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    25 July 2017, Volume 2017 Issue 4 Previous Issue    Next Issue
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    Pricing European lookback option by a special kind of mixed jump-diffusion model
    YANG Zhao-qiang
    2017, (4):  1-17.  doi: 10.3969/j.issn.1000-5641.2017.04.001
    Abstract ( 452 )   HTML ( 28 )   PDF (686KB) ( 965 )   Save
    By using fractional Girsanov formula and fractional Wick-Itô-Skorohod integral, based on a linear combination of Brownian motion, fractional Brownian motion and Poisson process, a new market pricing model is built. Under the conditions of Merton assumptions, we analyze the Cauchy initial problem of stochastic parabolic partial differential equations. Then the pricing Merton-formula of European option meets the pricing model for the European fixed strike and floating strike price of the lookback option. Finally the pricing formulas of fixed strike and floating strike lookback call option and lookback put option are proved. Numerical simulations illustrate that our model are valid and accurate.
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    PREM: A parallel package for finding travelling wave solutions to nonlinear evolution equations
    ZHANG Zhi-an, LIU Yin-ping
    2017, (4):  18-33.  doi: 10.3969/j.issn.1000-5641.2017.04.002
    Abstract ( 495 )   HTML ( 80 )   PDF (270KB) ( 644 )   Save
    In this paper, a new parallel algorithm and its implementation called PREM for solving nonlinear evolution equations are presented. PREM is developed in Maple 18. By using parallel and load balancing techniques, PREM is more efficient than any previous serial programs. Furthermore, for some complicated equations that serial programs failed to solve, PREM may obtain some exact traveling wave solutions by factoring algorithm and time limit. In addition, the interface and output of PREM is flexible and diverse. More types of exact travelling wave solutions could be obtained by using this parallel program.
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    Oscillation and asymptotics for damped fractional difference equations
    LU Wei
    2017, (4):  34-40,51.  doi: 10.3969/j.issn.1000-5641.2017.04.003
    Abstract ( 427 )   HTML ( 12 )   PDF (356KB) ( 746 )   Save
    Using generalized Riccati transformation, we investigate the os- cillation of the following fractional difference equations with damping term Δ{r(t)[Δαy(t)]γ}+ p(t)[Δαy(t)]γ + q(t)fs=t0t-1+α (t-s-1)(-α)y(s)] = 0, tNt0+1-α. Some new oscillation criteria are generalized. The results in this paper extend and improve some known results.
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    Sharp bounds for Sándor-Yang means in terms of some bivariate means
    XU Hui-zuo
    2017, (4):  41-51.  doi: 10.3969/j.issn.1000-5641.2017.04.004
    Abstract ( 360 )   HTML ( 20 )   PDF (255KB) ( 615 )   Save
    This paper deals with the inequalities involving Sándor-Yang means derived from the Schwab-Borchardt mean using the method of real analysis. The convex com- binations of the arithmetic mean A(a,b) and quadratic Q(a,b) (or contra-harmonic mean C(a,b)) for the Sándor-Yang means SQA(a,b) and SQA(a,b) are disscused. The main results obtained are the sharp bounds of the two convex combinations, namely, the best possible parameters α1, α2, α3, α4, β1, β2, β3, β4 ∈ (0, 1), such that the double inequalities
    α1Q(a,b) + (1-α1)A(a,b) < SQA(a,b) < β1Q(a,b) + (1-β1)A(a,b),
    α2Q(a,b) + (1-α2)A(a,b) < SQA(a,b) < β2Q(a,b) + (1-β2)A(a,b),
    α3C(a,b) + (1-α3)A(a,b) < SQA(a,b) < β3C(a,b) + (1-β3)A(a,b),
    α4C(a,b) + (1-α4)A(a,b) < SQA(a,b) < β4C(a,b) + (1 -β4)A(a,b)
    hold for all a, b > 0 and ab. Here A(a,b), Q(a,b) and C(a,b) denote respectively the classical arithmetic, quadratic, contra-harmonic means of a and b, SQA(a,b) and SQA(a,b) are two Sándor-Yang means derived from the Schwab-Borchardt mean.
