STOCHASTIC OPTIMIZATION FOR MULTISPECIES FISHERIES IN THE BARENTS SEA

We present a multispecies stochastic model that suggests optimal fishing policy for two species in a three‐species predator–prey ecosystem in the Barents Sea. We employ stochastic dynamic programming to solve a three‐dimensional model, in which the catch is optimized by using a multispecies feedback strategy. Applying the model to the cod, capelin, and herring ecosystem in the Barents Sea shows that the optimal catch for the stochastic interaction model is more conservative than that implied by the deterministic model. We also find that stochasticity has a stronger effect on the optimal exploitation policy for prey (capelin) than for predator (cod).     

Who contributes to public goods? With an application to local economic policies in the Netherlands

We present three models for the extent to which actors reduce their contributions to the production of a public good because of expected contributions by other actors. The first model is a simple game theoretic model, the second a spatial autocorrelation model, and the third is a hybrid of the first two models. Estimation of the three models from incomplete data is discussed. The three models are applied to data on economic policies of municipalities in the Netherlands. In particular, it is probed whether municipalities take a free ride on the measures of their neighbors.     

On the stabilizing effect of convection in three‐dimensional incompressible flows

We investigate the stabilizing effect of convection in three‐dimensional incompressible Euler and Navier‐Stokes equations. The convection term is the main source of nonlinearity for these equations. It is often considered destabilizing although it conserves energy due to the incompressibility condition. In this paper, we show that the convection term together with the incompressibility condition actually has a surprising stabilizing effect. We demonstrate this by constructing a new three‐dimensional model that is derived for axisymmetric flows with swirl using a set of new variables. This model preserves almost all the properties of the full three‐dimensional Euler or Navier‐Stokes equations except for the convection term, which is neglected in our model. If we added the convection term back to our model, we would recover the full Navier‐Stokes equations. We will present numerical evidence that seems to support that the three‐dimensional model may develop a potential finite time singularity. We will also analyze the mechanism that leads to these singular events in the new three‐dimensional model and how the convection term in the full Euler and Navier‐Stokes equations destroys such a mechanism, thus preventing the singularity from forming in a finite time. © 2008 Wiley Periodicals, Inc.     

基于随机因子模型的增强型指数基金

创新性的假设传统的Fama-French三因素模型中的三因素为服从正态分布的随机变量,进而获得了股票收益随机变量的分布信息.采取部分复制的原则建立增强型指数基金随机投资组合优化模型,通过引入投资组合风险概率约束给出增强型指数基金的绝对风险上限,针对增强型指数基金建立基于VaR的超额收益概率约束.引入最买入门槛限制降低增强型指数基金的管理费用,增强其流动性.最后,根据股票收益的概率分布特征,获得基于上述约束的指数基金和增强型指数基金的确定性优化模型,并同时基于上证A股进行了实证分析.     

Planning Formula One race strategies using discrete-event simulation

A discrete-event simulation model that imitates most on-track events, including car failures, passing manoeuvres and pit stops during a Formula One race, is presented. The model is intended for use by a specific team. It will enable decision-makers to plan and evaluate their race strategy, consequently providing them with a possible competitive advantage. The simulation modelling approach presented in this paper captures the mechanical complexities and physical interactions of a race car with its environment through a time-based approach. Model verification and validation are demonstrated using three races from the 2005 season. The application of the model is illustrated by evaluating the race strategies employed by a specific team during these three races.     

Analysis of Data from a Series of Events by a Geometric Process Model

Geometric process was first introduced by Lam.A stochastic process {X_i,i=1,2,...} iscalled a geometric process (GP) if,for some a>0,{a~(i-1)X_i,i=1,2,...} forms a renewal process.In thispaper,the GP is used to analyze the data from a series of events.A nonparametric method is introduced forthe estimation of the three parameters in the GP.The limiting distributions of the three estimators are studied.Through the analysis of some real data sets,the GP model is compared with other three homogeneous andnonhomogeneous Poisson models.It seems that on average the GP model is the best model among these fourmodels in analyzing the data from a series of events.     

