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学者姓名:洪倩颖
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Abstract :
We present a convergence analysis for a finite difference scheme for the time dependent partial different equation called gradient flow associated with the Rudin-Osher-Fetami model. We devise an iterative algorithm to compute the solution of the finite difference scheme and prove the convergence of the iterative algorithm. Finally computational experiments are shown to demonstrate the convergence of the finite difference scheme. © The Author(s) 2021.
Keyword :
Convergence of numerical methods Convergence of numerical methods Finite difference method Finite difference method Iterative methods Iterative methods
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GB/T 7714 | Hong, Qianying , Lai, Ming-Jun , Wang, Jingyue . The convergence of a numerical method for total variation flow [J]. | Journal of Algorithms and Computational Technology , 2021 , 15 . |
MLA | Hong, Qianying 等. "The convergence of a numerical method for total variation flow" . | Journal of Algorithms and Computational Technology 15 (2021) . |
APA | Hong, Qianying , Lai, Ming-Jun , Wang, Jingyue . The convergence of a numerical method for total variation flow . | Journal of Algorithms and Computational Technology , 2021 , 15 . |
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Abstract :
针对对冲基金分布复制模型在计算过程中采用指数加权移动平均方法来估计协方差,存在计算量大以及完全依赖样本的问题,使用基于因子估计和基于收缩的协方差估计方法进行计算,并引入预处理技术消除金融数据噪声的影响.实证分析表明,因子模型在样本数较少的情况下并没有体现出降维优势,而运用收缩的协方差矩阵估计,所获得的复制策略的单位风险价格在这三种方法中是最高的.
Keyword :
分布复制 分布复制 协方差估计 协方差估计 对冲基金 对冲基金 金融数据去噪 金融数据去噪
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GB/T 7714 | 孙慧萍 , 王美清 , 洪倩颖 . 对冲基金分布复制模型的协方差估计与算法实现 [J]. | 福州大学学报(自然科学版) , 2019 , 47 (2) : 173-179 . |
MLA | 孙慧萍 等. "对冲基金分布复制模型的协方差估计与算法实现" . | 福州大学学报(自然科学版) 47 . 2 (2019) : 173-179 . |
APA | 孙慧萍 , 王美清 , 洪倩颖 . 对冲基金分布复制模型的协方差估计与算法实现 . | 福州大学学报(自然科学版) , 2019 , 47 (2) , 173-179 . |
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