Second-order optimality conditions for minimizing a max-function

We study Chaney's and Ben-Tal-Zowe's second-order directional derivatives with applications in minimization problem for max-functions of the formh(x): = max {f(x, τ); τ ∈T},where T is a compact metricspace. We improve Kawasaki's result on necessary condition for such functions in the minimization problem.     

Dynamic mean-risk optimization in a binomial model

We consider a dynamic mean-risk problem, where the risk constraint is given by the Average Value–at–Risk. As financial market we choose a discrete-time binomial model which allows for explicit solutions. Problems where the risk constraint on the final wealth is replaced by intermediate risk constraints are also considered. The problems are solved with the help of the theory of Markov decision models and a Lagrangian approach.     

On the Robin problem in fractal domains

We study the solution to the Robin boundary problem for theLaplacian in a Euclidean domain. We present some families offractal domains where the infimum of the solution to the mixedDirichlet–Robin boundary problem is greater than 0, andsome other families of domains where it is equal to 0. We alsogive a new result on ‘trap domains’ defined in Burdzy,Chen and Marshall (Math. Z.), that is, domains where reflectingBrownian motion takes a long time to reach the center of thedomain.     

A minimization version of a directed subgraph homeomorphism problem

We consider a special case of the directed subgraph homeomorphism or topological minor problem, where the host graph has a specific regular structure. Given an acyclic directed pattern graph, we are looking for a host graph of minimal height which still allows for an embedding. This problem has applications in compiler design for certain coarse-grain reconfigurable architectures. In this application domain, the task is to simultaneously schedule, bind and route a so-called data-flow graph, where vertices represent operations and arcs stand for data dependencies between the operations, given an orthogonal grid structure of reconfigurable processing elements (PEs) that have restricted communication abilities. We show that the problem of simultaneously scheduling, binding and routing is NP-complete by describing a logic engine reduction from NAE-3-SAT. This result holds even when the input graph is a directed tree with maximum indegree two. We also give a |V|^3/2-approximation algorithm. J. A. Brenner’s research supported by the DFG Research Center Matheon “Mathematics for key technologies”. J. C. van der Veen’s research supported by DFG Focus Program 1148, “Reconfigurable Architectures”, Grants FE 407/8-1 and FE 407/8-2.     

Exact Asymptotics for the Distribution of the Time of Attaining the Maximum for a Trajectory of a Compound Poisson Process with Linear Drift

We consider the random process at − v+(pt) + v−(−qt), t ∈ (−∞, −), where v− and v+ are independent standard Poisson processes if t ≥ 0 and v−(t) = v+(t) = 0 if t < 0. Under certain conditions on the parameters a, p, and q, we study the distribution function G = G(x) of the time of attaining the maximum for a trajectory of this process. In the present article, we find an exact asymptotics for the tails of G. We also find a connection between this problem and the statistical problem of estimation of an unknown discontinuity point of a density function.     

An initial boundary-value problem for a system of equations of magnetohydrodynamics

In the present paper we consider one initial boundary-value problem for a system of equations of magnetohydrodynamics in the case where it is necessary to take into account the displacement currents in the Maxwell system of equations. We prove a local (in time) unique solvability of this problem in the Sobolev spaces. Translated from Lietuvos Matematikos Rinkinys, Vol. 40, No. 2, pp. 228–254, April–June, 2000. Translated by R. Lapinskas     

An active index algorithm for the nearest point problem in a polyhedral cone

We consider the problem of finding the nearest point in a polyhedral cone C={x∈R ⁿ :D x≤0} to a given point b∈R ⁿ , where D∈R ^m×n . This problem can be formulated as a convex quadratic programming problem with special structure. We study the structure of this problem and its relationship with the nearest point problem in a pos cone through the concept of polar cones. We then use this relationship to design an efficient algorithm for solving the problem, and carry out computational experiments to evaluate its effectiveness. Our computational results show that our proposed algorithm is more efficient than other existing algorithms for solving this problem.     

Homogenization of a model spectral problem for the Laplace operator in a domain with many closely located “ heavy” and “intermediate heavy” concentrated masses

We study the asymptotic behavior of eigenelements of boundary value problems in a domain Ω ⊂ ℝ^d, d ⩾ 3, with rapidly alternating type of boundary conditions. The density is equal to 1 outside tiny domains and is equal to ε^−m inside them, where ε is a small parameter. These domains (concentrated masses) of diameter εa are located on the boundary at a positive distance of order O(ε) from each other, where a = const. The Dirichlet boundary condition is on parts of ∂Ω that are tangent to concentrated masses, and the Neumann boundary condition is stated outside concentrated masses. We construct the limit (homogenized) operator, prove the convergence of eigenelements of the original problem to the eigenelements of the limit (homogenized) problem in the case m ⩾ 2, and estimate the difference between the eigenelements. Bibliography: 79 titles. Illustrations: 4 figures. __________ Translated from Problemy Matematicheskogo Analiza, No. 32, 2006, pp. 45–75.     