基于强互惠理论的企业合作创新行为演化研究

基于强互惠理论构建了企业合作创新行为演化模型,将企业分成投机、纯合作与强互惠三种类型,对基本的演化博弈模型进行了分析,利用复制动态方程求出基本模型的两个演化稳定均衡解,并通过仿真方法对放松约束后的演化模型做进一步分析,发现了新的系统均衡状态并给出解释。研究结果表明:强互惠行为可以通过演化生成,并抑制企业合作创新中的投机行为,与其他两种类型企业共同发展,并形成企业合作创新系统的演化稳定均衡。研究结果为企业合作创新组织的管理提供了决策依据,同时有助于推动企业合作创新理论的深入发展。     

Competition of three species in an advective environment

Individuals in advective environments, for example rivers, coastlines, or the gut, are subject to movement with directional bias. We study how this movement bias shapes community composition by considering how the strength of movement bias affects the outcome of competition among three species. Our model is a system of three reaction-advection-diffusion equations with Danckwerts boundary conditions. Our key tool in this study is to use the dominant eigenvalue of the diffusion-advection operator in order to reduce the spatially explicit model to a spatially implicit ordinary differential equation model. After an in-depth analysis of the implicit model, we use numerical simulations of the explicit model to test the predictions obtained from the analysis. In general, we find a good qualitative agreement between the explicit and the implicit model. We find that varying the strength of advection can fundamentally alter the outcome of competition between the three species, and we characterize the possible transitions. In particular, water extraction and flow control can destabilize existing species communities or facilitate invasions of non-native species.     

Global existence in a food chain model consisting of two competitive preys,one predator and chemotaxis

A model for the spatio-temporal evolution of three biological species in a food chain model consisting of two competitive preys and one predator with intra-specific competition is considered. Besides diffusing, the predator species moves toward higher concentrations of a chemical substance produced by the prey. The prey, in turn, moves away from high concentrations of a substance secreted by the predators. The resulting reaction–diffusion system consists of three parabolic equations along with three elliptic equations describing the diffusion of the chemical substances. The local existence of nonnegative solutions is proved. Then uniform estimates in Lebesgue spaces are provided. These estimates lead to boundedness and global well-posedness for the system. Numerical simulations are presented and discussed.     

Effects of power law logistic technologies on economic growth

Based on the S-shaped power law logistic technology, we set up an economic growth model in this paper. The solution of the model is given via hypergeometric functions. We show that the dynamics of the model is asymptotically stable. And, it is found that the dynamics of the model is actually controlled by the power law logistic function through an ordinary logistic function, as a power function of the power law logistic. From the statistical point of view, in this paper, three different types of power law index means three different types of skewness, giving three different types of growth and diffusion patterns of technology. Then, we show some comparison results of different types of technology and of different initial levels of capital, and their effects on economic growth. A numerical example is also given in this paper to illustrate the effects.     

Low-Reynolds-number modelling of flows over a backward-facing step

The complex turbulent flow behind a backward-facing step is modelled using a full Reynolds stress closure. In order to develop a closure model that can resolve the complex near-wall flow in the recirculation region and in the recovery region downstream of the reattachment point, the performance of a low and a high Reynolds number version of the full Reynolds stress closure is examined and compared. Furthermore, the effects of redistribution modelling on the calculated flow is studied by comparing the performance of three redistribution models: one return-to-isotropy model and two with mean-strain effects. The results are grid independent and show that the flow downstream of the step is best described by a low-Reynolds-number model that does not depend on the conventional wall function assumption. However, the skin friction behavior is correctly predicted by the stipulation of a wall function. Of the three redistribution models examined, the return-to-isotropy model gives results that are in excellent agreement with measurements. Finally, the calculated results are adversely affected by refining the redistribution models to include meanstrain effects.     

