Future pricing through homogeneous semi‐Markov processes

An Erratum for this article has been published in Applied Stochastic Models in Business and Industry 2005; (in press) This paper presents a future pricing model based on the discrete time homogeneous semi‐Markov process (DTHSMP). The model is adapted to the real data of the Italian primary future stock index. After showing the pricing model, the DTHSMP solution is given. The solution of the semi‐Markov process gives, for each period of the considered horizon time, and for each starting state, the probability distribution of the future price. Copyright © 2005 John Wiley & Sons, Ltd.     

The augmented semi‐Markov system and its asymptotic behaviour

This paper suggests a generalized semi‐Markov model for manpower planning, which could be adopted in cases of unavailability of candidates with the desired qualifications/experience, as well as in cases where an organization provides training opportunities to its personnel. In this context, we incorporate training classes into the framework of a non‐homogeneous semi‐Markov system and we introduce an additional, external semi‐Markov system providing the former with potential recruits. For the model above, referred to as the Augmented Semi‐Markov System, we derive the equations that reflect the expected number of persons in each grade and we also investigate its limiting population structure. An illustrative example is provided. Copyright © 2010 John Wiley & Sons, Ltd.     

A sequential condition‐based repair/replacement policy with non‐periodic inspections for a system subject to continuous wear

This paper studies a condition‐based maintenance policy for a repairable system subject to a continuous‐state gradual deterioration monitored by sequential non‐periodic inspections. The system can be maintained using different maintenance operations (partial repair, as good as new replacement) with different effects (on the system state), costs and durations. A parametric decision framework (multi‐threshold policy) is proposed to choose sequentially the best maintenance actions and to schedule the future inspections, using the on‐line monitoring information on the system deterioration level gained from the current inspection. Taking advantage of the semi‐regenerative (or Markov renewal) properties of the maintained system state, we construct a stochastic model of the time behaviour of the maintained system at steady state. This stochastic model allows to evaluate several performance criteria for the maintenance policy such as the long‐run system availability and the long‐run expected maintenance cost. Numerical experiments illustrate the behaviour of the proposed condition‐based maintenance policy. Copyright © 2003 John Wiley & Sons, Ltd.     

Bayesian nonparametric estimation of first passage distributions in semi‐Markov processes

Bayesian nonparametric (BNP) models provide a flexible tool in modeling many processes. One area that has not yet utilized BNP estimation is semi‐Markov processes (SMPs). SMPs require a significant amount of computation; this, coupled with the computation requirements for BNP models, has hampered any applications of SMPs using BNP estimation. This paper presents a modeling and computational approach for BNP estimation in semi‐Markov models, which includes a simulation study and an application of asthma patients' first passage from one state of control to another.     

Stationary availability of a semi‐Markov system with random maintenance

We consider a reparable system with a finite state space, evolving in time according to a semi‐Markov process. The system is stopped for it to be preventively maintained at random times for a random duration. Our aim is to find the preventive maintenance policy that optimizes the stationary availability, whenever it exists. The computation of the stationary availability is based on the fact that the above maintained system evolves according to a semi‐regenerative process. As for the optimization, we observe on numerical examples that it is possible to limit the study to the maintenance actions that begin at deterministic times. We demonstrate this result in a particular case and we study the deterministic maintenance policies in that case. In particular, we show that, if the initial system has an increasing failure rate, the maintenance actions improve the stationary availability if and only if they are not too long on the average, compared to the repairs ( a bound for the mean duration of the maintenance actions is provided). On the contrary, if the initial system has a decreasing failure rate, the maintenance policy lowers the stationary availability. A few other cases are studied. Copyright © 2000 John Wiley & Sons, Ltd.     

A reliability semi‐Markov model involving geometric processes

We consider a semi‐Markov process that models the repair and maintenance of a repairable system in steady state. The operating and repair times are independent random variables with general distributions. Failures can be caused by an external source or by an internal source. Some failures are repairable and others are not. After a repairable failure, the system is not as good as new and our model reflects that. At a non‐repairable failure, the system is replaced by a new one. We assume that external failures occur according to a Poisson process. Moreover, there is an upper limit N of repairs, it is replaced by a new system at the next failure, regardless of its type. Operational and repair times are affected by multiplicative rates, so they follow geometric processes. For this system, the stationary distribution and performance measures as well as the availability and the rate of occurrence of different types of failures in stationary state are calculated. Copyright © 2002 John Wiley & Sons, Ltd.     