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    Some applications of Dougall's 5F4 summation
    NGUYEN Ngoc Thinh
    2017, (4):  52-63,70.  doi: 10.3969/j.issn.1000-5641.2017.04.005
    Abstract ( 430 )   HTML ( 19 )   PDF (380KB) ( 668 )   Save
    Dougall's 5F4 summation formula plays an important role in the theory of special functions, and its various applications have been widely discussed. Using Dougall's 5F4 summation formula, we derive some new summation formulas, from which new Ramanujan type series for 1/π and 1/π2 are obtained.
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    Application of the covering space in the complex integral of multiply connected domains
    HU Guang-ming, LONG Jian-ren
    2017, (4):  64-70.  doi: 10.3969/j.issn.1000-5641.2017.04.006
    Abstract ( 444 )   HTML ( 13 )   PDF (828KB) ( 694 )   Save
    It is well known that the integral with variable upper limit of analytic function is a single value function in the simple connected domain, while the integral with variable upper limit of analytic function in the multiply connected domains is as following: z0zf(ζ), F(z) is not only dependent on the z (z0 is the fixed point in D), but also depends on the integral path and function f(z) being exact or not in every hole. Therefore F(z) is likely to be multiple valued function. In this paper, we give a new proof method about the integral of analytic function f(z) in the multiply connected domain by the regular covering surface.
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    Permanence and extinction of stochastic smoking model
    ZHANG Xue-kang, ZHANG Zhen-zhong
    2017, (4):  71-88.  doi: 10.3969/j.issn.1000-5641.2017.04.007
    Abstract ( 406 )   HTML ( 13 )   PDF (365KB) ( 617 )   Save
    To characterize the effects of stochastic noises on smokers, a stochastic smoking model driven by Brownian motion has been proposed. First, a unique global positive solution is proved according to Lyapunov function method. Then, some sufficient and necessary conditions for permanence and extinction are presented. Finally, the parameters of stochastic smoking model are estimated by the pseudo-maximum likelihood estimation.
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    Computer Science
    A forecasting model of crime risk based on random forest
    WANG Yu-chen, GUO Zhong-yang, WANG Yuan-yuan
    2017, (4):  89-96.  doi: 10.3969/j.issn.1000-5641.2017.04.008
    Abstract ( 640 )   HTML ( 26 )   PDF (489KB) ( 878 )   Save
    Crime prediction has always been an outstanding issue for public security department. Random forest is a combined classification method with high accuracy, high speed, and stable performance, which is suitable for solving the problem of predicting crime risk. In the meantime, this method can choose the index group for predicting crime risk more objectively. As proved by studies, the index group chosen by random forest method can significantly improve the accuracy of prediction, and the predictive model based of this method is more accurate and stable, so it can meet the demand of crime risk prediction.
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    Business circle population mobility statistics based on mobile trajectory data
    LIU Zhi, LIU Hui-ping, ZHAO Da-peng, WANG Xiao-ling
    2017, (4):  97-113,138.  doi: 10.3969/j.issn.1000-5641.2017.04.009
    Abstract ( 533 )   HTML ( 23 )   PDF (2237KB) ( 720 )   Save
    With the advancement of urbanization and continental development of big data technology, smart business has become an important part of smart city construction. The popularity, consumer number scale and consumption level of smart business also become the hot spot in the construction of smart city. However, traditional consumer statistics method is based on traditional survey and sampling, etc. All of these traditional methods are high-cost and inefficient. Fortunately, the fast development of data mining technology makes statistics in business circle by analyzing user behavior trajectory data possible. In this paper, we propose a consumer scale analysis method on business circle using user trajectory data. There are three mainly work parts:① How to determine the real boundary of business circle in trajectory data analysis domain is a primary problem, and we can judge a consumer activity within or outside the business circle based on it. Facing this issue, we raise a new method to delineate business circle using k-Nearest Neighbor(kNN) classification algorithm based on the location of base station within business circle.② How to determine the relationship between user and business circle is also a new problem due to uncertainty of trajectory characteristics. We calculate irregular polygon area to evaluate the weight of each base station and also combine with time threshold in order to analyze consumer scale every day.③ Finally, considering large amounts in trajectory data, we propose a big data computing framework BPDA (Business-Circle Parallel Distributed Algorithm), which is based on Hadoop big data platform and Kafka distributed message system, to implement business circle consumers scale analysis system. Moreover, we take Zhongshan Park business circle as an instance to verify the feasibility of our algorithm.
