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直接识别系统参数的闭形式解
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作者 吴建华 刘泽民 《通信学报》 EI CSCD 北大核心 1995年第1期62-67,共6页
本文提出了一种直接识别系统参数的闭形式表达式,避免了参数递归迭代方法的误差传播问题。由于本文方法仅与高阶累积有关,因此具有抑制加性高斯噪声的能力。模拟结果表明,本文的方法具有比参数递归迭代方法更优越的性能。
关键词 信号处理 直接识别 系统参数 闭形式解
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New Formulation for Arbitrary Cracks Problem and Its Stress Intensity Factor of Plane Elasticity 被引量:4
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作者 杨晓春 范天佑 刘士强 《Journal of Beijing Institute of Technology》 EI CAS 1999年第4期364-369,共6页
Aim The general arbitrary cracked problem in an elastic plane was discussed. Methods For the purpose of acquiring the solution of the problem, a new formulation on the problem was proposed. Compared with the classic... Aim The general arbitrary cracked problem in an elastic plane was discussed. Methods For the purpose of acquiring the solution of the problem, a new formulation on the problem was proposed. Compared with the classical plane elastic crack model, only the known conditions were revised in the new formulation, which are greatly convenient to solve the problem, and no other new condition was given. Results and Conclusion The general exact analytic solution is given here based on the formulation though the problem is very complicated. Furthermore, the stress intensity factors K Ⅰ, K Ⅱ of the problem are also given. 展开更多
关键词 complex variable function method general curve cracks Riemann Hilbert boundary value problem closed form solution stress intensity factors
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基于GBM模型的价差期权定价方法
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作者 陈宁娟 《电子科技》 2016年第6期58-60,共3页
假定交易不连续,基于历史信息、风险偏好中性和几何布朗运动,文中主要从价差期权实值执行边界的不同情况出发,以定理的形式给出了价差期权和数字价差期权价格公式的优化方法,并确立了价差期权价格公式的解析近似解的恰当形式。同时,还... 假定交易不连续,基于历史信息、风险偏好中性和几何布朗运动,文中主要从价差期权实值执行边界的不同情况出发,以定理的形式给出了价差期权和数字价差期权价格公式的优化方法,并确立了价差期权价格公式的解析近似解的恰当形式。同时,还对实值执行边界的单调性和凹凸性给出了性质定理,这在一定程度上方便了价差期权和数字价差期权的定价公式研究。 展开更多
关键词 风险中性 闭形式解 执行边界
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随机利率条件下信用风险债券价格及其衍生品价格研究
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作者 刘精山 《未来与发展》 2018年第12期34-40,共7页
在新时代背景下,对金融发展的质量提出了新的要求,作为金融市场的重要组成部分,随着债券市场的不断创新和发展,关于债券产品及其衍生品的价值及定价问题显得尤为重要,基于此本文研究了信用风险债券的价值问题,为了使得信用风险债券及其... 在新时代背景下,对金融发展的质量提出了新的要求,作为金融市场的重要组成部分,随着债券市场的不断创新和发展,关于债券产品及其衍生品的价值及定价问题显得尤为重要,基于此本文研究了信用风险债券的价值问题,为了使得信用风险债券及其衍生品的定价在市场上能更容易地实现和克服参数模型的参数误差问题,假设短期利率过程和可违约债券的违约强度过程均服从Hull-White模型,并且使两者的随机波动率之间具有非零相关系数,然后利用偏微分方程(PDE)得出信用债券价格的闭形式解。接着再以债券价格的解析式作为条件,并从风险中性测度变换到生存测度,得出以该债券为标的物的债券衍生品价格的闭形式解。 展开更多
关键词 信用风险 强度模型 相关 闭形式解
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Dynamic Portfolio Choice under Uncertainty about Asset Return Model
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作者 何朝林 孟卫东 《Journal of Donghua University(English Edition)》 EI CAS 2009年第6期645-650,共6页
The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the c... The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which depends on investor's attitude toward risk;the effect of model uncertainty is more significant with the increasing of investment horizon,the decreasing of investor's risk-aversion degree,and the decreasing of information;predictability of risky asset return increases its allocation in portfolio,at the same time,the effect of model uncertainty also strengthens. 展开更多
关键词 dynamic portfolio model uncertainty estimation risk Bayesian analysis
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A Remark on General Solution for Motion of Relativistic Strings in Minkowski Space ■^(1+n)
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作者 WANG Zeng-Gui 《Communications in Theoretical Physics》 SCIE CAS CSCD 2009年第11期914-918,共5页