The parabolic equation as a limiting case of a certain elliptic equation

Summary We consider the Dirichlet problem for the equation L_ε(u) ≡ u_xx+ɛu_yy++A(x, y)u_x−B(y)u_y+C(x, y)u=F(x, y) where B(y)>0 and ɛ is a small positive parameter. An asymptotic formula is proved, from which it follows that in a suitable part of the domain of definition u(x, y, ɛ)→U(x, y) as ɛ→0+, where U(x, y) is the solution of the corresponding boundary - value problem for the reduced equation L₀(U)≡U_xx+A(x, y)U_x−B(y)U+C(x, y)U=F(x, y). To Enrico Bompiani on his scientific Jubilee.     

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

In this paper, we outline an impulse stochastic control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) assuming the policyholder is allowed to withdraw funds continuously. We develop a numerical scheme for solving the Hamilton–Jacobi–Bellman (HJB) variational inequality corresponding to the impulse control problem. We prove the convergence of our scheme to the viscosity solution of the continuous withdrawal problem, provided a strong comparison result holds. The scheme can be easily generalized to price discrete withdrawal contracts. Numerical experiments are conducted, which show a region where the optimal control appears to be non-unique.     

Inverse problem for the strongly degenerate heat equation in a domain with free boundary

In a domain with free boundary, we establish conditions for the existence and uniqueness of a solution of the inverse problem of finding the time-dependent coefficient of heat conductivity. We study the case of strong degeneration where the unknown coefficient tends to zero as t → +0 as a power function t ^β , where β ≥ 1. Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 61, No. 1, pp. 28–43, January, 2009.     

Bilateral estimates for the support of a solution of the Cauchy problem for an anisotropic quasilinear degenerate equation

We establish exact-order bilateral estimates for the size of the support of a solution of the Cauchy problem for a doubly nonlinear parabolic equation with anisotropic degeneration in the case where the initial data are finite and have finite mass. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 11, pp. 1477–1486, November, 2006.     

The decision problem for {\vec Z}C(p^3)-lattices with p prime

We show undecidability for lattices over a group ring where has a cyclic subgroup of order for some odd prime . Then we discuss the decision problem for -lattices where is a cyclic group of order 8, and we point out that a positive answer implies – in some sense – the solution of the “wild undecidable” conjecture. Received November 15, 1995     

Degenerate plasma in a half-space under an external electric field

An analytic solution is found for the problem on the behavior of a collisional plasma in a variable external electric field. We elucidate the structure of the screened electric field and investigate the case where the frequency of the external field is close to the plasma oscillation frequency (resonance). We show that there are two near-surface layers where the behavior of the screened field differs essentially. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 147, No. 3, pp. 487–502, June, 2006.     

Existence of multipeak solutions for a semilinear Neumann problem via nonsmooth critical point theory

We study a perturbed semilinear problem with Neumann boundary condition where is a bounded smooth domain of , , , if or if and is the unit outward normal at the boundary of . We show that for any fixed positive integer K any “suitable” critical point of the function generates a family of multiple interior spike solutions, whose local maximum points tend to as tends to zero. Received March 7, 1999 / Accepted October 1, 1999 / Published online April 6, 2000     

On a processor sharing queue that models balking

We consider the processor sharing M/M/1-PS queue which also models balking. A customer that arrives and sees n others in the system “balks” (i.e., decides not to enter) with probability 1−b _n . If b _n is inversely proportional to n + 1, we obtain explicit expressions for a tagged customer’s sojourn time distribution. We consider both the conditional distribution, conditioned on the number of other customers present when the tagged customer arrives, as well as the unconditional distribution. We then evaluate the results in various asymptotic limits. These include large time (tail behavior) and/or large n, lightly loaded systems where the arrival rate λ → 0, and heavily loaded systems where λ → ∞. We find that the asymptotic structure for the problem with balking is much different from the standard M/M/1-PS queue. We also discuss a perturbation method for deriving the asymptotics, which should apply to more general balking functions.     

A Note on Multi-Issue Bargaining with a Finite Set of Alternatives

We extend the results of van Damme et al. (1990) and Muthoo (1991) to two bilateral multi-issue bargaining)procedures with complete information and endogenous agenda, where each issue is associated with a finite set of alternatives. We show that in the first procedure (issue-by-issue bargaining), the stationary subgame perfect equilibria alone may support a large multiplicity of inefficient agreements. Confronting a recent study, the results for the second procedure imply that it is not necessary to appeal to “strictly controversial” issues in a bargaining problem in order to find multiplicity and delay in agreements     

Evaluation of the probability of bankruptcy for a model of insurance company

We study the problem of evaluation of the probability of ruin of an insurance company for infinitely many steps in the case where the company can invest its capital to bank deposits at any time. As a distribution of the amounts of claims to the insurance company, we use the gamma-distribution with the parameters n and α. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 4, pp. 447–457, April, 2007.     

On the unsteady Poiseuille flow in a pipe

We show that in an unsteady Poiseuille flow of a Navier–Stokes fluid in an infinite straight pipe of constant cross-section, σ, the flow rate, F(t), and the axial pressure drop, q(t), are related, at each time t, by a linear Volterra integral equation of the second type, where the kernel depends only upon t and σ. One significant consequence of this result is that it allows us to prove that the inverse parabolic problem of finding a Poiseuille flow corresponding to a given F(t) is equivalent to the resolution of the classical initial-boundary value problem for the heat equation.