Time to Sell a Fixed Quantity of Stock Depleted by Distributed Demand

The probability density function of the time to sell a fixed quantity of stock depleted by a distributed demand is derived for block depletion and continuous depletion. The mean time to sell is obtained for (i) gamma-distributed demand and block depletion and (ii) normally distributed demand and continuous depletion.     

Numerical Solution of non-Homogeneous Semi-Markov Processes in Transient Case*

In this article a numerical solution for the evolution equation of a continuous time non-homogeneous semi-Markov process (NHSMP) is obtained using a quadrature method. The paper, after a short introduction to continuous time NHSMP, presents the numerical solution of the process evolution equation with a general quadrature method. Furthermore, the paper gives results that justify this approach, proving that the numerical solution tends to the evolution equation of the continuous time NHSMP. Moreover, the formulae related to some specific quadrature methods are given and a method for obtaining the discrete time NHSMP by applying a very particular quadrature formula for the discretization is shown. In this way the relation between the continuous and discrete time NHSMP is proved. Then, the problem of obtaining the continuous time NHSMP from the discrete one is considered. This problem is solved showing that the discrete process converges in law to the continuous one if the discretized time interval tends to zero. In addition, the discrete time NHSMP in matrix form is presented, and the fact that the solution to this process always exists is proved. Finally, an algorithm for solving the discrete time NHSMP is given. To illustrate the use of this algorithm for a discrete NHSMP, an example in the area of finance is presented.     

Nonregressivity in switched linear circuits and mechanical systems

We analyze several examples of switched linear circuits and a switched spring–mass system to illustrate the physical manifestations of regressivity and nonregressivity for discrete and continuous time systems as well as hybrid discrete/continuous systems from a time scales perspective. These examples highlight the role that nonregressivity plays in modeling and applications, and they point out a fascinating dichotomy between purely continuous systems and discrete, continuous, or hybrid systems. We conclude with a physically realizable null space criterion for inducing nonregressivity.     

Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach

We present an approach for the transition from convex risk measures in a certain discrete time setting to their counterparts in continuous time. The aim of this paper is to show that a large class of convex risk measures in continuous time can be obtained as limits of discrete time-consistent convex risk measures. The discrete time risk measures are constructed from properly rescaled (‘tilted’) one-period convex risk measures, using a d-dimensional random walk converging to a Brownian motion. Under suitable conditions (covering many standard one-period risk measures) we obtain convergence of the discrete risk measures to the solution of a BSDE, defining a convex risk measure in continuous time, whose driver can then be viewed as the continuous time analogue of the discrete ‘driver’ characterizing the one-period risk. We derive the limiting drivers for the semi-deviation risk measure, Value at Risk, Average Value at Risk, and the Gini risk measure in closed form.     

Continuous Accumulation Games in Continuous Regions

In a continuous accumulation game on a continuous region, a Hider distributes material over a continuous region at each instant of discrete time, and a Seeker examines the region. If the Seeker locates any of the material hidden, the Seeker confiscates it. The goal of the Hider is to accumulate a certain amount of material before a given time, and the goal of the Seeker is to prevent this. In previous works, we have studied accumulation games involving discrete objects and continuous material over discrete locations. The issues raised when the region is continuous are substantially different. In this paper, we study accumulation of continuous material over two types of continuous regions: the interval and the circle.     

Constructions of strict Lyapunov functions for discrete time and hybrid time-varying systems

We provide explicit closed form expressions for strict Lyapunov functions for time-varying discrete time systems. Our Lyapunov functions are expressed in terms of known nonstrict Lyapunov functions for the dynamics and finite sums of persistency of excitation parameters. This provides a discrete time analog of our previous continuous time Lyapunov function constructions. We also construct explicit strict Lyapunov functions for systems satisfying nonstrict discrete time analogs of the conditions from Matrosov’s Theorem. We use our methods to build strict Lyapunov functions for time-varying hybrid systems that contain mixtures of continuous and discrete time evolutions.     

