System availability in a shock model under preventive repair and phase‐type distributions

A device that can fail by shocks or ageing under policy N of maintenance is presented. The interarrival times between shocks follow phase‐type distributions depending on the number of cumulated shocks. The successive shocks deteriorate the system, and some of them can be fatal. After a prefixed number k of nonfatal shocks, the device is preventively repaired. After a fatal shock the device is correctively repaired. Repairs are as good as new, and follow phase‐type distributions. The system is governed by a Markov process whose infinitesimal generator, stationary probability vector, and availability are calculated, obtaining well‐structured expressions due to the use of phase‐type distributions. The availability is optimized in terms of the number k of preventive repairs. Copyright © 2009 John Wiley & Sons, Ltd.     

Examples of fitting structured phase–type distributions

A sub–class of phase–type distributions is defined in terms of a Markov process with sequential transitions between transient states and transitions from these states to absorption. Such distributions form a very rich class; they can be fitted to data, and any structure revealed by the parameter estimates used to develop more parsimonious re–parametrizations. Several example data sets are used as illustrations.     

Application of the phase‐type mortality law to life contingencies and risk management

The class of phase‐type distributions has recently gained much popularity in insurance applications due to its mathematical tractability and denseness in the class of distributions defined on positive real line. In this paper, we show how to use the phase‐type mortality law as an efficient risk management tool for various life insurance applications. In particular, pure premiums, benefit reserves, and risk‐loaded premiums using CTE for standard life insurance products are shown to be available in analytic forms, leading to efficient computation and straightforward implementation. A way to explicitly determine provisions for adverse deviation for interest rate and mortality is also proposed. Furthermore, we show how the interest rate risk embedded in life insurance portfolios can be analyzed via interest rate sensitivity index and diversification index which are constructed based on the decomposition of portfolio variance. We also consider the applicability of phase‐type mortality law under a few non‐flat term structures of interest rate. Lastly, we explore how other properties of phase‐type distributions may be applied to joint‐life products as well as subgroup risk ordering and pricing within a given pool of insureds. Copyright © 2017 John Wiley & Sons, Ltd.     

An asymptotic approach for a semi‐Markovian inventory model of type (s,S)

In this study, we constructed a stochastic process (X(t)) that expresses a semi‐Markovian inventory model of type (s, S) and it is shown that this process is ergodic under some weak conditions. Moreover, we obtained exact and asymptotic expressions for the n^th order moments (n = 1,2,3, … ) of ergodic distribution of the process X(t), as S ? s → ∞ . Finally, we tested how close the obtained approximation formulas are to the exact expressions. Copyright © 2012 John Wiley & Sons, Ltd.     

Attractor for a conserved phase‐field system with hyperbolic heat conduction

We consider a conserved phase‐field system of Caginalp type, characterized by the assumption that both the internal energy and the heat flux depend on the past history of the temperature and its gradient, respectively. The latter dependence is a law of Gurtin–Pipkin type, so that the equation ruling the temperature evolution is hyperbolic. Thus, the system consists of a hyperbolic integrodifferential equation coupled with a fourth‐order evolution equation for the phase‐field. This model, endowed with suitable boundary conditions, has already been analysed within the theory of dissipative dynamical systems, and the existence of an absorbing set has been obtained. Here we prove the existence of the universal attractor. Copyright © 2004 John Wiley & Sons, Ltd.     

Decay estimates for the wave equation of p‐Laplacian type with dissipation of m‐Laplacian type

In this paper, we study decay properties of solutions to the wave equation of p‐Laplacian type with a weak dissipation of m‐Laplacian type. Copyright © 2006 John Wiley & Sons, Ltd.     

An adaptive,multilevel scheme for the implicit solution of three‐dimensional phase‐field equations

Phase‐field models, consisting of a set of highly nonlinear coupled parabolic partial differential equations, are widely used for the simulation of a range of solidification phenomena. This article focuses on the numerical solution of one such model, representing anisotropic solidification in three space dimensions. The main contribution of the work is to propose a solution strategy that combines hierarchical mesh adaptivity with implicit time integration and the use of a nonlinear multigrid solver at each step. This strategy is implemented in a general software framework that permits parallel computation in a natural manner. Results are presented that provide both qualitative and quantitative justifications for these choices.© 2010 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2010     

An identification problem for a conserved phase‐field model with memory

This paper is devoted to recovering a scalar memory kernel in a conserved phase‐field model. For such a problem local in time existence and uniqueness results are proved. The technique used allows to show also the continuous dependence on the kernel of the solution to the direct problem. Copyright © 2005 John Wiley & Sons, Ltd.     

