Quantifying the error of convex order bounds for truncated first moments

The concepts of convex order and comonotonicity have become quite popular in risk theory, essentially since Kaas et al. [Kaas, R., Dhaene, J., Goovaerts, M.J., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168] constructed bounds in the convex order sense for a sum S of random variables without imposing any dependence structure upon it. Those bounds are especially helpful, if the distribution of S cannot be calculated explicitly or is too cumbersome to work with. This will be the case for sums of lognormally distributed random variables, which frequently appear in the context of insurance and finance.In this article we quantify the maximal error in terms of truncated first moments, when S is approximated by a lower or an upper convex order bound to it. We make use of geometrical arguments; from the unknown distribution of S only its variance is involved in the computation of the error bounds. The results are illustrated by pricing an Asian option. It is shown that under certain circumstances our error bounds outperform other known error bounds, e.g. the bound proposed by Nielsen and Sandmann [Nielsen, J.A., Sandmann, K., 2003. Pricing bounds on Asian options. J. Financ. Quant. Anal. 38, 449-473].     

Stochastic functional partial differential equations of first order

Local or global solutions to first order stochastic functional partial differential equations of Ito type are investigated. The proofs are based on the characteristics and the successive approximations methods.The formulation includes retarded arguments and hereditary Volterra terms     

The boundary-value problem for differential-operator equations of the first order in a locally convex space

In this paper we describe a method that allows one to study boundary-value problems for the first-order differential-operator equations in an arbitrary locally convex space.     

Three periodic solutions for a nonlinear first order functional differential equation

This paper is concerned with the existence of three positive T-periodic solutions of the first order functional differential equations of the form

x^′(t)=a(t)x(t)-λb(t)f(t,x(h(t))),     

Characterization of subdifferentials of a singular convex functional in Sobolev spaces of order minus one

Subdifferentials of a singular convex functional representing the surface free energy of a crystal under the roughening temperature are characterized. The energy functional is defined on Sobolev spaces of order ?1, so the subdifferential mathematically formulates the energy?s gradient which formally involves 4th order spacial derivatives of the surface?s height. The subdifferentials are analyzed in the negative Sobolev spaces of arbitrary spacial dimension on which both a periodic boundary condition and a Dirichlet boundary condition are separately imposed. Based on the characterization theorem of subdifferentials, the smallest element contained in the subdifferential of the energy for a spherically symmetric surface is calculated under the Dirichlet boundary condition.     

Oscillatory properties of first order linear functional differential equations

Oscillatory properties of retarded and advanced functional differential equations are investigated.In the first part, the study concerns equations with piecewise constant arguments, which found applications in certain biomedical problems. Then, results of some authors are generalized for general equations with many argument deviations. Finally, applications are given to equations with linear transformations of the argument.     

A first order method for finding minimal norm-like solutions of convex optimization problems

We consider a general class of convex optimization problems in which one seeks to minimize a strongly convex function over a closed and convex set which is by itself an optimal set of another convex problem. We introduce a gradient-based method, called the minimal norm gradient method, for solving this class of problems, and establish the convergence of the sequence generated by the algorithm as well as a rate of convergence of the sequence of function values. The paper ends with several illustrating numerical examples.     

Existence theory for first order discontinuous functional differential equations

We prove the existence of extremal solutions for a first order functional differential equation subject to nonlinear boundary conditions of functional type. Moreover, the functions that define our problem are allowed to be discontinuous. The proof of our main result is based on a generalized iterative technique.

     

Anti-periodic solutions of nonlinear first order impulsive functional differential equations

The existence of anti-periodic solutions of the following nonlinear impulsive functional differential equations $$ x'(t) + a(t)x(t) = f(t,x(t),x(\alpha _1 (t)), \ldots ,x(\alpha _n (t))),t \in \mathbb{R},\Delta x(t_k ) = I_k (x(t_k )),k \in \mathbb{Z} $$ is studied. Sufficient conditions for the existence of at least one anti-periodic solution of the mentioned equation are established. Several new existence results are obtained.     

Boundary value problem for first order impulsive functional integro-differential equations

This paper investigates extremal solutions of the boundary value problem for impulsive functional integro-differential equations with nonlinear boundary conditions and deviating arguments. In the presence of a lower solution u and an upper solution v with u≥v, existence of extremal solutions is proved by establishing a new comparison principle and using the monotone iterative technique.     

Dilatation monotonicity and convex order

We study, for functions and sets, the relation between law invariance, preserving the convex or uniform order, and dilatation monotonicity based on duality arguments.     

Existence of nontrivial periodic solutions for first order functional differential equations

In this paper, in the case of not requiring the nonlinear terms to be non-negative the existence of nontrivial periodic solutions for the first order functional differential equations is considered by using the partial ordering theory.     

Oscillation theory of first order functional differential equations with deviating arguments

Summary New oscillation criteria are established for the first order functional differential equation (*) y'(t)+p(t)y(g(t))=0and its nonlinear analogue. The results are presented so that a remarkable duality existing between the case where (*) is retarded (g(t)t) is apparent. Possible extension of the results for (*) to equations with several deviating arguments is attempted. Finally, it is shown that there exists a class of autonomous equations for which the oscillation situation can be completely characterized.     

Multi-point boundary value problem of first order impulsive functional differential equations

In this paper, we introduce a new definition of lower and upper solutions for boundary value problem of first order impulsive functional differential equations with nonlinear multi-point boundary conditions. By developing a new maximum principle and using the monotone iterative technique, we obtain the extremal solutions of the boundary value problem.     

Nonlinear boundary value problem of first order impulsive functional differential equations

This paper discusses nonlinear boundary value problem for first order impulsive functional differential equations. We establish several existence results by using the lower and upper solutions and monotone iterative techniques. Two examples are discussed to illustrate the efficiency of the obtained results.