Problems with the estimation of stochastic differential equations using structural equations models

The present paper deals with the identification and maximum likelihood estimation of systems of linear stochastic differential equations using panel data. So we only have a sample of discrete observations over time of the relevant variables for each individual. A popular approach in the social sciences advocates the estimation of the “exact discrete model” after a reparameterization with LISREL or similar programs for structural equations models. The “exact discrete model” corresponds to the continuous time model in the sense that observations at equidistant points in time that are generated by the latter system also satisfy the former. In the LISREL approach the reparameterized discrete time model is estimated first without taking into account the nonlinear mapping from the continuous to the discrete time parameters. In a second step, using the inverse mapping, the fundamental system parameters of the continuous time system in which we are interested, are inferred. However, some severe problems arise with this “indirect approach”. First, an identification problem may arise in multiple equation systems, since the matrix exponential function denning some of the new parameters is in general not one‐to‐one, and hence the inverse mapping mentioned above does not exist. Second, usually some sort of approximation of the time paths of the exogenous variables is necessary before the structural parameters of the system can be estimated with discrete data. Two simple approximation methods are discussed. In both approximation methods the resulting new discrete time parameters are connected in a complicated way. So estimating the reparameterized discrete model by OLS without restrictions does not yield maximum likelihood estimates of the desired continuous time parameters as claimed by some authors. Third, a further limitation of estimating the reparameterized model with programs for structural equations models is that even simple restrictions on the original fundamental parameters of the continuous time system cannot be dealt with. This issue is also discussed in some detail. For these reasons the “indirect method” cannot be recommended. In many cases the approach leads to misleading inferences. We strongly advocate the direct estimation of the continuous time parameters. This approach is more involved, because the exact discrete model is nonlinear in the original parameters. A computer program by Hermann Singer that provides appropriate maximum likelihood estimates is described.     

Dynamics of a continuous Hénon model

We study a continuous Hénon system obtained by considering the discrete original model in continuous time. While the dynamics of the continuous model is trivial, we are able to recover the complexity of the discrete model by the introduction of time delays. In particular, high period limit cycles and chaotic attractors are observed. We illustrate the results with some numerical simulations.     

The continuous kalman filter as the limit of the discrete kalman filter

In this paper we present a rigorous proof of the commonly held belief that the continuous time Kalman filter equations can be obtained as the limit of the discrete time Kalman filter equations. This is done by creating a uniformly integrable martingale using the discrete filter and showing that its limit, is the continuous filter     

A discrete Fourier transform based on Simpson's rule

Fourier analysis plays a vital role in the analysis of continuous‐time signals. In many cases, we are forced to approximate the Fourier coefficients based on a sampling of the time signal. Hence, the need for a discrete transformation into the frequency domain giving rise to the classical discrete Fourier transform. In this paper, we present a transformation that arises naturally if one approximates the Fourier coefficients of a continuous‐time signal numerically using the Simpson quadrature rule. This results in a decomposition of the discrete signal into two sequences of equal length. We show that the periodic discrete time signal can be reconstructed completely from its discrete spectrum using an inverse transform. We also present many properties satisfied by this transform. Copyright © 2012 John Wiley & Sons, Ltd.     

Periodic solutions of a nonautonomous periodic model of population with continuous and discrete time

In this paper, we employ the Mawhin's continuation theorem to study the existence of positive periodic solutions of the nonautonomous periodic model of population with continuous and discrete time. It is interesting that the conditions to guarantee the existence of positive periodic solutions of discrete time model are similar to those for the corresponding continuous time model.     

抛物方程时间连续有限元全离散格式的超收敛性

利用张量积分解和时间方向单元正交分解,证明了线性抛物型方程的时间连续全离散有限元在单元节点和内部的特征点的超收敛性.并用连续有限元计算了非线性Schrodinger方程,验证了能量的守恒性.计算结果与理论相吻合.     

An approximation of known accuracy for single server queues with inhomogeneous arrival rate and continuous service time distribution

A practical method for obtaining approximate results for single server queues with inhomogeneous queues and continuous service time distribution is presented. The method is based on a discrete approximation to the continuous service time distribution. Exact results can be obtained for the corresponding queueing system with discrete service time distribution. These results are then corrected, and the likely accuracy of the corrected results is estimated. Four measures of performance are considered, idleness probability, mean and variance of number of customers in the system and virtual waiting time.     

Discrete time market with serial correlations and optimal myopic strategies

The paper studies discrete time market models with serial correlations. We found a market structure that ensures that the optimal strategy is myopic for the case of both power or log utility function. In addition, discrete time approximation of optimal continuous time strategies for diffusion market is analyzed. It is found that the performance of optimal myopic diffusion strategies cannot be approximated by optimal strategies with discrete time transactions that are optimal for the related discrete time market model.     

