The expected discounted penalty function under a risk model with stochastic income

Quantities of interest in ruin theory are investigated under the general framework of the expected discounted penalty function, assuming a risk model where both premiums and claims follow compound Poisson processes. Both a defective renewal equation and an integral equation satisfied by the expected discounted penalty function are established. Some implications that these equations have on particular quantities such as the discounted deficit and the probability of ultimate ruin are illustrated. Finally, the case when premiums have Erlang(n,β) distribution and the distribution of the claims is arbitrary is investigated in more depth. Throughout the paper specific examples where claims and premiums have particular distributions are provided.     

A superlinear space decomposition algorithm for constrained nonsmooth convex program

A class of constrained nonsmooth convex optimization problems, that is, piecewise C² convex objectives with smooth convex inequality constraints are transformed into unconstrained nonsmooth convex programs with the help of exact penalty function. The objective functions of these unconstrained programs are particular cases of functions with primal-dual gradient structure which has connection with VU space decomposition. Then a VU space decomposition method for solving this unconstrained program is presented. This method is proved to converge with local superlinear rate under certain assumptions. An illustrative example is given to show how this method works.     

Soliton solutions of a BBM(m, n) equation with generalized evolution

We consider a BBM(m, n) equation which is a generalization of the celebrated Benjamin-Bona-Mahony equation with generalized evolution term. By using two solitary wave ansatze in terms of sech^p(x) and tanh^p(x) functions, we find exact analytical bright and dark soliton solutions for the considered model. The physical parameters in the soliton solutions are obtained as function of the dependent model coefficients. The conditions of existence of solitons are presented. Note that, it is always useful and desirable to construct exact analytical solutions especially soliton-type envelope for the understanding of most nonlinear physical phenomena.     

Nonlinear functionals of the Boltzmann equation and uniform stability estimates

We present nonlinear functionals measuring physical space variation and L¹-distance between two classical solutions for the Boltzmann equation with a cut-off inverse power potential. In the case that initial datum is a small, smooth perturbation of vacuum and decays fast enough in the phase space, we show that these functionals satisfy stability estimates which lead to BV-type estimates and a uniform L¹-stability.     

Filling polygonal holes with minimal energy surfaces on Powell-Sabin type triangulations

In this paper we present two different methods for filling in a hole in an explicit 3D surface, defined by a smooth function f in a part of a polygonal domain D⊂R². We obtain the final reconstructed surface over the whole domain D. We do the filling in two different ways: discontinuous and continuous. In the discontinuous case, we fill the hole with a function in a Powell-Sabin spline space that minimizes a linear combination of the usual seminorms in an adequate Sobolev space, and approximates (in the least squares sense) the values of f and those of its normal derivatives at an adequate set of points. In the continuous case, we will first replace f outside the hole by a smoothing bivariate spline s_f, and then we fill the hole also with a Powell-Sabin spline minimizing a linear combination of given seminorms. In both cases, we obtain existence and uniqueness of solutions and we present some graphical examples, and, in the continuous case, we also give a local convergence result.     

Binary relations and reduced hypergroups

Different partial hypergroupoids are associated with binary relations defined on a set H. In this paper we find sufficient and necessary conditions for these hypergroupoids in order to be reduced hypergroups. Given two binary relations ρ and σ on H we investigate when the hypergroups associated with the relations ρ∩σ, ρ∪σ and ρσ are reduced. We also determine when the cartesian product of two hypergroupoids associated with a binary relation is a reduced hypergroup.     

Bartholdi zeta functions of some graphs

We give a decomposition formula for the Bartholdi zeta function of a graph G which is partitioned into some irregular coverings. As a corollary, we obtain a decomposition formula for the Bartholdi zeta function of G which is partitioned into some regular coverings.     

An approximate method via Taylor series for stochastic functional differential equations

The subject of this paper is an analytic approximate method for stochastic functional differential equations whose coefficients are functionals, sufficiently smooth in the sense of Fréchet derivatives. The approximate equations are defined on equidistant partitions of the time interval, and their coefficients are general Taylor expansions of the coefficients of the initial equation. It will be shown that the approximate solutions converge in the Lp-norm and with probability one to the solution of the initial equation, and also that the rate of convergence increases when degrees in Taylor expansions increase, analogously to real analysis.     

Global existence of dissipative solutions to the Hunter-Saxton equation via vanishing viscosity

Using the vanishing viscosity method, we prove the global existence of dissipative weak solutions to the Hunter-Saxton equation that describes the propagation of waves in a massive director field of a nematic liquid crystal. Our main tool is the Lp Young measure theory. We also derive the upper bound on the convergence rate for the vanishing viscosity approximations.     

Further improved recursions for a class of compound Poisson distributions

In the present paper we develop more efficient recursive formulae for the evaluation of the t-order cumulative function Γ^th(x) and the t-order tail probability Λ^th(x) of the class of compound Poisson distributions in the case where the derivative of the probability generating function of the claim amounts can be written as a ratio of two polynomials. These efficient recursions can be applied for the exact evaluation of the probability function (given by De Pril [De Pril, N., 1986a. Improved recursions for some compound Poisson distributions. Insurance Math. Econom. 5, 129-132]), distribution function, tail probability, stop-loss premiums and t-order moments of stop-loss transforms of compound Poisson distributions. Also, efficient recursive algorithms are given for the evaluation of higher-order moments and r-order factorial moments about any point for this class of compound Poisson distributions. Finally, several examples of discrete claim size distributions belonging to this class are also given.     