Semi‐transitive graphs

In this paper, we first consider graphs allowing symmetry groups which act transitively on edges but not on darts (directed edges). We see that there are two ways in which this can happen and we introduce the terms bi‐transitive and semi‐transitive to describe them. We examine the elementary implications of each condition and consider families of examples; primary among these are the semi‐transitive spider‐graphs PS(k,N;r) and MPS(k,N;r). We show how a product operation can be used to produce larger graphs of each type from smaller ones. We introduce the alternet of a directed graph. This links the two conditions, for each alternet of a semi‐transitive graph (if it has more than one) is a bi‐transitive graph. We show how the alternets can be used to understand the structure of a semi‐transitive graph, and that the action of the group on the set of alternets can be an interesting structure in its own right. We use alternets to define the attachment number of the graph, and the important special cases of tightly attached and loosely attached graphs. In the case of tightly attached graphs, we show an addressing scheme to describe the graph with coordinates. Finally, we use the addressing scheme to complete the classification of tightly attached semi‐transitive graphs of degree 4 begun by Marus?ic? and Praeger. This classification shows that nearly all such graphs are spider‐graphs. © 2003 Wiley Periodicals, Inc. J Graph Theory 45: 1–27, 2004     

Mover‐stayer model with covariate effects on stayer's probability and mover's transitions

A discrete time Markov chain assumes that the population is homogeneous, each individual in the population evolves according to the same transition matrix. In contrast, a discrete mover‐stayer (MS) model postulates a simple form of population heterogeneity; in each initial state, there is a proportion of individuals who never leave this state (stayers) and the complementary proportion of individuals who evolve according to a Markov chain (movers). The MS model was extended by specifying the stayer's probability to be a logistic function of an individual's covariates but leaving the same transition matrix for all movers. We further extend the MS model by allowing each mover to have her/his covariates dependent transition matrix. The model for a mover's transition matrix is related to the extant Markov chains mixture model with mixing on the speed of movement of Markov chains. The proposed model is estimated using the expectation‐maximization algorithm and illustrated with a large data set on car loans and the simulation.     

Hyper‐Archimedean BL‐algebras are MV‐algebras

Generalizations of Boolean elements of a BL‐algebra L are studied. By utilizing the MV‐center MV(L) of L, it is reproved that an element x ∈ L is Boolean iff x ∨ x * = 1 . L is called semi‐Boolean if for all x ∈ L, x * is Boolean. An MV‐algebra L is semi‐Boolean iff L is a Boolean algebra. A BL‐algebra L is semi‐Boolean iff L is an SBL‐algebra. A BL‐algebra L is called hyper‐Archimedean if for all x ∈ L, xⁿ is Boolean for some finite n ≥ 1. It is proved that hyper‐Archimedean BL‐algebras are MV‐algebras. The study has application in mathematical fuzzy logics whose Lindenbaum algebras are MV‐algebras or BL‐algebras. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

A numerical study of the semi‐classical limit for three‐coupled long wave–short wave interaction equations

We study numerically the semi‐classical limit for three‐coupled long wave–short wave interaction equations. The Fourier–Galerkin semi‐discretization is proved to be spectrally convergent in an appropriate energy space. We propose a split‐step Fourier method in the semi‐classical regime with the discussion of the meshing strategy, which is necessary to obtain correct numerical solution. Plane wave solution with weak and strong initial phases, solitary wave solution and Gaussian solution are considered to investigate the semi‐classical limit.     

Convergence analysis for parallel‐in‐time solution of hyperbolic systems

Parallel‐in‐time algorithms have been successfully employed for reducing time‐to‐solution of a variety of partial differential equations, especially for diffusive (parabolic‐type) equations. A major failing of parallel‐in‐time approaches to date, however, is that most methods show instabilities or poor convergence for hyperbolic problems. This paper focuses on the analysis of the convergence behavior of multigrid methods for the parallel‐in‐time solution of hyperbolic problems. Three analysis tools are considered that differ, in particular, in the treatment of the time dimension: (a) space–time local Fourier analysis, using a Fourier ansatz in space and time; (b) semi‐algebraic mode analysis, coupling standard local Fourier analysis approaches in space with algebraic computation in time; and (c) a two‐level reduction analysis, considering error propagation only on the coarse time grid. In this paper, we show how insights from reduction analysis can be used to improve feasibility of the semi‐algebraic mode analysis, resulting in a tool that offers the best features of both analysis techniques. Following validating numerical results, we investigate what insights the combined analysis framework can offer for two model hyperbolic problems, the linear advection equation in one space dimension and linear elasticity in two space dimensions.     

