Visco‐elasto‐plastic model for martensitic phase transformation in shape‐memory alloys

Evolution of fine structure in martensite undergoing an isothermal process is modelled on a microscopic level by using a positive homogeneous dissipation potential which can reflect a specific energy needed for a phase transformation between different variants of martensite. The model thus naturally incorporates an activation phenomenon. Existence of a weak solution is proved together with convergence of finite‐element approximations. Numerical experiments showing the expected rate‐independent hysteresis response are also presented. Copyright © 2002 John Wiley & Sons, Ltd.     

A variational characterization of rate‐independent evolution

Rate‐independent evolution driven by non‐convex potentials is by nature non‐smooth and some weak solvability notions have been recently advanced. This note is intended to contribute to this discussion by proposing a variational characterization of rate‐independent evolution based on a variational principle and a maximal dissipation criterion. The resulting novel solution notion is assessed in an elementary yet critical scalar case (© 2009 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Rate‐independent processes in viscous solids at small strains

The so‐called generalized standard solids (of Halphen–Nguyen type) involving also activated typically rate‐independent processes such as plasticity, damage, or phase transformations are described as a system of a momentum equilibrium equation and a variational inequality for inelastic evolution of internal‐parameter variables. Various definitions of solutions are examined, especially from the viewpoint of the ability to combine rate‐independent processes and other rate‐dependent phenomena, as viscosity or also inertia. If those rate‐dependent phenomena are suppressed, then the system becomes fully rate‐independent. Illustrative examples are presented as well. Copyright © 2008 John Wiley & Sons, Ltd.     

Global existence of weak‐type solutions for models of monotone type in the theory of inelastic deformations

This article introduces the notion of weak‐type solutions for systems of equations from the theory of inelastic deformations, assuming that the considered model is of monotone type (for the definition see [Lecture Notes in Mathematics, 1998, vol. 1682]). For the boundary data associated with the initial‐boundary value problem and satisfying the safe‐load condition the existence of global in time weak‐type solutions is proved assuming that the monotone model is rate‐independent or of gradient type. Moreover, for models possessing an additional regularity property (see Section 5) the existence of global solutions in the sense of measures, defined by Temam in Archives for Rational Mechanics and Analysis, 95 : 137, is obtained, too. Copyright © 2002 John Wiley & Sons, Ltd.     

Sub‐linear capacity scaling for multi‐path channel models

The theoretic capacity of a communication system constituted of several transmitting/receiving elements is determined by the singular values of its transfer matrix. Results based on an independent identically distributed channel model, representing an idealized rich propagation environment, state that the capacity is directly proportional to the number of antennas. Nevertheless there is growing experimental evidence that the capacity gain can be at best scaled at a sub‐linear rate with the system size. In this paper, we show under appropriate assumptions on the transfer matrix of the system that the theoretic information‐capacity of multi‐antenna systems is upper bounded by a sub‐linear function of the number of transmitting/receiving links. Copyright © 2009 John Wiley & Sons, Ltd.     

A one‐dimensional computational model for hyperelastic string structures with Coulomb friction

In this paper, we consider a new model for the simulation of textiles with frictional contact between fibers and no bending resistance. In the model, one‐dimensional hyperelasticity and the Capstan equation are combined, and its connection with conventional hyperelasticity and Coulomb friction models is shown. Then, the model is formulated as a problem with the rate‐independent dissipation, and we prove that the problem possesses proper convexity and continuity properties. The article concludes with a numerical algorithm and provides numerical experiments along with a comparison of the results with a real measurement. Copyright © 2016 John Wiley & Sons, Ltd.     

The influence of the filler volume fraction on the mechanical behaviour of thermoplastic materials

Uniaxial experiments clarify that the mechanical behaviour of PTFE compounds depends strongly on the amount of filler particles. In order to describe these dependencies, a finite endochronic viscoplastic material model based on material isomorphisms has been applied to various glass fibre filled PTFE compounds. The model allows to characterize viscoplastic material behaviour with equilibrium hysteresis using a rate‐independent endochronic elastoplastic model in parallel connection with a nonlinear Maxwell model. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

A structural model of the higher‐order Markov process incorporating reversion effects

The paper presents a formal approach which may increase the realism and parsimony of higher‐order Markov models applied to certain human behaviors. Often in behavioral applications, any improvements in fit available from increasing the order of a Markov model would be more than offset by interpretive problems caused by the very rapid increase in the number of independent parameters. The model proposed here for the higher‐order process greatly reduces the number of independent parameters, replacing them with sociologically relevant effects of persistence in and reversion to previous conditions.

