipe centre. Comparing the two-phase flow of Bingham-particle with that of liquid-particle, it is found the source term of yield stress has significant effect on flow.
基金Project supported by China Post-Doctoral Science Foundation(No.2004036239)
文摘A two-scale second-order moment two-phase turbulence model accounting for inter-particle collision is developed, based on the concept of particle large-scale fluctuation due to turbulence and particle small-scale fluctuation due to collision. The proposed model is used to simulate gas-particle downer reactor flows. The computational results of both particle volume fraction and mean velocity are in agreement with the experimental results. After analyzing effects of empirical coefficient on prediction results, we can come to a conclusion that, inside the limit range of empirical coefficient, the predictions do not reveal a large sensitivity to the empirical coefficient in the downer reactor, but a relatively great change of the constants has important effect on the prediction.
基金Supported by the National Natural Science Foun-dation of China(10101018)
文摘The lifting scheme is a custom design construclion of Biorthogonal wavelets, a fast and efficient method to realize wavelet transform,which provides a wider range of application and efficiently reduces the computing time with its particular frame. This paper aims at introducing the second generation wavelets, begins with traditional Mallat algorithms, illustrates the lifting scheme and brings out the detail steps in the construction of Biorthogonal wavelets. Because of isolating the degrees of freedom remaining the biorthogonality relations, we can fully control over the lifting operators to design the wavelet for a particular application, such as increasing the number of the vanishing moments.
