Continuous-Time Controlled Markov Chains with Discounted Rewards

This paper studies denumerable state continuous-time controlled Markov chains with the discounted reward criterion and a Borel action space. The reward and transition rates are unbounded, and the reward rates are allowed to take positive or negative values. First, we present new conditions for a nonhomogeneous Q(t)-process to be regular. Then, using these conditions, we give a new set of mild hypotheses that ensure the existence of -optimal (0) stationary policies. We also present a martingale characterization of an optimal stationary policy. Our results are illustrated with controlled birth and death processes.     

Continuous-flow optical pumping NMR in a closed circuit system

In a typical continuous-flow optical pumping setup, the chemical shift of xenon in the adsorbed phase depends on the gas flow rate due to warming of the sample surface by the gas stream. Calibration of the system using the (207)Pb resonance of solid lead nitrate is necessary to determine the actual sample temperature. Optimum pulse repetition rates are strongly affected by gas flow and spin-lattice relaxation rates. The interplay of flow and pulse repetition rate alters signal intensity ratios and may lead to the complete suppression of signals.     

Transmutation of 129I, 237Np, 238Pu, 239Pu, and 241Am using neutrons produced in target-blanket system ‘Energy plus Transmutation’ by relativistic protons

Target-blanket facility ‘Energy + Transmutation’ was irradiated by proton beam extracted from the Nuclotron Accelerator in Laboratory of High Energies of Joint Institute for Nuclear Research in Dubna, Russia. Neutrons generated by the spallation reactions of 0.7, 1.0, 1.5 and 2 GeV protons and lead target interact with subcritical uranium blanket. In the neutron field outside the blanket, radioactive iodine, neptunium, plutonium and americium samples were irradiated and transmutation reaction yields (residual nuclei production yields) have been determined using γ-spectroscopy. Neutron field's energy distribution has also been studied using a set of threshold detectors. Results of transmutation studies of ¹²⁹I, ²³⁷Np, ²³⁸Pu, ²³⁹Pu and ²⁴¹Am are presented.      

The matrix rate of return

In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous analysis of evolution of baskets parameterized by complex variables in both continuous and discrete time models.     

The expectation hypothesis of interest rates and network theory: The case of Brazil

This paper investigates the topological properties of the Brazilian term structure of interest rates network. We build the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for interest rates of different maturities. We show that the short-term interest rate is the most important within the interest rates network, which is in line with the Expectation Hypothesis of interest rates. Furthermore, we find that the Brazilian interest rates network forms clusters by maturity.     

On the asymptotic behaviour for an electromagnetic system with a dissipative boundary condition

In this work we study some properties of solutions for the systemdescribing a three-dimensional non-homogeneous non-conductingdielectric with a general boundary condition with memory. Wefirst show the existence of the inverse of this boundary condition,which allows us to introduce a boundary free energy, similarto the one considered by Fabrizio & Morro (1996, Arch. Rat.Mech. Anal., 136, 359–381). Then, we prove existence anduniqueness theorems for weak and strong solutions of the evolutiveproblem in a finite time interval. Moreover, following Rivera& Olivera (1997, Boll. U.M.I., 11-A, 115–127), weexamine some dissipative properties of the boundary conditionand of its inverse and we give a useful energy estimate. Finally,when there is no memory in the boundary condition the exponentialdecay of the solution is proved.     

Gradient estimates for a degenerate parabolic equation with gradient absorption and applications

Qualitative properties of non-negative solutions to a quasilinear degenerate parabolic equation with an absorption term depending solely on the gradient are shown, providing information on the competition between the nonlinear diffusion and the nonlinear absorption. In particular, the limit as t→∞ of the L¹-norm of integrable solutions is identified, together with the rate of expansion of the support for compactly supported initial data. The persistence of dead cores is also shown. The proof of these results strongly relies on gradient estimates which are first established.     

Sensitivity analysis of the moments of the profit on an Income Protection Policy

The main purpose of this paper is to perform a sensitivity analysis where we quantify and analyse the effects on the mean of the profit on an Income Protection policy and two risk measures of changing the values of the transition intensities. All the calculations carried out are based on a multiple state model for Income Protection proposed in Continuous Mortality Investigation Committee (Continuous Mortality Investigation Reports 1991; 12 ). Within this model, we derive a formula for the mean of the profit, which enables to evaluate it more efficiently. In order to calculate the two risk measures we use the numerical algorithms for the calculation of the moments of the profit proposed by Waters (Insurance: Mathematics and Economics 1990; 9 :101–113). We carry out the sensitivity analysis considering two different situations: in the first situation, we update the premium rates used to calculate the moments of the profit, according to the changes in the values of the transition intensities; in the second one, we do not update the premium rates. Both analyses are of practical interest to insurance companies selling Income Protection policies. Copyright © 2009 John Wiley & Sons, Ltd.     

Optimal superconvergent one step quadratic spline collocation methods

We formulate new optimal quadratic spline collocation methods for the solution of various elliptic boundary value problems in the unit square. These methods are constructed so that the collocation equations can be solved using a matrix decomposition algorithm. The results of numerical experiments exhibit the expected optimal global accuracy as well as superconvergence phenomena. AMS subject classification (2000)  65N35, 65N22     

带阻尼项一维非等熵流方程组初边值问题解的收敛速度

研究了带阻尼项一维非等熵流方程组的初边值问题，利用能量估计的办法证明了整体解的存在性和得到在L2－模及L∞－模意义下解的大时间状态稳定性估计。