The general model is called the “reversion model.” In it, individuals are allowed to carry along some information about their pasts, for a number of periods corresponding to the order of the model. The parameters describing residence histories are constructed to give each individual an underlying set of first‐order transition probabilities, which are modified by experience of the various states of the system. When an individual occupies a particular state, his relative probability of future residence there (vis‐a‐vis the other states as a group) is permitted to change. But occupation of a particular state is not permitted to affect the relative chances of residence among the other states. With suitable constraints, the number of parameters of this higher‐order process no longer increases geometrically with the order, but only arithmetically.

Maximum likelihood estimation formulas are derived for the reversion model, which is then applied to longitudinal data on the work activities of U.S. Ph.D. physicists and chemists in 1960–1966, and is found to fit well using likelihood ratio tests.     

Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds

This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a one‐factor nominal interest rate and a one‐factor expected inflation rate, implying a two‐factor real interest rate in the economy. In contrast to other related research which adopts the one‐factor real interest rate model, the inflation‐indexed bond is not a redundant asset class even in a complete market. The infinitely risk‐averse investor would prefer to invest all her wealth in inflation‐indexed bonds maturing at the investment horizon. We also show that, with the two‐factor real interest rate model, the consumption‐wealth ratio is not determined by the real interest rate alone. The investor's consumption–wealth ratio is also affected by the nominal interest rate and expected inflation rate levels. The capital market is calibrated to U.S. stocks, bonds, and inflation data. The optimal weights show that aggressive investors hold more nominal bonds in order to earn the inflation risk premiums, while conservative investors concentrate on indexed bonds to hedge against the inflation risk. Copyright © 2011 John Wiley & Sons, Ltd.     

Emergent dynamics of the first‐order stochastic Cucker‐Smale model and application to finance

In this paper, we study stochastic aggregation properties of the financial model for the N‐asset price process whose dynamics is modeled by the weakly geometric Brownian motions with stochastic drifts. For the temporal evolution of stochastic components of drift coefficients, we employ a stochastic first‐order Cucker‐Smale model with additive noises. The asset price processes are weakly interacting via the stochastic components of drift coefficients. For the aggregation estimates, we use the macro‐micro decomposition of the fluctuations around the average process and show that the fluctuations around the average value satisfies a practical aggregation estimate over a time‐independent symmetric network topology so that we can control the differences of drift coefficients by tuning the coupling strength. We provide numerical examples and compare them with our analytical results. We also discuss some financial implications of our proposed model.     

Mesh‐independent convergence of the modified inexact Newton method for a second order non‐linear problem

In this paper, we consider an inexact Newton method applied to a second order non‐linear problem with higher order non‐linearities. We provide conditions under which the method has a mesh‐independent rate of convergence. To do this, we are required, first, to set up the problem on a scale of Hilbert spaces and second, to devise a special iterative technique which converges in a higher than first order Sobolev norm. We show that the linear (Jacobian) system solved in Newton's method can be replaced with one iterative step provided that the initial non‐linear iterate is accurate enough. The closeness criteria can be taken independent of the mesh size. Finally, the results of numerical experiments are given to support the theory. Published in 2005 by John Wiley & Sons, Ltd.     

A reliability semi‐Markov model involving geometric processes

We consider a semi‐Markov process that models the repair and maintenance of a repairable system in steady state. The operating and repair times are independent random variables with general distributions. Failures can be caused by an external source or by an internal source. Some failures are repairable and others are not. After a repairable failure, the system is not as good as new and our model reflects that. At a non‐repairable failure, the system is replaced by a new one. We assume that external failures occur according to a Poisson process. Moreover, there is an upper limit N of repairs, it is replaced by a new system at the next failure, regardless of its type. Operational and repair times are affected by multiplicative rates, so they follow geometric processes. For this system, the stationary distribution and performance measures as well as the availability and the rate of occurrence of different types of failures in stationary state are calculated. Copyright © 2002 John Wiley & Sons, Ltd.     

Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk‐free asset and one risky asset whose price process is an exponential Lévy process. The claim sizes are assumed to follow a one‐sided linear process with independent and identically distributed step sizes. When the step‐size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright © 2012 John Wiley & Sons, Ltd.     

