Socially responsible merchant operations: Comparison of shutdown-averse CVaR and anticipated regret policies

Commodity and energy production assets are managed as real options on market uncertainties. Social impacts of plant shutdowns incentivize balancing asset value with shutdown probability. We propose new shutdown-averse policies based on the popular dynamic conditional value-at-risk (CVaR). We analytically and numerically compare these policies to known shutdown-averse policies based on anticipated regret (AR). Our findings support the use of AR over CVaR to embed shutdown-aversion and the consideration of hybrid policies that are asymptotically time-consistent but easily interpretable.     

害虫种群尖点突变模型的几何分析

基于尖点突变的性质,对修改后的Logistic模型进行变换,并将其化为具有尖点突变的标准模型.利用微分方程定性理论,对模型进行分析,并根据突变理论,给出突变发生的条件.最后利用仿真验证结论的正确性.     

Theory of inverted pendulum with follower force revisited

The effect of the type of springs on the equilibrium states of an inverted pendulum is examined. The angular and linear eccentricities of the follower force are taken into account __________ Translated from Prikladnaya Mekhanika, Vol. 43, No. 6, pp. 126–137, June 2007.     

光滑平面上对称充液腔体定常转动态的稳定性、分叉和突变

本文对形体旋转对称,重心位于对称轴上,并充满粘性均匀液体的对称陀螺在光滑水平面上的运动,给出其定态转动(特别着重斜转态)在各种参数条件下的数目,取向角及Румянцев-Movchan意义下的稳定性。将角动量竖直分量的平方M~2取为控制参数,对定态转动得到三种分叉类型和相应的突变方式。考虑到不可避免地存在微弱摩擦力矩会导致M~2的极缓慢衰减,本文根据分叉突变分析,避开了繁琐的动力学论证,对于初始处于零章动角的稳定准竖立正转定态的陀螺,证明只存在两种不同的倾倒方式。这是突变理论在充液腔体旋转运动问题上的有理论和实际意义的应用。此外,得到的q_4支对陀螺的稳定性控制具有实际意义。     

Symmetry, Optima and Bifurcations in Structural Design

Motivated by optimization problems in structural engineering, we study the critical points of symmetric, ‘reflected', one-parameter family of potentials U(p, x) = max (f(p,x), f(p, −x)), yielding modest generalizations of classical bifurcations, predicted by elementary catastrophe theory. One such generalization is the ‘five-branch pitchfork’, where the symmetric optimum persists beyond the critical parameter value. Our theory may help to explain why symmetrical structures are often optimal.     

弹性圆柱壳冲击扭转屈曲的突变模型

本文将突变理论用于处理冲击载荷下弹性结构的屈曲问题,文中建立了结构冲击屈曲的突变准则,认为临界阶跃载荷位于所提出突变系统的分叉集之中,并由此对两端固支的弹性圆柱壳扭转屈曲进行了分析,给出了不同初缺陷时的临界阶跃扭矩计算公式,通过对临界静态扭矩的计算,表明临界阶跃扭矩小于临界静态扭矩.     

CAVITY FORMATION AT THE CENTER OF A SPHERE COMPOSED OF TWO COMPRESSIBLE HYPER-ELASTIC MATERIALS

IntroductionHorgan[1] reviewedthecavitatedbifurcationproblemforhyper_elasticmaterials,includinginhomogeneousandanisotropicmaterialsaswellashomogeneousandisotropicmaterials .Forincompressiblematerials,HorganandPence[2 ,3 ] examinedtheeffectofmaterialinhomogeneityontheformationandgrowthofvoidandobtainedananalyticsolutionofthecavitatedbifurcationproblemforasolidspherecomposedoftwoneo_Hookeanmaterials.Thebifurcationmayoccurnotonlytotherightbutalsototheleftforthecomposedsphere .Thestabilitiesofth…     

Cavitated bifurcation for composed compressible hyper-elastic materials

The cavitated bifurcation problem in a solid sphere composed of two compressible hyper-elastic materials is examined. The bifurcation solution for the composed sphere under a uniform radial tensile boundary dead-load is obtained. The bifurcation curves and the stress contributions subsequent to the cavitation are given. The right and left bifurcation as well as the catastrophe and concentration of stresses are analyzed. The stability of solutions is discussed through an energy comparison. Project supported by the National Natural Science Foundation of China (No. 19802012).     

Pathwise superhedging for time-dependent barrier options on càdlàg paths—Finite or infinite tradeable European,One-Touch,lookback or forward starting options

We establish pathwise duality using simple predictable trading strategies for the robust hedging problem associated with a barrier option whose payoff depends on the terminal level and the infimum of a càdlàg strictly positive stock price process, given tradeable European options at all strikes at a single maturity. The result allows for a significant dimension reduction in the computation of the superhedging cost, via an alternate lower-dimensional formulation of the primal problem as a convex optimization problem, which is qualitatively similar to the duality which was formally sketched using linear programming arguments in Duembgen and Rogers [10] for the case where we only consider continuous sample paths. The proof exploits a simplification of a classical result by Rogers (1993) which characterizes the attainable joint laws for the supremum and the drawdown of a uniformly integrable martingale (not necessarily continuous), combined with classical convex duality results from Rockefellar (1974) using paired spaces with compatible locally convex topologies and the Hahn–Banach theorem. We later adapt this result to include additional tradeable One-Touch options using the Kertz and Rösler (1990) condition. We also compute the superhedging cost when in the more realistic situation where there is only finite tradeable European options; for this case we obtain the full duality in the sense of quantile hedging as in Soner (2015), where the superhedge works with probability $1?\epsilon$ where $\epsilon$ can be arbitrarily small), and we obtain an upper bound for the true pathwise superhedging cost. In Section 5, we extend our analysis to include time-dependent barrier options using martingale coupling arguments, where we now have tradeable European options at both maturities at all strikes and tradeable forward starting options at all strikes. This set up is designed to approximate the more realistic situation where we have a finite number of tradeable Europeans at both maturities plus a finite number of tradeable forward starting options.¹