Entropy solutions for a doubly nonlinear elliptic problem with variable exponent

We study the boundary value problem in Ω, u=0 on ∂Ω, where Ω is a smooth bounded domain in RN (N?3) and is a p(x)-Laplace type operator with p(.):Ω→[1,+∞) a measurable function and b a continuous and nondecreasing function from R→R. We prove the existence and uniqueness of an entropy solution for L¹-data f.     

Group actions and Helly's theorem

We describe a connection between the combinatorics of generators for certain groups and the combinatorics of Helly's 1913 theorem on convex sets. We use this connection to prove fixed point theorems for actions of these groups on nonpositively curved metric spaces. These results are encoded in a property that we introduce called “property FAr”, which reduces to Serre's property FA when r=1. The method applies to S-arithmetic groups in higher Q-rank, to simplex reflection groups (including some nonarithmetic ones), and to higher rank Chevalley groups over polynomial and other rings (for example SLn(Z[x₁,…,xd]), n>2).     

Convergence of a stochastic particle approximation for fractional scalar conservation laws

We are interested in a probabilistic approximation of the solution to scalar conservation laws with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation is based on a stochastic differential equation driven by an α-stable Lévy process and involving a nonlinear drift. The approximation is constructed using a system of particles following a time-discretized version of this stochastic differential equation, with nonlinearity replaced by interaction. We prove convergence of the particle approximation to the solution of the conservation law as the number of particles tends to infinity whereas the discretization step tends to 0 in some precise asymptotics.     

A new Bartholdi zeta function of a digraph II

We introduce a new type of the Bartholdi zeta function of a digraph D. Furthermore, we define a new type of the Bartholdi L-function of D, and give a determinant expression of it. We show that this L-function of D is equal to the L-function of D defined in [H. Mizuno, I. Sato, A new Bartholdi zeta function of a digraph, Linear Algebra Appl. 423 (2007) 498-511]. As a corollary, we obtain a decomposition formula for a new type of the Bartholdi zeta function of a group covering of D by new Bartholdi L-functions of D.     

Applying numerical continuation to the parameter dependence of solutions of the Schrödinger equation

In molecular reactions at the microscopic level, the appearance of resonances has an important influence on the reactivity. It is important to predict when a bound state transitions into a resonance and how these transitions depend on various system parameters such as internuclear distances. The dynamics of such systems are described by the time-independent Schrödinger equation and the resonances are modeled by poles of the S-matrix.Using numerical continuation methods and bifurcation theory, techniques which find their roots in the study of dynamical systems, we are able to develop efficient and robust methods to study the transitions of bound states into resonances. By applying Keller’s Pseudo-Arclength continuation, we can minimize the numerical complexity of our algorithm. As continuation methods generally assume smooth and well-behaving functions and the S-matrix is neither, special care has been taken to ensure accurate results.We have successfully applied our approach in a number of model problems involving the radial Schrödinger equation.     

Approximating tensor product Bézier surfaces with tangent plane continuity

We present a simple method for degree reduction of tensor product Bézier surfaces with tangent plane continuity in L₂-norm. Continuity constraints at the four corners of surfaces are considered, so that the boundary curves preserve endpoints continuity of any order α. We obtain matrix representations for the control points of the degree reduced surfaces by the least-squares method. A simple optimization scheme that minimizes the perturbations of some related control points is proposed, and the surface patches after adjustment are C^∞ continuous in the interior and G¹ continuous at the common boundaries. We show that this scheme is applicable to surface patches defined on chessboard-like domains.     

Projected gradient iteration for nonlinear operator equation

In this paper, we use a projected gradient algorithm to solve a nonlinear operator equation with ?_p-norm (1<p≤2) constraint. Gradient iterations with ?_p-norm constraints have been studied recently both in the context of inverse problem and of compressed sensing. In this paper, the constrained gradient iteration is implemented via a projected operator. We establish the ?₂-norm convergence of sequence constructed by the constrained gradient iteration when p∈(1,2]. The performance of the method is testified by a numerical example.     

Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts

Gerber-Shiu analysis with the generalized penalty function proposed by Cheung et al. (in press-a) is considered in the Sparre Andersen risk model with a K_n family distribution for the interclaim time. A defective renewal equation and its solution for the present Gerber-Shiu function are derived, and their forms are natural for analysis which jointly involves the time of ruin and the surplus immediately prior to ruin. The results are then used to find explicit expressions for various defective joint and marginal densities, including those involving the claim causing ruin and the last interclaim time before ruin. The case with mixed Erlang claim amounts is considered in some detail.     

Continuous block implicit hybrid one-step methods for ordinary and delay differential equations

A class of high order continuous block implicit hybrid one-step methods has been proposed to solve numerically initial value problems for ordinary and delay differential equations. The convergence and Aω-stability of the continuous block implicit hybrid methods for ordinary differential equations are studied. Alternative form of continuous extension is constructed such that the block implicit hybrid one-step methods can be used to solve delay differential equations and have same convergence order as for ordinary differential equations. Some numerical experiments are conducted to illustrate the efficiency of the continuous methods.     

Statistical convergence and ideal convergence for sequences of functions

Let I⊂P(N) stand for an ideal containing finite sets. We discuss various kinds of statistical convergence and I-convergence for sequences of functions with values in R or in a metric space. For real valued measurable functions defined on a measure space (X,M,μ), we obtain a statistical version of the Egorov theorem (when μ(X)<∞). We show that, in its assertion, equi-statistical convergence on a big set cannot be replaced by uniform statistical convergence. Also, we consider statistical convergence in measure and I-convergence in measure, with some consequences of the Riesz theorem. We prove that outer and inner statistical convergences in measure (for sequences of measurable functions) are equivalent if the measure is finite.