Time decay rate for two 3D magnetohydrodynamics‐ α models

We consider the long time behavior of solutions to the magnetohydrodynamics‐ α model in three spatial dimensions. Time decay rate in L²‐norm of the solution is obtained. Similar results for a generalized Leray‐ α‐magnetohydrodynamics model are also established. As a by‐product, an optimal time decay rate for the Navier–Stokes‐ α model is achieved. Copyright © 2013 John Wiley & Sons, Ltd.     

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     

On the cut‐off phenomenon for the transitivity of randomly generated subgroups

Consider K ≥ 2 independent copies of the random walk on the symmetric group S_N starting from the identity and generated by the products of either independent uniform transpositions or independent uniform neighbor transpositions. At any time $n\in \mathbb{N}$, let G_n be the subgroup of S_N generated by the K positions of the chains. In the uniform transposition model, we prove that there is a cut‐off phenomenon at time N ln(N)/(2K) for the non‐existence of fixed point of G_n and for the transitivity of G_n, thus showing that these properties occur before the chains have reached equilibrium. In the uniform neighbor transposition model, a transition for the non‐existence of a fixed point of G_n appears at time of order $N^{1+\frac{2}{K}}$ (at least for K ≥ 3), but there is no cut‐off phenomenon. In the latter model, we recover a cut‐off phenomenon for the non‐existence of a fixed point at a time proportional to N by allowing the number K to be proportional to ln(N). The main tools of the proofs are spectral analysis and coupling techniques. © 2011 Wiley Periodicals, Inc. Random Struct. Alg., 2012     

Homogenization of a fully coupled thermoelasticity problem for a highly heterogeneous medium with a priori known phase transformations

We investigate a linear, fully coupled thermoelasticity problem for a highly heterogeneous, two‐phase medium. The medium in question consists of a connected matrix with disconnected, initially periodically distributed inclusions separated by a sharp interface undergoing an a priori known interface movement because of phase transformations. After transforming the moving geometry to an ? ‐periodic, fixed reference domain, we establish the well‐posedness of the model and derive a number of ? ‐independent a priori estimates. Via a two‐scale convergence argument, we then show that the ? ‐dependent solutions converge to solutions of a corresponding upscaled model with distributed time‐dependent microstructures. Copyright © 2017 John Wiley & Sons, Ltd.     

Simultaneity and non‐linear variability in financial markets: simulation and forecasting

Non‐linear variability in financial markets can emerge from several mechanisms, including simultaneity and time‐varying coefficients. In simultaneous equation systems, the reduced‐form coefficients that determine the behaviour of jointly dependent variables are products and ratios of the original structural coefficients. If the coefficients are stochastic, the resulting multiplicative interactions will result in high degrees of non‐linearity. Processes generated in this way will scale as fractals: they will exhibit intermittent outliers and scaling symmetries, i.e. proportionality relationships between fluctuations at different separation distances. A model is specified in which both the exchange rate itself and the exchange rate residual exhibit simultaneity. The exchange rate depends on other exchange rates, while the residual depends on the other residuals. The model is then simulated using embedding noise from a t‐distribution. The simulations replicate the observed properties of exchange rates, heavy‐tailed distributions and long memory in the variance. A forecasting algorithm is specified in two stages. The first stage is a model for the actual process. In the second stage the residuals are modelled as a function of the predicted rate of change. The first and second stage models are then combined. This algorithm exploits the scaling symmetry: the residual is proportional to the predicted rate of change at separation distances corresponding to the forecast horizon. The procedure is tested empirically on three exchange rates. At a daily frequency and a 1‐day forecast horizon, two‐stage models reduce the forecast error by one fourth. At a 5‐day horizon, the improvement is 10–15 percent. At a weekly frequency, the improvement at the 1‐week horizon is on the order of 30–40 percent. Copyright © 2006 John Wiley & Sons, Ltd.     

Finite‐dimensional Realizations of Regime‐switching HJM Models

This paper studies Heath–Jarrow–Morton‐type models with regime‐switching stochastic volatility. In this setting the forward rate volatility is allowed to depend on the current forward rate curve as well as on a continuous time Markov chain y with finitely many states. Employing the framework developed by Björk and Svensson we find necessary and sufficient conditions on the volatility guaranteeing the representation of the forward rate process by a finite‐dimensional Markovian state space model. These conditions allow us to investigate regime‐switching generalizations of some well‐known models such as those by Ho–Lee, Hull–White, and Cox–Ingersoll–Ross.