任意阶F-Bézier基的一些基本性质

任意次的F-Bézier基统一了三角多项式空间上的C-Bézier基和双曲多项式空间上的H-Bézier基,我们证明这种基函数具有类似于基函数的优良性质,包括端点性质、对称性、升阶性质、线性无关性等,并且证明当形状参数趋于零时F-Bézier基收敛Bernstein基.     

L~p空间中的Fejér和Hermite-Hadamard型不等式

给出了二阶导数属于Lp空间时Fejér和Hermite-Hadamard型不等式的推广,得到两个新结果.     

一类具时滞的Liénard型方程的周期解

考虑一类具时滞的 Liénard型方程x+f[x(t) ]x(t) +g[t,x(t-τ(t) ) ]=p(t) =p(t+T) ,利用重合度理论 ,获得了此方程至少存在一个 T周期解的充分条件     

Option Pricing and Hedging under a Markov Switching Lévy Process Model

In this paper,we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging.In this model,the market interest rate,the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process.We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure.The option price using this model is obtained by the Fourier transform method.We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.     

Computational Aspect for Function-Valued Padé-Type Approximation

The computational problems of two special determinants are investigated. Those tion for computing Fredholm integral equation of the second kind. The main tool to be used in this paper is the well-known Schur complement theorem.     

The gerber-shiu expected discounted penalty function for Lévy insurance risk processes

In this paper,we study a general Lévy risk process with positive and negative jumps.A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model.We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity.     

指数Lévy跳-扩散模型下欧式期权的COS定价方法

主要研究指数Lévy形式的跳-扩散模型下欧式期权的定价问题.首先,给出了模型在均值修正等价鞅测度下的风险中性特征函数;然后,基于特征函数给出了欧式期权的傅里叶COS定价方法,并对COS方法进行修正,得到了指数Lévy形式跳-扩散模型的期权定价公式;最后,通过数值实验和实证分析检验了COS定价方法有效性,结果表明COS方...     

有理二次Bézier形式共轭双曲线段的几何计算

考虑有理二次Bézier形式的相互共轭的双曲线的控制顶点之间的关系,给定表示一段双曲线的标准型有理二次Bézier曲线,目标是求出它的共轭双曲线上相应段的控制顶点。首先给出共轭双曲线段的自然定义;接着通过参数变换,将有理二次Bézier形式和一般参数形式进行转换,并把这种转换对应到矩阵,以给出所求控制顶点的显式表达;最后,给出表达式的几何意义,即共轭双曲线段的控制顶点可由原双曲线的控制顶点通过两次线性插值得到。     

一类双参数三次Bézier曲线的形状分析

为了分析清楚形状参数对一类双参数三次Bézier曲线形态的影响及实现其对该曲线形状的调控,利用包络理论与拓扑映射的方法对一类双参数三次Bézier曲线进行了形状分析,明确了形状参数对曲线的影响,画出了曲线的形状特征分布图,得出了曲线上有奇点、拐点和曲线为局部凸或全局凸的充分必要条件,这些条件完全由控制多边形的相对位置表示,并进一步讨论了形状参数对曲线形状的影响。     

基于Bézier曲线的两平行线间缓和曲线构造

利用五次 Bézier 曲线,构造了一条含形状参数的两平行线间满足 G2连续的缓和曲线。这条曲线在 t=1/2含有唯一的曲率极值点。利用形状参数可以方便地控制曲率极值的大小和调节曲线的形状。