This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation.Our method is based on the observation that the generalized models belong to th...This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation.Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be efficiently computed via orthogonal polynomial expansions.We take the Heston and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas for the option prices.We also illustrate the accuracy of the proposed method through a number of numerical experiments.展开更多
This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equatio...This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X（Sα （t））, the subordinator Sα （t） is termed as the inverse-time a-stable subordinator and the process X（τ） satisfies the corresponding time homogeneous Ito stochastic differential equation.展开更多
Peristaltic micro-pumps offer an excellent mechanism for delivery of a variety of medicines including drugs, corneal solutions etc. The surge in deployment of nanoparticles in medicine has provided new potential for s...Peristaltic micro-pumps offer an excellent mechanism for delivery of a variety of medicines including drugs, corneal solutions etc. The surge in deployment of nanoparticles in medicine has provided new potential for such pumps. In light of this we investigate the time-dependent peristaltic flow of nanofluids with diffusive effects through a finite non-uniform channel, this geometry being more representative of real micro-pumps. Creeping flow is taken into account(inertial forces are small compared with viscous forces) i.e., Reynolds number is low(Re< 1) and wavelength is also taken to be very large. The Buongiorno formulation for nanofluids is employed with an Oberbeck-Boussinesq approximation. Closed-form solutions are developed for the non-dimensional governing equations subject to physically realistic boundary conditions. Mathematica symbolic software is employed to evaluate the evolution of nanoparticle fraction, temperature, axial velocity, transverse velocity and pressure difference distribution along the length of the pump channel with variation in thermal Grashof number, basic-density(species i.e., mass) Grashof number, Brownian motion parameter and thermophoresis parameter.展开更多
The technique of DGT（diffusive gradients in thin films） using three diffusive gel thicknesses was applied to estimate the mobility and bioavailability of heavy metals in sediments and porewater of Lake Taihu, China....The technique of DGT（diffusive gradients in thin films） using three diffusive gel thicknesses was applied to estimate the mobility and bioavailability of heavy metals in sediments and porewater of Lake Taihu, China. The DGT results showed significantly positive correlations between Co, Pb, Cd and Mn, and Ni and Fe concentrations in porewater. Cu and Zn showed a significantly negative correlation with Mn, due to Cu combination with carbonates and Zn derived from agricultural pollution, respectively. The rank order of average concentrations of Co, Ni and Cd at each station was DGT1.92〉DGT0.78〉 DGT0.39, suggesting stronger resupply from sediments to porewater when using thicker diffusive gels. Comparing centrifugation and DGT measurements, Co, Ni and Cd are highly labile; Mn and Fe are moderately labile; and Cu, Zn and Pb are slightly labile. The variations of AVS concentrations in sediment cores indicate that metal sulfides in deeper layers are easily diffused into surface sediments.展开更多
A case study on the transport process of agricultural diffuse P-pollutants was conducted in an experimental watershed locating in the north bank of Yuqiao Reservoir during 2001 and 2002. It was found that diversified ...A case study on the transport process of agricultural diffuse P-pollutants was conducted in an experimental watershed locating in the north bank of Yuqiao Reservoir during 2001 and 2002. It was found that diversified artificial and natural buffer/detention landscape structures distributing along the ephemeral stream channel in this watershed played an important role of pollutants removal on downstream water quality, especially they have control effect on the diffuse P-pollutants transport process. Surface flow velocity was reduced sharply after passing through these structures. During continuous runoff events, the removal rate of TSS, TP, TDP, DRP by the whole system were 66.7%, 60.7%, 48.4%, and 43.3%, respectively. During discontinuous runoff events, removal rate of pollutants by the whole system was higher due to there was no or little surface water and pollutants exported from the watershed, of which removal rate of pollutants all exceeded 99%. The statistical analysis results of runoff events(n=8) indicated that dry pond was the steadiest structure for controlling diffuse P-pollutants export.展开更多
文摘This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation.Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be efficiently computed via orthogonal polynomial expansions.We take the Heston and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas for the option prices.We also illustrate the accuracy of the proposed method through a number of numerical experiments.
基金Project supported by the National Natural Science Foundation of China (Grant No. 11171238)
文摘This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X（Sα （t））, the subordinator Sα （t） is termed as the inverse-time a-stable subordinator and the process X（τ） satisfies the corresponding time homogeneous Ito stochastic differential equation.
文摘Peristaltic micro-pumps offer an excellent mechanism for delivery of a variety of medicines including drugs, corneal solutions etc. The surge in deployment of nanoparticles in medicine has provided new potential for such pumps. In light of this we investigate the time-dependent peristaltic flow of nanofluids with diffusive effects through a finite non-uniform channel, this geometry being more representative of real micro-pumps. Creeping flow is taken into account(inertial forces are small compared with viscous forces) i.e., Reynolds number is low(Re< 1) and wavelength is also taken to be very large. The Buongiorno formulation for nanofluids is employed with an Oberbeck-Boussinesq approximation. Closed-form solutions are developed for the non-dimensional governing equations subject to physically realistic boundary conditions. Mathematica symbolic software is employed to evaluate the evolution of nanoparticle fraction, temperature, axial velocity, transverse velocity and pressure difference distribution along the length of the pump channel with variation in thermal Grashof number, basic-density(species i.e., mass) Grashof number, Brownian motion parameter and thermophoresis parameter.
基金supported by the Mega-projects of Science Research for Water Environment Improvement (No. 2012ZX07101-002)the National Natural Science Foundation of China (No. 41303085)
文摘The technique of DGT（diffusive gradients in thin films） using three diffusive gel thicknesses was applied to estimate the mobility and bioavailability of heavy metals in sediments and porewater of Lake Taihu, China. The DGT results showed significantly positive correlations between Co, Pb, Cd and Mn, and Ni and Fe concentrations in porewater. Cu and Zn showed a significantly negative correlation with Mn, due to Cu combination with carbonates and Zn derived from agricultural pollution, respectively. The rank order of average concentrations of Co, Ni and Cd at each station was DGT1.92〉DGT0.78〉 DGT0.39, suggesting stronger resupply from sediments to porewater when using thicker diffusive gels. Comparing centrifugation and DGT measurements, Co, Ni and Cd are highly labile; Mn and Fe are moderately labile; and Cu, Zn and Pb are slightly labile. The variations of AVS concentrations in sediment cores indicate that metal sulfides in deeper layers are easily diffused into surface sediments.
文摘A case study on the transport process of agricultural diffuse P-pollutants was conducted in an experimental watershed locating in the north bank of Yuqiao Reservoir during 2001 and 2002. It was found that diversified artificial and natural buffer/detention landscape structures distributing along the ephemeral stream channel in this watershed played an important role of pollutants removal on downstream water quality, especially they have control effect on the diffuse P-pollutants transport process. Surface flow velocity was reduced sharply after passing through these structures. During continuous runoff events, the removal rate of TSS, TP, TDP, DRP by the whole system were 66.7%, 60.7%, 48.4%, and 43.3%, respectively. During discontinuous runoff events, removal rate of pollutants by the whole system was higher due to there was no or little surface water and pollutants exported from the watershed, of which removal rate of pollutants all exceeded 99%. The statistical analysis results of runoff events(n=8) indicated that dry pond was the steadiest structure for controlling diffuse P-pollutants export.