随机需求下基于供应中断的备份供应商决策分析

假定需求服从随机分布,研究由零售商主导的供应链中,采用一个战略供应商和一个备份供应商模式,零售商与备份供应商通过能力期权建立订货契约:首先,零售商向备份供应商预订能力,支付预订成本;接着,向战略供应商订货,如果没有发生突发事件则其供货量等于订货量,否则供货量变为零;然后,零售商基于战略供应商的供货量和备份供应商的能力预订确定向备份供应商的订货量,支付执行成本;最后,零售商用战略供应商和备份供应商的总供货量满足顾客需求。备份供应商在考虑自己的能力维持成本和制造成本后决定是否接受零售商提供的能力期权契约。针对零售商可选择的四种不同策略,求得采取不用策略所满足的条件,并给出相应的最优订货量、能力预订量和能力执行量和最优利润等的解析解。     

Spatial behaviour of solutions of the dual‐phase‐lag heat equation

In this paper we study the spatial behaviour of solutions of some problems for the dual‐phase‐lag heat equation on a semi‐infinite cylinder. The theory of dual‐phase‐lag heat conduction leads to a hyperbolic partial differential equation with a third derivative with respect to time. First, we investigate the spatial evolution of solutions of an initial boundary‐value problem with zero boundary conditions on the lateral surface of the cylinder. Under a boundedness restriction on the initial data, an energy estimate is obtained. An upper bound for the amplitude term in this estimate in terms of the initial and boundary data is also established. For the case of zero initial conditions, a more explicit estimate is obtained which shows that solutions decay exponentially along certain spatial‐time lines. A class of non‐standard problems is also considered for which the temperature and its first two time derivatives at a fixed time T are assumed proportional to their initial values. Copyright © 2004 John Wiley & Sons, Ltd.     

Optimal inventory and insurance decisions for a supply chain financing system with downside risk control

This research considers a supply chain financing system consisting of a capital‐constrained retailer, a supplier and a risk‐averse bank. The retailer may be subject to credit limit because of the bank's downside risk control, and hence, credit insurance should be needed to enhance his financing ability. This paper develops a mathematical optimization model by incorporating insurance policy into the well‐known newsvendor financing model. The optimal inventory and insurance decisions under different scenarios, that is, no insurance, insurance with symmetric information and insurance with asymmetric information, are derived. This work also discusses how the retailer's capital level, the bank's risk aversion, and the insurer's loading factor affect the optimal inventory and insurance decisions. The results show that the retailer will use credit insurance if he is sufficiently capital‐constrained or the insurer's risk loading factor is low enough. Moreover, credit insurance can bring Pareto improvement to the supply chain financing system, which verifies the prevalence of credit insurance in practice. Several numerical experiments are presented to examine the sensitivities of key parameters. Copyright © 2016 John Wiley & Sons, Ltd.     

On the strategy of supply chain collaboration based on dynamic inventory target level management: A theory of constraint perspective

After the financial tsunami in 2008, how to adjust the target inventory level dynamically and instantly in order to reduce the risk that an enterprise encountered in a rapid demand changing market has become a crucial issue in the field of supply chain management. This paper explores the strategies of supply chain collaboration by utilizing theory of constraint to achieve the goal of adjusting the target inventory level dynamically. Three time-series-data-mining techniques – Sequential Probability Ratio Test (SPRT), CUSUM chart and Auto-regression Test (AR(1)) are used to detect the timing of market demand change. The results are used to adjust the target inventory level. Simulation techniques are used to explore the relative efficiency of the demand-change detection for the three methods. The techniques are also used to explore the effectiveness of various inventory management strategies on inventory performance based on the three demand change detection methods.     

