Portfolio optimization in a regime-switching market with derivatives

We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is finding a way to represent the return of the option by the returns of the stock and the risk-free bond in an incomplete regime-switching market. To overcome this difficulty, we introduce a functional operator to generate a sequence of value functions, and then show that the optimal value function is the limit of this sequence. The explicit form of each function in the sequence can be obtained by solving an auxiliary portfolio optimization problem in a single-regime market. And then the original optimal value function can be approximated by taking the limit. Additionally, we can also show that the optimal value function is a solution to a dynamic programming equation, which leads to the explicit forms for the optimal value function and the optimal portfolio process. Furthermore, we demonstrate that, as long as the current state of the Markov chain is given, it is still optimal for an investor in a multiple-regime market to simply allocate his/her wealth in the same way as in a single-regime market.     

Modified Kirchhoff's theory of plates including transverse shear deformations

A primary flexure problem defined by Kirchhoff theory of plates in bending is considered. Significance of auxiliary function introduced earlier in the in-plane displacements in resolving Poisson-Kirchhoff's boundary conditions paradox is reexamined with reference to reported sixth order shear deformation theories, in particular, Reissner's theory and Hencky's theory. Sixth order modified Kirchhoff's theory is extended here to include shear deformations in the analysis.     

Precision calculation of elasticity for percolation

Monte Carlo transfer matrix evaluation of the elastic constants at the percolation threshold of the random-bond honeycomb lattice, with widths of up to 96 and lengths of about two million lattice constants (roughly 200 hours CDC Cyber 205 vector computer time) gave a critical exponentT=3.96±0.04 with a logarithmic correction term. This exponent agrees well with the scaling hypothesisT=t+2v=3.97, relatingT to the two-dimensional conductivity exponent.We thank G. Güntherodt, B. I. Halperin, B. Hillebrands, and S. Roux for discussions, and the SFB 125 for support. This research was supported at Tel Aviv University in part by a grant from The Israel Academy of Sciences.     

Thermodynamics of wurtzite GaN from first-principle calculation

The density function perturbation theory (DFPT) is employed to study the linear thermal expansion and heat capacity at constant pressure (with the quasiharmonic approximation) for wurtzite GaN. The calculated results of linear thermal expansion coefficient and heat capacity at constant pressure are compared with the available experimental data in a wide temperature range. Generally these properties calculated agree well with experimental data except at high temperature, thus it suggests the thermal expansion and heat capacity can be well calculated from this first-principle approach.     

V型河谷地应力研究

介绍了河谷地应力研究现状 ,利用弹性理论和变分原理 ,研究了V型河谷岩体地应力问题 ,得到了河谷岩体中由于自重应力和构造应力引起的复杂应力场。应用本文结果 ,不仅可以方便绘制各种应力图件 ,而且可以较为精确地得到河谷区域任意指定点的应力值 ,从而为区域稳定性和岩体稳定性评价 ,为水电工程、地下硐室设计以及边坡工程等提供必要的岩体力学资料。本文方法数值实现简单 ,编程容易 ,计算快 ,精度高 ,可应用推广.     

A note on the extensional viscosity of elastic liquids under strong flows

In this article a parametric study based on a balance between viscous drag and restoring Brownian forces is used in order to construct a nonlinear dumbbell model with a finite spring and a drag correction for a dilute polymer solution. The constitutive equations used are reasonable approximation for describing flows of very dilute polymer solutions such as those used in turbulent drag reduction. We investigate the response of an elastic liquid under extensional flows in order to explore the roles of a stress anisotropy and of elasticity in strong flows. It is found that for low Reynolds numbers, the extensional viscosity of a dilute polymer solution is governed by two parameters: a Deborah number representing the importance of the elasticity on the flow and the macromolecule extensibility that accounts for the viscous anisotropic effects caused by the macromolecule orientation. Two different asymptotic regimes are described.The first corresponds to an elastic limit in which the extensional viscosity is a function of the Deborah number and the particle volume fraction. The second is an anisotropic regime with the extensional viscosity independent of Deborah number but strongly dependent on macromolecule aspect ratio. The analysis may explain from a phenomenological point of view why few ppms of macromolecules of high molecule weight or a small volume fraction of long fibres produce important attenuation of the pressure drop in turbulent flows. On the basis of our analysis it is seen that the anisotropic limit of the extensional viscosity caused by extended polymers under strong flows should play a key role in the attenuation of flow instability and in the mechanism of drag reduction by polymer additives.     

Variation of the stress intensity factor along the front of a 3-D rectangular crack subjected to mixed-mode load

Summary  The singular integral equation method is applied to the calculation of the stress intensity factor at the front of a rectangular crack subjected to mixed-mode load. The stress field induced by a body force doublet is used as a fundamental solution. The problem is formulated as a system of integral equations with r ⁻³-singularities. In solving the integral equations, unknown functions of body-force densities are approximated by the product of polynomial and fundamental densities. The fundamental densities are chosen to express two-dimensional cracks in an infinite body for the limiting cases of the aspect ratio of the rectangle. The present method yields rapidly converging numerical results and satisfies boundary conditions all over the crack boundary. A smooth distribution of the stress intensity factor along the crack front is presented for various crack shapes and different Poisson's ratio. Received 5 March 2002; accepted for publication 2 July 2002     

Justification of the kinematic assumptions for thin-walled rods with shallow profile

In this Note we present a justification of the kinematic assumptions for thin-walled rods with shallow profile. These assumptions are fundamental to writing the one-dimensional equilibrium equations for such structures. The obtained kinematics are different from the Vlassov case, which is only valid for strongly curved profiles. They are also different from the that classically used in shell theory. The justification given in this Note is based on an asymptotic approach. To cite this article: L. Grillet et al., C. R. Mecanique 333 (2005).     

Interlaminar hygrothermal stresses in laminated plates

Within the elasticity formulation the most general displacement field for hygrothermal problems of long laminated composite plates is presented. The equivalent single-layer theories are then employed to determine the global deformation parameters appearing in the displacement fields of general cross-ply, symmetric, and antisymmetric angle-ply laminates under thermal and hygroscopic loadings. Reddy’s layerwise theory is subsequently used to determine the local deformation parameters of various displacement fields. An elasticity solution is also developed in order to validate the efficiency and accuracy of the layerwise theory in predicting the interlaminar normal and shear stress distributions. Finally, various numerical results are presented for edge-effect problems of several cross-ply, symmetric, and antisymmetric angle-ply laminates subjected to uniform hygrothermal loads. All results indicate high stress gradients of interlaminar normal and shear stresses near the edges of laminates.     

Evolution of material voids for highly anisotropic surface energy

In this paper we consider the evolution by surface diffusion of material voids in a linearly elastic solid, focusing on the evolution of voids with large surface energy anisotropy. It is well known that models for the time evolution of similar material surfaces can become mathematically ill-posed when the surface energy is highly anisotropic. In some cases, this ill-posedness has been associated with the formation of corners along the interface. Here the ill-posedness is removed through a regularization which incorporates higher order terms in the surface energy. Spectrally accurate numerical simulations are performed to calculate the steady-state solution branches and time-dependent evolution of voids, with a particular emphasis on inferring trends in the zero regularization (c→0) limit. For steady voids with large anisotropy we find that apparent corners form as c→0. In the presence of elastic stresses σ the limiting corner angles are most often found to differ from angles found on the (σ=0) Wulff shape. For large elastic stresses we find that steady solutions no longer exist; instead the void steadily lengthens via a filamenting instability referred to as tip streaming.