Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the ...Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.展开更多
Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋·...Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋···＋（Std）2）~1/2 is the sub-fractional Bessel process.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
The correlation between the Schrödinger equation and the diffusion equation revealed that the relation of material wave is not a hypothesis but an actual one valid in a material regardless of the photon energ...The correlation between the Schrödinger equation and the diffusion equation revealed that the relation of material wave is not a hypothesis but an actual one valid in a material regardless of the photon energy. Using the relations of material wave and uncertain principle, the quantum effect on elementary process of diffusion is discussed. As a result, the diffusivity is obtained as a universal expression applicable to any problem of diffusion phenomena. The Gauss theorem in theory and the Kirkendall effect in experimentation reveal the necessity of the coordinate transformation for a diffusion equation. The mathematical method for solving an interdiffusion problem of many elements system is established. The phase shift of the obtained analytical solution indicates the correlation between the solutions of each diffusion equation expressed by a fixed coordinate system and by a moving coordinate system. Based on the coordinate transformation theory, some unsolved problems of diffusion theory are reasonably solved and also some new important findings are discussed in relation to matters in the existing diffusion theory.展开更多
In this paper,wewill first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk.In order to verify the rat...In this paper,wewill first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk.In order to verify the rationality of this simulation,we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process,and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter H>1/2.展开更多
Brown运动是一个具有连续时间参数和连续状态空间的随机过程,有两种不同定义下的局部时,一种是P.Levy提出的"mesure du voisinage"的概念,也即Brown运动{Wt,Ft}t≥0的局部时Lt(x)=limε→014εmeas{0≤s≤t;|Ws-x|≤ε},t∈[0...Brown运动是一个具有连续时间参数和连续状态空间的随机过程,有两种不同定义下的局部时,一种是P.Levy提出的"mesure du voisinage"的概念,也即Brown运动{Wt,Ft}t≥0的局部时Lt(x)=limε→014εmeas{0≤s≤t;|Ws-x|≤ε},t∈[0,∞),.x∈R.另一种是由游程理论定义的局部时lt(x),并给出这两种局部时之间的关系Lt(0)=24lt(0).展开更多
The discrete element method(DEM)was used in this study to numerically simulate the mixing process and motion law of particles in brown rice germination device.And the reliability of simulation experiments was verified...The discrete element method(DEM)was used in this study to numerically simulate the mixing process and motion law of particles in brown rice germination device.And the reliability of simulation experiments was verified through physical experiments.In the discrete element simulation experiment,there were three mixing stages in the mixing process of the particles.The particle motion conditions at different rotational speeds were rolling,cascading,cataracting and centrifuging.The lower the filling degree,the higher the particle mixing efficiency.The radial trajectory of the particles was approximated as an elliptical helix that continuously shrank towards the axis.The research results indicated that under the same speed and filling conditions,the motion of brown rice particles in both the simulated and physical test environments is rolling and the drop height is the same.展开更多
文摘Let {S t H, t ≥ 0） be a linear combination of a Brownian motion and an independent sub-fractional Brownian motion with Hurst index 0 〈 H 〈 1. Its main properties are studied. They suggest that SH lies between the sub-fractional Brownian motion and the mixed fractional Brownian motion. We also determine the values of H for which SH is not a semi-martingale.
基金Supported by the NSFC (10871041)Key NSF of Anhui Educational Committe (KJ2011A139)
文摘Let S = {（St1,···,Std ）}t≥0 denote a d-dimensional sub-fractional Brownian motion with index H ≥ 1/2. In this paper we study some properties of the process X of the formwhere Rt = （（St1）2＋···＋（Std）2）~1/2 is the sub-fractional Bessel process.
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.
文摘The correlation between the Schrödinger equation and the diffusion equation revealed that the relation of material wave is not a hypothesis but an actual one valid in a material regardless of the photon energy. Using the relations of material wave and uncertain principle, the quantum effect on elementary process of diffusion is discussed. As a result, the diffusivity is obtained as a universal expression applicable to any problem of diffusion phenomena. The Gauss theorem in theory and the Kirkendall effect in experimentation reveal the necessity of the coordinate transformation for a diffusion equation. The mathematical method for solving an interdiffusion problem of many elements system is established. The phase shift of the obtained analytical solution indicates the correlation between the solutions of each diffusion equation expressed by a fixed coordinate system and by a moving coordinate system. Based on the coordinate transformation theory, some unsolved problems of diffusion theory are reasonably solved and also some new important findings are discussed in relation to matters in the existing diffusion theory.
基金supported by the Fundamental Research Funds for the SUFE No.2020110294supported by the National Natural Science Foundation of China,Grant No.71871202.
文摘In this paper,wewill first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk.In order to verify the rationality of this simulation,we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process,and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter H>1/2.
文摘Brown运动是一个具有连续时间参数和连续状态空间的随机过程,有两种不同定义下的局部时,一种是P.Levy提出的"mesure du voisinage"的概念,也即Brown运动{Wt,Ft}t≥0的局部时Lt(x)=limε→014εmeas{0≤s≤t;|Ws-x|≤ε},t∈[0,∞),.x∈R.另一种是由游程理论定义的局部时lt(x),并给出这两种局部时之间的关系Lt(0)=24lt(0).
基金the National Natural Science Foundation of China(Grant No.32001423)Natural Science Foundation of Hubei Province(Grant No.2020CFB471)+2 种基金Huazhong Agricultural University College Students Science and Technology Innovation Fund Project(Grant No.2022255)Fundamental Research Funds for the Central Universities(Grant No.2662020GXPY017)First Division Alar City Science and Technology Plan Project(Grant No.2023ZB01)for financial support and all of the persons who assisted in this writing.
文摘The discrete element method(DEM)was used in this study to numerically simulate the mixing process and motion law of particles in brown rice germination device.And the reliability of simulation experiments was verified through physical experiments.In the discrete element simulation experiment,there were three mixing stages in the mixing process of the particles.The particle motion conditions at different rotational speeds were rolling,cascading,cataracting and centrifuging.The lower the filling degree,the higher the particle mixing efficiency.The radial trajectory of the particles was approximated as an elliptical helix that continuously shrank towards the axis.The research results indicated that under the same speed and filling conditions,the motion of brown rice particles in both the simulated and physical test environments is rolling and the drop height is the same.