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    Interatomic potential fitting study of Ag, Si and C based on first-principle calculations
    WANG Yong-wei, GUO Yong-liang, ZHANG Wei, KE Xue-zhi
    2017, (4):  114-125.  doi: 10.3969/j.issn.1000-5641.2017.04.010
    Abstract ( 514 )   HTML ( 21 )   PDF (657KB) ( 1061 )   Save
    In order to perform molecular dynamics simulations of Ag diffusion in SiC crystals, we use “force-matching” method to fit the interatomic interaction potentials of Ag, Si and C based on first-principle calculations. The effectiveness of our obtained potential functions are verified by the calculations of the lattice constants, cohesive energies, bulk modulus, elastic constants and defect formation energies, etc. The results show that the and interstitial formation energies of Si and C crystals and Si and C vacancy formation of SiC crystals calculated by our potentials are more accurate than that calculated by J. Tersoff's potentials. In addition, the formation energies of the 16 kinds of AgSiC three-atom defect systems can also be calculated accurately by our potentials. values of cohesive energies, lattice constants and bulk modulus can be calculated precisely by our potentials, and the maximum error does not exceed 0.6%. The values of vacancies
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    Influence of high-order dispersions on the propagation of Gaussian pulse and the compensation of dispersion in metamaterial
    XU Zheng-guo, XUE Yan-ling
    2017, (4):  126-138.  doi: 10.3969/j.issn.1000-5641.2017.04.011
    Abstract ( 541 )   HTML ( 30 )   PDF (1917KB) ( 659 )   Save
    This paper compares the dispersion in metamaterial and in some conventional media. It is found that each order of the dispersion in metamaterial is larger in three orders of magnitude than that in conventional media, so that high-order dispersions have to be taken into consideration in the signal propagation. We analyze the impact of each order of the dispersion on the propagation of Gaussian light pulse based on the nonlinear Schrödinger equation and the beam propagation method (BPM). We find that third-order dispersion leads to a serious pulse splitting. A case is found in which Gaussian pulse can propagate in metamaterial to 120km without splits and second dispersion can be compensated by adjusting structure of metamaterial. This is significant to optical communications.
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    Ecological and Environmental Sciences
    Analysis of impact effects and changes of the coastline in the Bohai Bay during the past 40 years
    SUN Bai-shun, ZUO Shu-hua, XIE Hua-liang, LI Huai-yuan, YANG Zhi-wen
    2017, (4):  139-148.  doi: 10.3969/j.issn.1000-5641.2017.04.012
    Abstract ( 649 )   HTML ( 11 )   PDF (3432KB) ( 932 )   Save
    Using the method of remote sensing and geographic information system, based on 1975-2015 period of Landsat TM/ETM satellite image data, the Bohai Bay coastline changes, the bay area and coastline property changes during nearly 40 years are analyzed. The results show: ① the total length of the Bohai Bay coastline nearly 40 years increased 761 km, but the bay area has been a trend of decline;② artificial coastline proportion accounted for more than 95% of the total length to 2015; ③ main causes of shoreline length increase are human activity (reclamation and port construction), mainly concentrated in Caofeidian Port, Tianjin Port, Huanghua Port. From aspects such as hydrodynamic, sediment and natural evolution environment analyzed the change of the gulf coast and the gulf area of the influence of dynamic sedimentary environment, points out that with the increase of the development and utilization of Marine activities, the influence of human activities on the evolution of coastal zone environment are more and more obvious.
