to be done in this area. Face recognition is a problem that scarcely clamoured for attention before the computer age but, having surfaced, has involved a wide range of techniques and has attracted the attention of some fine minds (David Mumford was a Fields Medallist in 1974). This singular application of mathematical modelling to a messy applied problem of obvious utility and importance but with no unique solution is a pretty one to share with students: perhaps, returning to the source of our opening quotation, we may invert Duncan's earlier observation, 'There is an art to find the mind's construction in the face!'.

Linear and nonlinear waves, by G. B. Whitham. Pp.636. £50. 1999. ISBN 0 471 35942 4 (Wiley).

关于Semigroups of Linear Operators and Applications to Partial Differential Equations的两个注解

We explore in this chapter questions of existence and uniqueness for solutions to stochastic differential equations and offer a study of their properties. This endeavor is really a study of diffusion processes. Loosely speaking, the term diffusion is attributed to a Markov process which has continuous sample paths and can be characterized in terms of its infinitesimal generator.

Stochastic Differential Equations

A criterion is given for the convergence of numerical solutions of the Navier-Stokes equations in two dimensions under steady conditions. The criterion applies to all cases, of steady viscous flow in two dimensions and shows that if the local ' mesh Reynolds number ', based on the size of the mesh used in the solution, exceeds a certain fixed value, the numerical solution will not converge.

On the Navier-Stokes equations

The validity of the cubic law for laminar flow of fluids through open fractures consisting of parallel planar plates has been established by others over a wide range of conditions with apertures ranging down to a minimum of 0.2 µm. The law may be given in simplified form by Q/Δh = C(2b)3, where Q is the flow rate, Δh is the difference in hydraulic head, C is a constant that depends on the flow geometry and fluid properties, and 2b is the fracture aperture. The validity of this law for flow in a closed fracture where the surfaces are in contact and the aperture is being decreased under stress has been investigated at room temperature by using homogeneous samples of granite, basalt, and marble. Tension fractures were artificially induced, and the laboratory setup used radial as well as straight flow geometries. Apertures ranged from 250 down to 4µm, which was the minimum size that could be attained under a normal stress of 20 MPa. The cubic law was found to be valid whether the fracture surfaces were held open or were being closed under stress, and the results are not dependent on rock type. Permeability was uniquely defined by fracture aperture and was independent of the stress history used in these investigations. The effects of deviations from the ideal parallel plate concept only cause an apparent reduction in flow and may be incorporated into the cubic law by replacing C by C/ƒ. The factor ƒ varied from 1.04 to 1.65 in these investigations. The model of a fracture that is being closed under normal stress is visualized as being controlled by the strength of the asperities that are in contact. These contact areas are able to withstand significant stresses while maintaining space for fluids to continue to flow as the fracture aperture decreases. The controlling factor is the magnitude of the aperture, and since flow depends on (2b)3, a slight change in aperture evidently can easily dominate any other change in the geometry of the flow field. Thus one does not see any noticeable shift in the correlations of our experimental results in passing from a condition where the fracture surfaces were held open to one where the surfaces were being closed under stress.

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VALIDITY OF CUBIC LAW FOR FLUID FLOW IN A DEFORMABLE ROCK FRACTURE - eScholarship

In this paper, an exact and explicit solution of the well-known Black–Scholes equation for the valuation of American put options is presented for the first time. To the best of the author's knowledge, a closed-form analytical formula has never been found for the valuation of American options of finite maturity, although there have been quite a few approximate solutions and numerical approaches proposed. The closed-form exact solution presented here is written in the form of a Taylor's series expansion, which contains infinitely many terms. However, only about 30 terms are actually needed to generate a convergent numerical solution if the solution of the corresponding European option is taken as the initial guess of the solution series. The optimal exercise boundary, which is the main difficulty of the problem, is found as an explicit function of the risk-free interest rate, the volatility and the time to expiration. A key feature of our solution procedure, which is based on the homotopy-analysis method, i...

An exact and explicit solution for the valuation of American put options

In this paper, we present a highly efficient approach to price variance swaps with discrete sampling times. We have found a closed-form exact solution for the partial differential equation (PDE) system based on the Heston's two-factor stochastic volatility model embedded in the framework proposed by Little and Pant. In comparison with the previous approximation models based on the assumption of continuous sampling time, the current research of working out a closed-form exact solution for variance swaps with discrete sampling times at least serves for two major purposes: (i) to verify the degree of validity of using a continuous-sampling-time approximation for variance swaps of relatively short sampling period; (ii) to demonstrate that significant errors can result from still adopting such an assumption for a variance swap with small sampling frequencies or long tenor. Other key features of our new solution approach include the following: (1) with the newly found analytic solution, all the hedging ratios of a variance swap can also be analytically derived; (2) numerical values can be very efficiently computed from the newly found analytic formula.

/pdf/a-closed-form-exact-solution-for-pricing-variance-swaps-with-86pag0hvgs.pdf

A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility

Nonlinear 2D analysis of the efficiency of fixed Oscillating Water Column wave energy converters

The shear behaviour of a rough rock joint depends largely on the surface properties of the joint, as well as the boundary conditions applied across the joint interface. This paper proposes a new analytical model to describe the complete shear behaviour of rough joints under constant normal stiffness (CNS) boundary conditions by incorporating the effect of damage to asperities. In particular, the effects of initial normal stress levels and joint surface roughness on the shear behaviour of joints under CNS conditions were studied, and the analytical model was validated through experimental results. Finally, the practical application of the model to a jointed rock slope stability analysis is presented.

Modelling the Shear Behaviour of Rock Joints with Asperity Damage Under Constant Normal Stiffness

In this study we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly derived formula is then used to show that the well-known convexity correction approximations can sometimes lead to large errors. Utilizing the newly derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures.

Song-Ping Zhu

Papers

An exact and explicit solution for the valuation of American put options

A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility

Nonlinear 2D analysis of the efficiency of fixed Oscillating Water Column wave energy converters

Modelling the Shear Behaviour of Rock Joints with Asperity Damage Under Constant Normal Stiffness

An Analytical Formula for VIX Futures and its Applications