The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.
Hypersonic boundary layer transition is of fundamental importance for the design of high-speed vehicles because of its direct relevance to drag and aerodynamic heating.As the focus of transition and turbulence research is shifting towards higher velocities,research on compressible flows,especially hypersonic flows,is becoming increasingly attractive to researchers worldwide[1,2].
Wenkai ZhuDingwei GuWufei SiShiyi ChenYiding ZhuCunbiao Lee
In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations （BDSDEs） with coefficients left-Lipschitz in y （may be discontinuous） and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.
In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L^vy processes （AFBSDEDLs）, we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs＇ preliminary result with certain classical convex variational techniques, the corresponding maxi- mum principle is proved.
Compressible flow past a circular cylinder at an inflow Reynolds number of 2×105 is numerically investigated by using a constrained large-eddy simulation(CLES)technique.Numerical simulation with adiabatic wall boundary condition and at a free-stream Mach number of 0.75 is conducted to validate and verify the performance of the present CLES method in predicting separated flows.Some typical and characteristic physical quantities,such as the drag coefficient,the root-mean-square lift fluctuations,the Strouhal number,the pressure and skin friction distributions around the cylinder,etc.are calculated and compared with previously reported experimental data,finer-grid large-eddy simulation(LES)data and those obtained in the present LES and detached-eddy simulation(DES)on coarse grids.It turns out that CLES is superior to DES in predicting such separated flow and that CLES can mimic the intricate shock wave dynamics quite well.Then,the effects of Mach number on the flow patterns and parameters such as the pressure,skin friction and drag coefficients,and the cylinder surface temperature are studied,with Mach number varying from 0.1 to 0.95.Nonmonotonic behaviors of the pressure and skin friction distributions are observed with increasing Mach number and the minimum mean separation angle occurs at a subcritical Mach number of between 0.3 and 0.5.Additionally,the wall temperature effects on the thermodynamic and aerodynamic quantities are explored in a series of simulations using isothermal wall boundary conditions at three different wall temperatures.It is found that the flow separates earlier from the cylinder surface with a longer recirculation length in the wake and a higher pressure coefficient at the rear stagnation point for higher wall temperature.Moreover,the influences of different thermal wall boundary conditions on the flow field are gradually magnified from the front stagnation point to the rear stagnation point.It is inferred that the CLES approach in its current version is a useful and effective tool for sim
