Robustness for Inhomogeneous Poisson Point Processes

We consider robustness for estimation of parametric inhomogeneous Poisson point processes. We propose an influence functional to measure the effect of contamination on estimates. We also propose an M-estimator as an alternative to maximum likelihood estimator, show its consistency and asymptotic normality.     

Inverse problems for quasi-variational inequalities

In this short note, our aim is to investigate the inverse problem of parameter identification in quasi-variational inequalities. We develop an abstract nonsmooth regularization approach that subsumes the total variation regularization and permits the identification of discontinuous parameters. We study the inverse problem in an optimization setting using the output-least squares formulation. We prove the existence of a global minimizer and give convergence results for the considered optimization problem. We also discretize the identification problem for quasi-variational inequalities and provide the convergence analysis for the discrete problem. We give an application to the gradient obstacle problem.     

New concepts in neutrosophic graphs with application

A neutrosophic set is a generalization of an intuitionistic fuzzy set. Neutrosophic models give more flexibility, precisions and compatibility to the system as compared to intuitionistic fuzzy models. In this research study, we apply the concept of neutrosophic sets to graphs and discuss certain concepts of single-valued neutrosophic graphs. We illustrate the concepts by several examples. We investigate some interesting properties. We describe an application of single-valued neutrosophic graph in decision making process. We also present the procedure of our proposed method as an algorithm.     

On the distribution tail of an integrated risk model: A numerical approach

We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.     

A multidomain discretization method with local mesh refinement

We introduce a nonconforming finite element formulation of asecond-order elliptic problem in the plane. The problem is posedon a domain which is partitioned into disjoint subregions andthe discrete problem is based on an independent triangulationby subregion. We use an integral matching condition at the interfaces.We prove quasi-optimal error estimates and propose an iterativesubstructuring algorithm to solve the system of linear equationsrelated to our discrete problem. The algorithm and its convergenceanalysis rely on an abstract framework of the additive Schwarzmethod.     

Cauchy problem for a class of integro-differential equations

We consider the Cauchy problem for integro-differential equations containing Wiener-Hopf operators. We define the characteristic polynomial of the problem. We show that if all roots of the characteristic polynomial have negative imaginary parts and the corresponding strong moment problem is solvable, then the problem is equivalent to a Wiener-Hopf integral equation. We consider an example of an application of the result to a problem related to nonlocal wave interaction.     

Numerical Optimal Harvesting for a Periodic Age-Structured Population Dynamics with Logistic Term

We investigate an optimal harvesting problem for age-structured population dynamics with logistic term and periodic vital rates. We use first-order necessary optimality conditions in order to derive an algorithm to approximate the optimal harvesting effort. We present corresponding numerical experiments.     

On superalgebras over operads

We show that the class of varieties of multioperator superalgebras, defined by multilinear identities and considered up to rational equivalence, coincides with the class of varieties of superalgebras over an operad. We define the concepts of Grassmann and Clifford envelopes in the most general case and study their properties. We define the concept of module over a superalgebra over an operad and the concept of universal enveloping superalgebra for an algebra over an operad and study their properties.     

Pseudosymmetric Lightlike Hypersurfaces in Indefinite Sasakian Space Forms

We study pseudosymmetric lightlike hypersurfaces of an indefinite Sasakian space form, tangent to the structure vector field. We obtain sufficient conditions for a lightlike hypersurface to be pseudosymmetric, pseudoparallel and Ricci-pseudosymmetric in an indefinite Sasakian space form. We also find certain conditions for a pseudosymmetric lightlike hypersurface of an indefinite Sasakian space form to be totally geodesic and check the effect of Weyl projective pseudosymmetry conditions on the geometry of a lightlike hypersurface of an indefinite Sasakian space form. Moreover we give some physical interpretations of pseudo-symmetry conditions.     

An alogrithm for monotonic global optimization problems ∗

We propose an algorithm to locate a global maximum of an increasing function subject to an increasing constraint on the cone of vectors with nonnegative coordinates. The algorithm is based on the outer approximation of the feasible set. We eastablish the con vergence of the algorithm and provide a number of numerical experiments. We also discuss the types of constraints and objective functions for which the algorithm is best suited     

A filtered no arbitrage model for term structures from noisy data

We consider an affine term structure model of interest rates, where the factors satisfy a linear diffusion equation. We assume that the information available to an agent comes from observing the yields of a finite number of traded bonds and that this information is not sufficient to reconstruct exactly the factors. We derive a method to obtain arbitrage-free prices of illiquid or non traded bonds that are compatible with the available incomplete information. The method is based on an application of the Kalman filter for linear Gaussian systems.     