On the asymptotics of fault probability in least‐recently‐used caching with Zipf‐type request distribution

We consider the least‐recently‐used cache replacement rule with a Zipf‐type page request distribution and investigate an asymptotic property of the fault probability with respect to an increase of cache size. We first derive the asymptotics of the fault probability for the independent‐request model and then extend this derivation to a general dependent‐request model, where our result shows that under some weak assumptions the fault probability is asymptotically invariant with regard to dependence in the page request process. In a previous study, a similar result was derived by applying a Poisson embedding technique, where a continuous‐time proof was given through some assumptions based on a continuous‐time modeling. The Poisson embedding, however, is just a technique used for the proof and the problem is essentially on a discrete‐time basis; thus, it is preferable to make assumptions, if any, directly in the discrete‐time setting. We consider a general dependent‐request model and give a direct discrete‐time proof under different assumptions. A key to the proof is that the numbers of requests for respective pages represent conditionally negatively associated random variables. © 2005 Wiley Periodicals, Inc. Random Struct. Alg., 2006     

Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions

In this article, we introduce a likelihood‐based estimation method for the stochastic volatility in mean (SVM) model with scale mixtures of normal (SMN) distributions. Our estimation method is based on the fact that the powerful hidden Markov model (HMM) machinery can be applied in order to evaluate an arbitrarily accurate approximation of the likelihood of an SVM model with SMN distributions. Likelihood‐based estimation of the parameters of stochastic volatility models, in general, and SVM models with SMN distributions, in particular, is usually regarded as challenging as the likelihood is a high‐dimensional multiple integral. However, the HMM approximation, which is very easy to implement, makes numerical maximum of the likelihood feasible and leads to simple formulae for forecast distributions, for computing appropriately defined residuals, and for decoding, that is, estimating the volatility of the process. Copyright © 2017 John Wiley & Sons, Ltd.     

Stability of global and exponential attractors for a three‐dimensional conserved phase‐field system with memory

We consider a conserved phase‐field system on a tri‐dimensional bounded domain. The heat conduction is characterized by memory effects depending on the past history of the (relative) temperature ?, which is represented through a convolution integral whose relaxation kernel k is a summable and decreasing function. Therefore, the system consists of a linear integrodifferential equation for ?, which is coupled with a viscous Cahn–Hilliard type equation governing the order parameter χ. The latter equation contains a nonmonotone nonlinearity ? and the viscosity effects are taken into account by a term ?αΔ?_tχ, for some α?0. Rescaling the kernel k with a relaxation time ε>0, we formulate a Cauchy–Neumann problem depending on ε and α. Assuming a suitable decay of k, we prove the existence of a family of exponential attractors {?_α,ε} for our problem, whose basin of attraction can be extended to the whole phase–space in the viscous case (i.e. when α>0). Moreover, we prove that the symmetric Hausdorff distance of ?_α,ε from a proper lifting of ?_α,0 tends to 0 in an explicitly controlled way, for any fixed α?0. In addition, the upper semicontinuity of the family of global attractors {??_α,ε} as ε→0 is achieved for any fixed α>0. Copyright © 2009 John Wiley & Sons, Ltd.     

Existence of solutions to an anisotropic phase‐field model

We consider an anisotropic phase‐field model for the isothermal solidification of a binary alloy due to Warren–Boettinger ( Acta. Metall. Mater. 1995; 43 (2):689). Existence of weak solutions is established under a certain convexity condition on the strongly non‐linear second‐order anisotropic operator and Lipschitz and boundedness assumptions for the non‐linearities. A maximum principle holds that guarantees the existence of a solution under physical assumptions on the non‐linearities. The qualitative properties of the solutions are illustrated by a numerical example. Copyright © 2003 John Wiley & Sons, Ltd.     

Liouville‐type theorem for the steady compressible Hall‐MHD system

In this paper, we prove a Liouville‐type theorem for the steady compressible Hall‐magnetohydrodynamics system in Π, where Π is whole space or half space . We show that a smooth solution (ρ, u , B ,P) satisfying 1/C₀<ρ<C₀, , and B ∈L^9/2(Π) for some constant C₀>0 is indeed trivial. This generalizes and improves 2 results of Chae.     

On two high‐order families of frozen Newton‐type methods

This paper is devoted to the study of two high‐order families of frozen Newton‐type methods. The methods are free of bilinear operators, which constitute the main limitation of the classical high‐order iterative schemes. Both families are natural generalizations of an efficient third‐order method. Although the methods are more demanding, a semilocal convergence analysis is presented using weaker conditions.     

On the Caginalp phase‐field systems with two temperatures and the Maxwell–Cattaneo law

Our aim in this paper is to study generalizations of the nonconserved and conserved Caginalp phase‐field systems based on the Maxwell–Cattaneo law with two temperatures for heat conduction. In particular, we obtain well‐posedness results and study the dissipativity of the associated solution operators. Copyright © 2016 John Wiley & Sons, Ltd.