一个离散型淋病数学模型的解的稳定性

本文采用标量李雅普诺夫函数的方法,研究了一个二维离散型淋病数学模型的解的稳定性,同时给出了稳定域的参数估计,并从理论上解释了这个模型的合理性。     

A reliability application of a mixture of inverse gaussian distributions

A mixture of inverse Gaussian distributions (IGDs) is examined as a model for the lifetime of components. The components differ in one of three ways: in their initial quality, rate of wear, or variability of wear. These three cases are well represented by the parameters of the IGD model. The mechanistic interpretation of the IGD as the first passage time of Brownian motion with positive drift is adopted. The parameters considered are either dichotomous or continuous random variables. Parameter estimation is also examined for these two cases. The model seems to be most appropriate when the single IGD model fails due to heterogeneity of the initial component quality.     

Modeling company failure: a longitudinal study of Turkish banks

Determining the factors related to the financial failure of a company is important. In this paper, we extend literature on bank failure prediction by modelling bank failures in Turkey from 1998 to 2000 using three statistical models combined with a principal component analysis on financial ratios. The three statistical models employed are a logistic regression, a logistic regression that takes serial correlation into account via generalized estimating equations and a marginalized transition model (MTM). Time and financial ratios that are related with capital adequacy and profitability, risk, non-interest income and Fx assets to Fx liabilities are found to be significant in classifying failed banks. Each of our methods achieves a correct classification rate of 93.3%. Among the three models, MTM, which is the soundest model in terms of statistical assumptions, shows slightly better model fit properties.     

Obtaining the dividends-penalty identities by interpretation

The dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit.     

On estimation and inference in a partially linear hazard model with varying coefficients

We study estimation and inference in a marginal proportional hazards model that can handle (1) linear effects, (2) non-linear effects and (3) interactions between covariates. The model under consideration is an amalgamation of three existing marginal proportional hazards models studied in the literature. Developing an estimation and inference procedure with desirable properties for the amalgamated model is rather challenging due to the co-existence of all three effects listed above. Much of the existing literature has avoided the problem by considering narrow versions of the model. The object of this paper is to show that an estimation and inference procedure that accommodates all three effects is within reach. We present a profile partial-likelihood approach for estimating the unknowns in the amalgamated model with the resultant estimators of the unknown parameters being root- \(n\) consistent and the estimated functions achieving optimal convergence rates. Asymptotic normality is also established for the estimators.     

Equivalent Timoshenko linear beam model for the static and dynamic analysis of tower buildings

A continuous Timoshenko linear beam model immersed in a three-dimensional space is introduced to study the static and dynamic behavior of tower buildings. A schematization of the building as a periodic system with rigid floors connected by deformable elements (columns and shear walls) is considered. The rigid floors are endowed with six degrees of freedom (three displacements and three rotations). The constitutive equations of the equivalent beam (coarse model) are identified from a discrete model of the three-dimensional frame (fine model) via a homogenization procedure. A complete linear constitutive law is obtained, with axial force coupled with bending and shear force coupled with torsion. The first aim is to investigate the relative importance of the macro-shear and macro-bending contributions to the deformation of the building. Then, the ability of the coarse model to reproduce the local stress distribution of the fine model is checked. Finally, the representativeness of the coarse model for the detection of the natural frequencies of the fine model is analyzed.     

一个药物作用肿瘤生长自由边界问题整体解的存在唯一性

该文研究一个描述药物作用下肿瘤生长的数学模型,这个肿瘤模型是对Jackson模型的一个改进,其数学形式是由一个二阶非线性抛物型方程与两个一阶非线性偏微分方程组耦合而成的自由边界问题.通过运用抛物型方程的L~P理论与一阶偏微分方程的特征方法,并利用Banach不动点定理,证明了该问题存在唯一的整体经典解.     

NGARCH模型在证券投资风险分析中的应用

应用NGARCH模型在三种分布假设下对上证综合指数进行了V aR风险值估计,并且与GARCH模型和APARCH模型估计结果作比较,通过返回检验,发现NGARCH模型应用于V aR估计是统计有效的,且优于GARCH和APARCH模型.     

一个模糊逼近器的改进及仿真

一个模糊逼近器的改进及仿真@岳士弘$浙江大学数学系!杭州310027 @张可村$西安交通大学数学系!西安710049~~