Spherical basis functions and uniform distribution of points on spheres

The main purpose of the present paper is to employ spherical basis functions (SBFs) to study uniform distribution of points on spheres. We extend Weyl's criterion for uniform distribution of points on spheres to include a characterization in terms of an SBF. We show that every set of minimal energy points associated with an SBF is uniformly distributed on the spheres. We give an error estimate for numerical integration based on the minimal energy points. We also estimate the separation of the minimal energy points.     

Inessential Combinations and Colorings of Models

We define the operations of an inessential combination and an almost inessential combination of models and theories. We establish basedness for an (almost) inessential combination of theories. We also establish that the properties of smallness and -stability are preserved upon passing to (almost) inessential combinations of theories. We define the notions of coloring of a model, colored model, and colored theory, and transfer the assertions about combinations to the case of colorings. We characterize the inessential colorings of a polygonometry.     

Fractal methods and the problem of estimating scaling exponents: A new approach based on upper and lower linear bounds

The characterization of irregular objects with fractal methods often leads to the estimation of the slope of a function which is plotted versus a scale parameter. The slope is usually obtained with a linear regression. The problem is that the fit is usually not acceptable from the statistical standpoint. We propose a new approach in which we use two straight lines to bound the data from above and from below. We call these lines the upper and lower linear bounds. We propose to define these bounds as the solution of an optimization problem. We discuss the solution of this problem and we give an algorithm to obtain its solution. We use the difference between the upper and lower linear bounds to define a measure of the degree of linearity in the scaling range. We illustrate our method by analyzing the fluctuations of the variogram in a microresistivity well log from an oil reservoir in the North Sea.     

Estimates on the Distribution of the Condition Number of Singular Matrices

We exhibit some new techniques to study volumes of tubes about algebraic varieties in complex projective spaces. We prove the existence of relations between volumes and Intersection Theory in the presence of singularities. In particular, we can exhibit an average Bezout Equality for equidimensional varieties. We also state an upper bound for the volume of a tube about a projective variety. As a main outcome, we prove an upper bound estimate for the volume of the intersection of a tube with an equidimensional projective algebraic variety. We apply these techniques to exhibit upper bounds for the probability distribution of the generalized condition number of singular complex matrices.     

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smoothness of the solution processes of the qgBSDE, in particular we prove an extension of Zhang’s path regularity theorem to the quadratic growth setting. We give explicit convergence rates for the difference between the solution of a qgBSDE and its truncation, filling an important gap in numerics for qgBSDE. We give an alternative proof of second order Malliavin differentiability for BSDE with drivers that are Lipschitz continuous (and differentiable), and then derive an analogous result for qgBSDE.     

Sequences of Ordered Sets and Catalan Numbers

We define the down sets (lower covers, respectively) sequence of an ordered set. We show that the number of down set sequences of an n-ordered set is equal to the n-th Catalan Number. We give a characterization of down sets sequences of an ordered set and another characterization of lower covers sequences of an ordered set.     

On the Khintchine Constant

We present rapidly converging series for the Khintchine constant and for general ``Khintchine means' of continued fractions. We show that each of these constants can be cast in terms of an efficient free-parameter series, each series involving values of the Riemann zeta function, rationals, and logarithms of rationals. We provide an alternative, polylogarithm series for the Khintchine constant and indicate means to accelerate such series. We discuss properties of some explicit continued fractions, constructing specific fractions that have limiting geometric mean equal to the Khintchine constant. We report numerical evaluations of such special numbers and of various Khintchine means. In particular, we used an optimized series and a collection of fast algorithms to evaluate the Khintchine constant to more than 7000 decimal places.

     

Portfolio Optimization with Stochastic Volatilities and Constraints: An Application in High Dimension

In this paper we are interested in an investment problem with stochastic volatilities and portfolio constraints on amounts. We model the risky assets by jump diffusion processes and we consider an exponential utility function. The objective is to maximize the expected utility from the investor terminal wealth. The value function is known to be a viscosity solution of an integro-differential Hamilton-Jacobi-Bellman (HJB in short) equation which could not be solved when the risky assets number exceeds three. Thanks to an exponential transformation, we reduce the nonlinearity of the HJB equation to a semilinear equation. We prove the existence of a smooth solution to the latter equation and we state a verification theorem which relates this solution to the value function. We present an example that shows the importance of this reduction for numerical study of the optimal portfolio. We then compute the optimal strategy of investment by solving the associated optimization problem.