A non‐commutative Landau‐Zener formula

We study semi‐classical measures of families of solutions to a 2 × 2 Dirac system with 0 mass, which presents bands crossing. We focus on constant electro‐magnetic fields. The fact that these fields are orthogonal or not leads to different geometric situations. In the first case, one reduces to some well‐understood model problem. For studying the second case, we introduce some two‐scale semi‐classical measures associated with symplectic submanifold. These measures are operator‐valued measures and the transfer of energy at the crossing is described by a non‐commutative Landau‐Zener formula for these measures. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Involutions in split semi‐quaternions

A map is an involution (resp, anti‐involution) if it is a self‐inverse homomorphism (resp, antihomomorphism) of a field algebra. The main purpose of this paper is to show how split semi‐quaternions can be used to express half‐turn planar rotations in 3‐dimensional Euclidean space and how they can be used to express hyperbolic‐isoclinic rotations in 4‐dimensional semi‐Euclidean space . We present an involution and an anti‐involution map using split semi‐quaternions and give their geometric interpretations as half‐turn planar rotations in . Also, we give the geometric interpretation of nonpure unit split semi‐quaternions, which are in the form p = coshθ + sinhθ i + 0 j + 0 k = coshθ + sinhθ i , as hyperbolic‐isoclinic rotations in .     

The semi‐iterative method applied to the hyper‐power iteration

The semi‐iterative method (SIM) is applied to the hyper‐power (HP) iteration, and necessary and sufficient conditions are given for the convergence of the semi‐iterative–hyper‐power (SIM–HP) iteration. The root convergence rate is computed for both the HP and SIM–HP methods, and the quotient convergence rate is given for the HP iteration. Copyright © 2005 John Wiley & Sons, Ltd.     

On semi‐classical d‐orthogonal polynomials

In this paper a general theory of semi‐classical d‐orthogonal polynomials is developed. We define the semi‐classical linear functionals by means of a distributional equation , where Φ and Ψ are matrix polynomials. Several characterizations for these semi‐classical functionals are given in terms of the corresponding d‐orthogonal polynomials sequence. They involve a quasi‐orthogonality property for their derivatives and some finite‐type relations.     

Mixed antiplane boundary‐value problem for a piecewise‐homogeneous elastic body with a semi‐infinite interfacial crack

Antiplane stress state of a piecewise‐homogeneous elastic body with a semi‐infinite crack along the interface is considered. The longitudinal displacements along one of the crack edges on a finite interval, adjacent to the crack tip, are known. Shear stresses are applied to the body along the crack edges and at infinity. The problem reduces to a Riemann–Hilbert boundary‐value matrix problem with a piecewise‐constant coefficient for a complex potential in the class of symmetric functions. The complex potential is found explicitly using a Gaussian hypergeometric function. The stress state of the body close to the singular points is investigated. The stress intensity factors are determined. Copyright © 2016 John Wiley & Sons, Ltd.     

Filter‐based portfolio strategies in an HMM setting with varying correlation parametrizations

We consider portfolio optimization in a regime‐switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of the involved asset covariances: statewise uncorrelated assets (though linked through the common Markov chain), assets correlated in a state‐independent way, and assets where the correlation varies from state to state. As a benchmark, we also consider a model without regime switches. We utilize a filter‐based expectation‐maximization (EM) algorithm to obtain optimal parameter estimates within this multivariate HMM and present parameter estimators in all three HMM settings. We discuss the impact of these different models on the performance of several portfolio strategies. Our findings show that for simulated returns, our strategies in many settings outperform naïve investment strategies, like the equal weights strategy. Information criteria can be used to detect the best model for estimation as well as for portfolio optimization. A second study using real data confirms these findings.     

Radical of filters in BL‐algebras

In this paper, the notion of the radical of a filter in BL‐algebras is defined and several characterizations of the radical of a filter are given. Also we prove that A/F is an MV‐algebra if and only if D_s(A) ? F. After that we define the notion of semi maximal filter in BL‐algebras and we state and prove some theorems which determine the relationship between this notion and the other types of filters of a BL‐algebra. Moreover, we prove that A/F is a semi simple BL‐algebra if and only if F is a semi maximal filter of A. © 2011 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim     

Relaxation methods for solving the tensor equation arising from the higher‐order Markov chains

In this paper, we propose several relaxation algorithms for solving the tensor equation arising from the higher‐order Markov chain and the multilinear PageRank. The semi‐symmetrization technique on the original equation is also employed to modify the proposed algorithms. The convergence analysis is given for the proposed algorithms. It is shown that the new algorithms are more efficient than the existing ones by some numerical experiments when relaxation parameters are chosen suitably.