This note concerns the motion of relativistic strings in the Minkowski space R^(1+n).We rederive the generalsolution formula in closed form for the equation for the motion of relativistic string.Our method is differen... This note concerns the motion of relativistic strings in the Minkowski space R^(1+n).We rederive the generalsolution formula in closed form for the equation for the motion of relativistic string.Our method is different completelyfrom others. 展开更多
关键词 SPACE-TIME the equations for the motion of relativistic string general solution formula
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Generalised Closed-Form Symbol Error Rate Analysis for Orthogonal Space-Time Block Coded OFDM System
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作者 王旭东 吴楠 高春丽 《China Communications》 SCIE CSCD 2013年第9期155-164,共10页
In this paper,the Symbol Error Rate(SER)performance for Orthogonal Space-Time Block Coded(OSTBC)Orthogonal Frequency Division Multiplexing(OFDM)systems over Nakagami-m fading channels is analysed.A novel closed-form S... In this paper,the Symbol Error Rate(SER)performance for Orthogonal Space-Time Block Coded(OSTBC)Orthogonal Frequency Division Multiplexing(OFDM)systems over Nakagami-m fading channels is analysed.A novel closed-form SER expression is proposed,which incorporates the Gauss hypergeometric function and Appell hypergeometric function into the conventional Probability Density Function(PDF)approach.The proposed exact closed-form SER expression is a generalised solution since it perfectly captures OSTBCOFDM systems’performances when having different antenna configurations that employ various modulation schemes and which experience various fading conditions.Finally,Monte Carlo simulation results are provided to demonstrate the exact match between the simulation results and the proposed analytical expressions. 展开更多
关键词 OSTBC-OFDM closed-form SER Nakagami-m fading channel
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微分、差分方程的机械化方法 被引量:2
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作者 高小山 李子明 《系统科学与数学》 CSCD 北大核心 2009年第9期1222-1237,共16页
介绍了微分与差分方程机械化方法研究若干最新进展.主要结果包括:微分、差分方程的特征列理论与算法,微分、差分方程系统的分解算法以及微分、差分方程解析解求解算法.
关键词 数学机械化 微分方程 差分方程 特征列方法 函数分 闭形式解
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Algebraic test of relative form closure grasps with its implementation
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作者 XIONG YouLun XIONG Tao WANG YuHui 《Science China(Technological Sciences)》 SCIE EI CAS 2014年第7期1401-1410,共10页
This paper presents an approach to algebraic detection of relative form closure for a multi-fingered grasp G and gives an attention to the classification of relative form closures.Whether or not a grasp G is of relati... This paper presents an approach to algebraic detection of relative form closure for a multi-fingered grasp G and gives an attention to the classification of relative form closures.Whether or not a grasp G is of relative form closure has been verified by the geometric criterion 0?rintC[G](Xiong Y L,Xiong X R.Algebraic structure and geometric interpretation of rigid complex fixture system.IEEE Trans Autom Sci Eng,2007,4:252–264;Xiong Y L.Theory of point contact restraint and qualitative analysis of robot grasping.Sci China Ser A-Math,1994,37:629–640).Our aim is at transferring the geometric criterion into an algebraic formulation by a theorem that a grasp G is relative form closure,if,and only if the origin 0 can be represented as a positive convex combination of G.So we develop a constructive procedure called ri-simplex algorithm to find a positive convex combination of G when it has relative form closure.Form closure is considered as a special case of relative form closure,when the grasp G can affinely span the whole space,while partly relative form closure is referred to as form closed relative to a subset G1 of G. 展开更多
关键词 relative form closure algebraic test PCC(positive convex combination) ri-simplex algorithm simplex grasp complex grasp
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