Almost sure convergence of continuous time branching processes

We prove necessary and sufficient conditions for the transience of the non-zero states in a non-homogeneous, continuous time Markov branching process. The result is obtained by passing from results about the discrete time skeleton of the continuous time chain to the continuous time chain itself. An alternative proof of a result for continuous time Markov branching processes in random environments is then given, showing that earlier moment conditions were not necessary.     

Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Case–a Straightforward Approach

This paper presents the numerical solution of the process evolution equation of a homogeneous semi-Markov process (HSMP) with a general quadrature method. Furthermore, results that justify this approach proving that the numerical solution tends to the evolution equation of the continuous time HSMP are given. The results obtained generalize classical results on integral equation numerical solutions applying them to particular kinds of integral equation systems. A method for obtaining the discrete time HSMP is shown by applying a very particular quadrature formula for the discretization. Following that, the problem of obtaining the continuous time HSMP from the discrete one is considered. In addition, the discrete time HSMP in matrix form is presented and the fact that the solution of the evolution equation of this process always exists is proved. Afterwards, an algorithm for solving the discrete time HSMP is given. Finally, a simple application of the HSMP is given for a real data social security example.     

Hybrid observer design for linear switched system via Differential Petri Nets

The aim of this paper is to propose a hybrid observer design for linear switched systems modelled either via Differential Petri Nets (DPN) or via Timed Differential Petri Nets (TDPN). The switched systems, herein, considered are characterized by switching laws that can depend on the continuous states or on both of a given dwell time and the continuous states. In addition, the structure of the proposed observers is based on a discrete observer and a continuous observer on interaction. The discrete observer reconstructs the discrete mode, by estimating both of the discrete marking and the firing vector. Once, the active mode is obtained, the continuous states are estimated. Finally, the outputs of the continuous observer are used to update the marking and the firing vector. At the end of the paper, several simulation results are presented to illustrate the proposed approach.     

Some contributions with Petri nets for the modelling, analysis and control of HDS

Petri nets (PN) are useful for the modelling, analysis and control of hybrid dynamical systems (HDS) because PN combine in a comprehensive way discrete events and continuous behaviours. On one hand, PN are suitable for modelling the discrete part of HDS and for providing a discrete abstraction of continuous behaviours. On the other hand, continuous PN are suitable for modelling the continuous part of HDS and for working out a continuous approximation of the discrete part in order to avoid the complexity associated with the exponential growth of discrete states. This paper focuses on the advantages of PN as a modelling tool for HDS. Investigations of such models for diagnosis and control issues are detailed.

Taking inspiration from the discrete event approach, sensor selection for diagnosis is discussed according to the structural analysis of the PN models. Faults are represented with fault transitions and a faulty behaviour occurs when a sequence of transitions is fired that contains at least one fault transition. Minimal sets of observable places are defined for detecting and isolating faulty behaviours.

Taking inspiration from the continuous time approach, flow control of HDS modelled with continuous PN is also investigated. Gradient-based controllers are introduced in order to adapt the firing speeds of some controllable transitions according to a desired trajectory of the marking. The equilibria and stability of the controlled system are studied with Lyapunov functions.     

Inventory control as a discrete system control for the fixed-order quantity system

This paper shows how to model a problem to find optimal number of replenishments in the fixed-order quantity system as a basic problem of optimal control of the discrete system. The decision environment is deterministic and the time horizon is finite. A discrete system consists of the law of dynamics, control domain and performance criterion. It is primarily a simulation model of the inventory dynamics, but the performance criterion enables various order strategies to be compared. The dynamics of state variables depends on the inflow and outflow rates. This paper explicitly defines flow regulators for the four patterns of the inventory: discrete inflow – continuous/discrete outflow and continuous inflow – continuous/discrete outflow. It has been discussed how to use suggested model for variants of the fixed-order quantity system as the scenarios of the model. To find the optimal process, the simulation-based optimization is used.     

Stochastic hybrid system with non-homogeneous jumps

A study of a class of stochastic hybrid dynamic processes is investigated. The hybrid dynamic process is composed of both continuous and discrete time states. In this work we assume that its continuous time state is driven by the Brownian motion process, while the transitions of its discrete time state are governed by either a non-homogeneous Poisson process or by hitting the boundaries. Under this formulation we develop an infinitesimal generator of the stochastic hybrid dynamic process. Moreover we obtain results concerning the quantitative properties of the solution process. A few illustrative examples are presented.