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    Characteristics of suspended flocs and the combined action of contributing factors in Yangtze Estuary: A case study on the significant differences between the inner estuary and the mouth area
    YANG Tian, YANG Shi-lun, YANG Hai-fei, ZHU Qin, ZHANG Wen-xiang, ZHANG Chao-yang, WANG Ru-sheng
    2017, (4):  149-159.  doi: 10.3969/j.issn.1000-5641.2017.04.013
    Abstract ( 513 )   HTML ( 15 )   PDF (2583KB) ( 581 )   Save
    Flocculation plays a vital role in the transport of estuarine fine suspended sediments. To study the natural situation and the main influencing factors of fine suspended sediment flocculation, in-situ observations were carried out along the South Branch to the North Channel of the Yangtze Estuary from 19th to 23th October 2014 (During that time, river discharge, tidal range and wind waves have same value to annual mean value). Floc size, dispersed particle size, volume concentration (VC), suspended sediment concentration (SSC), salinity, temperature and flow velocities were measured at four characteristic moments at four sites. We study the relation between median floc size, as well as effective density, and the five influencing factors with the Grey relational analysis.The results shows that,in the same water volume, flocs in the Turbidity Maximum Zone has more floc numbers and smaller floc size; that floc inside has less clay particles, larger gap and more free water compare to the inner estuary. In the inner estuary,critical factors influencing floc sizes are SSC, dispersed particle size, VC, and critical factors influencing effective density were dispersed particle size, SSC, velocity. In the Turbidity Maximum Zone of the mouth area, the critical factor influencing floc sizes is velocity and the critical factors influencing effective density are salinity and SSC.
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    Study on the local flooding risk in the civil defense projects
    ZHAO Geng-run, LI Lu, LIU Xin-cheng
    2017, (4):  160-167,179.  doi: 10.3969/j.issn.1000-5641.2017.04.014
    Abstract ( 414 )   HTML ( 10 )   PDF (1897KB) ( 566 )   Save
    In order to evaluate the defense capability of civil defense projects around the Shanghai Pentangle Square under urban local flooding, an urban local flooding model was built to determine the inundated areas and water depth under different rainfall return periods, and the pluvial flooding risk map was achieved. The inundated return periods of the 50 civil defense projects around the study area were calculated. The results showed that the inundated return period was connected not only with the elevation difference but also the topography and drainage condition. The inundated return periods were generally high and decreased as the freeboard increasing, but they showed different sensitivities to the increased freeboard.
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    Life Science
    Toxic effects of Cd2+ on the intestinal structure of Cypridopsis vidua (Ostracoda)
    CHEN Shi-mei, Li Dan-ni, Ding Qing-qing, YU Na
    2017, (4):  168-179.  doi: 10.3969/j.issn.1000-5641.2017.04.015
    Abstract ( 378 )   HTML ( 8 )   PDF (1416KB) ( 943 )   Save
    Cypridopsis vidua is one of the few ostracods which can surrive from heavy pollution water. The toxic effects of Cd2+ on C. vidua and its intestinal ultrastructure were examined using a static renewal system. The LC50 values for cadmium in C. vidua were 5.00, 2.01, 0.46 and 0.14 mg/L at 24, 48, 72 and 96 h exposure respectively, and the safe concentration of Cd2+ for long-term C. vidua survival was less than 0.014 mg/L. To observe the structure changes of its intestinal, four Cd2+ concentrations were set up, and two of them were below the safe concentration of Cd2+ (0.001 and 0.004 mg/L) and the other concentrations were above its safe concentration (0.016 and 0.064 mg/L). The experiment lasted for 7 days. When microstructure of C. vidua was observed, the gastrointestinal orga- nization was not damaged below the safe concentration; while the degree of injury showed a certain amount of time and dose effects in 24-72 hours above the safe concentration, and some structures among those surviving animals were slightly recovered in 7 days under same concentration. Sub-microscopic analysis of intestinal cells of C. vidua in two concentrations (0.004 and 0.064 mg/L) groups showed, different degrees of structure damage were found in the cell membrane, cytoplasm and organelles, which worsened with increasing Cd2+ con- centrations. Among these cellular structures, the damage to the membrane system of the cell was especially serious.
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