Existence of a solution for two phase flow in porous media: The case that the porosity depends on the pressure

In this paper we prove the existence of a solution of a coupled system involving a two phase incompressible flow in the ground and the mechanical deformation of the porous medium where the porosity is a function of the global pressure. The model is strongly coupled and involves a nonlinear degenerate parabolic equation. In order to show the existence of a weak solution, we consider a sequence of related uniformly parabolic problems and apply the Schauder fixed point theorem to show that they possess a classical solution. We then prove the relative compactness of sequences of solutions by means of the Fréchet-Kolmogorov theorem; this yields the convergence of a subsequence to a weak solution of the parabolic system.     

Risk-neutral valuation with infinitely many trading dates

The first Fundamental Theorem of Asset Pricing establishes the equivalence between the absence of arbitrage in financial markets and the existence of Equivalent Martingale Measures, if appropriate conditions hold. Since the theorem may fail when dealing with infinitely many trading dates, this paper draws on the A.A. Lyapunov Theorem in order to retrieve the equivalence for complete markets such that the Sharpe Ratio is adequately bounded.     

均值-方差效用函数在证券组合投资决策中的应用

本文利用均值—方差效用函数，按期望效用最大化准则建立并分析了证券组合投资决策模型。在投资者的效用函数为指数型效用函数时，得到了两基金定理分离权重的计算公式。得出了在均值——方差效用函数条件下期望效用最大化准则与M—V期望收益最大化准则一致的结论。     

Dynamic supercoiling bifurcations of growing elastic filaments

Certain bacteria form filamentous colonies when the cells fail to separate after dividing. In Bacillus subtilis, Bacillus thermus, and Cyanobacteria, the filaments can wrap into complex supercoiled structures as the cells grow. The structures may be solenoids or plectonemes, with or without branches in the latter case. Any microscopic theory of these morphological instabilities must address the nature of pattern selection in the presence of growth, for growth renders the problem nonautonomous and the bifurcations dynamic. To gain insight into these phenomena, we formulate a general theory for growing elastic filaments with bending and twisting resistance in a viscous medium, and study an illustrative model problem: a growing filament with preferred twist, closed into a loop. Growth depletes the twist, inducing a twist strain. The closure of the loop prevents the filament from unwinding back to the preferred twist; instead, twist relaxation is accomplished by the formation of supercoils. Growth also produces viscous stresses on the filament which even in the absence of twist produce buckling instabilities. Our linear stability analysis and numerical studies reveal two dynamic regimes. For small intrinsic twist the instability is akin to Euler buckling, leading to solenoidal structures, while for large twist it is like the classic writhing of a twisted filament, producing plectonemic windings. This model may apply to situations in which supercoils form only, or more readily, when axial rotation of filaments is blocked. Applications to specific biological systems are proposed.     

A photoemission study of molybdenum hexacarbonyl adsorption and decomposition on TiO2(1 1 0) surface

The adsorption and decomposition of molybdenum hexacarbonyl on (1 1 0) TiO₂ surfaces were studied using both core levels and valence band photoemission spectroscopies. It was found that after an adsorption at 140 K, when going back to room temperature, only a small part of molybdenum compounds, previously present at low temperature, remained on the TiO₂ surface. This indicates that the desorption temperature on such a surface is lower than the decomposition one. The use of photon irradiation to decompose the hexacarbonyl molecule was also studied. It was shown that during such a decomposition molecular fragments were chemisorbed on the surface allowing a higher amount of metal to remain on the surface. It was also shown that it was possible to get rid of adsorbed subcarbonyl groups and to organize the metal atoms by thermal treatments at temperatures as low as 400 K, i.e. much lower than the one needed to obtain the same structures using physical vapour deposition (PVD). Moreover, due to lower used temperatures, this chemical way of deposition allows a better control of the interface than during PVD growth.     

Systems of generalized quasivariational inclusions problems with applications to variational analysis and optimization problems

In this paper, we study an existence theorem of systems of generalized quasivariational inclusions problem. By this result, we establish the existence theorems of solutions of systems of generalized equations, systems of generalized vector quasiequilibrium problem, collective variational fixed point, systems of generalized quasiloose saddle point, systems of minimax theorem, mathematical program with systems of variational inclusions constraints, mathematical program with systems of equilibrium constraints and systems of bilevel problem and semi-infinite problem with systems of equilibrium problem constraints. This research was supported by the National Science Council of the Republic of China.     

Approximation of signals from local averages

This work is concerned with approximation of a signal from local averages. It improves a result of Butzer and Lei [P.L. Butzer, J. Lei, Approximation of signals using measured sampled values and error analysis, Commun. Appl. Anal. 4 (2000) 245–255].     

Generalized 3G theorem and application to relativistic stable process on non-smooth open sets

Let G(x,y) and GD(x,y) be the Green functions of rotationally invariant symmetric α-stable process in Rd and in an open set D, respectively, where 0<α<2. The inequality GD(x,y)GD(y,z)/GD(x,z)?c(G(x,y)+G(y,z)) is a very useful tool in studying (local) Schrödinger operators. When the above inequality is true with c=c(D)∈(0,∞), then we say that the 3G theorem holds in D. In this paper, we establish a generalized version of 3G theorem when D is a bounded κ-fat open set, which includes a bounded John domain. The 3G we consider is of the form GD(x,y)GD(z,w)/GD(x,w), where y may be different from z. When y=z, we recover the usual 3G. The 3G form GD(x,y)GD(z,w)/GD(x,w) appears in non-local Schrödinger operator theory. Using our generalized 3G theorem, we give a concrete class of functions belonging to the non-local Kato class, introduced by Chen and Song, on κ-fat open sets. As an application, we discuss relativistic α-stable processes (relativistic Hamiltonian when α=1) in κ-fat open sets. We identify the Martin boundary and the minimal Martin boundary with the Euclidean boundary for relativistic α-stable processes in κ-fat open sets. Furthermore, we show that relative Fatou type theorem is true for relativistic stable processes in κ-fat open sets. The main results of this paper hold for a large class of symmetric Markov processes, as are illustrated in the last section of this paper. We also discuss the generalized 3G theorem for a large class of symmetric stable Lévy processes.     

Tail asymptotics for the fundamental period in the MAP/G/1 queue

This paper studies the tail behavior of the fundamental period in the MAP/G/1 queue. We prove that if the service time distribution has a regularly varying tail, then the fundamental period distribution in the MAP/G/1 queue has also regularly varying tail, and vice versa, by finding an explicit expression for the asymptotics of the tail of the fundamental period in terms of the tail of the service time distribution. Our main result with the matrix analytic proof is a natural extension of the result in (de Meyer and Teugels, J. Appl. Probab. 17: 802–813, 1980) on the M/G/1 queue where techniques rely heavily on analytic expressions of relevant functions. I.-S. Wee’s research was supported by the Korea Research Foundation Grant KRF 2003-070-00008.