Optimal risk sharing under distorted probabilities

We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under third-party constraints is also considered. We obtain an explicit formula for Pareto optimal allocations. In particular, we find that a stop-loss or deductible risk sharing is optimal in the case of two agents and several common distortion functions. This extends recent result of Jouini et al. (Adv Math Econ 9:49–72, 2006) to the problem with unbounded risks and market frictions.      

Characterizations of monotone and 2-monotone capacities

Given a capacityc and a probability measurep on a finite set, there is a natural way to combinec andp to produce a measure. For fixedc, these measures are probability measures for allp precisely whenc is monotone, and dominatec for allp precisely whenc is 2-monotone.     

精确罚函数和极小极大问题

在这篇文章中我们研究了对于不等式约束的非线性规划问题如何根据极小极大问题的鞍点来找精确罚问题的解。对于一个具有不等式约束的非线性规划问题,通过罚函数,我们构造出一个极小极大问题,应用交换“极小”或“极大”次序的策略,证明了罚问题的鞍点定理。研究结果显示极小极大问题的鞍点是精确罚问题的解。     

Exact Boundary Controllability and Exact Boundary Observability for a Coupled System of Quasilinear Wave Equations

Based on the theory of semi-global classical solutions to quasilinear hyperbolic systems, the authors apply a unified constructive method to establish the local exact boundary(null) controllability and the local boundary(weak) observability for a coupled system of 1-D quasilinear wave equations with various types of boundary conditions.     

The use of Markov operators to constructing generalised probabilities

A new approach to constructing generalised probabilities is proposed. It is based on the models using lower and upper previsions, or equivalently, convex sets of probability measures. Our approach uses sets of Markov operators in the role of rules preserving desirability of gambles. The main motivation being the operators of conditional expectations which are usually assumed to reduce riskiness of gambles. Imprecise probability models are then obtained in the ways to be consistent with those desirability preserving rules. The consistency criteria are based on the existing interpretations of models using imprecise probabilities. The classical models based on lower and upper previsions are shown to be a special class of the generalised models. Further, we generalise some standard extension procedures, including the marginal extension and independent products, which can be defined independently of the existing procedures known for standard models.     

RLW—Burgers方程的精确解

借助未知函数的变换，ＲＬＷ－Ｂｕｒｇｅｒｓ方程和ＫｄＶ－Ｂｕｒｇｅｒｓ方程化为易于求解的齐次形式的方程，从而得到ＲＬＷ－Ｂｕｒｇｅｒｓ方程和ＫｄＶ－Ｂｕｒｇｅｒｓ方程的精确解。     

On distorted probabilities and m-separable fuzzy measures

Fuzzy measures are used in conjunction with fuzzy integrals for aggregation. Their role in the aggregation is to permit the user to express the importance of the information sources (either criteria or experts). Due to the fact that fuzzy measures are set functions, the definition of such measures requires the definition of 2ⁿ parameters, where n is the number of information sources. To make the definition easier, several families of fuzzy measures have been defined in the literature.In this paper m-separable fuzzy measures are introduced. We present some results on this type of measures and we relate them to some of the previous existing ones. We study generating functions for m-separable fuzzy measures and some properties related to these generating functions.     

Wick型随机Kadomtsev-Petviashvili方程的精确解

利用Hermite变换和Tanh函数法,研究了Wick型随机Kadomtsev-Petviashvili(KP)方程,得到其三种类型不同的随机精确解.     

非线性发展方程新的显式精确解

借助Ｍａｔｈｅｍａｔｉｃａ系统,采用三角函数法和吴文俊消元法,本文获得了著名的２＋１维ＫＰ方程的若干精确解,其中包括新的精确解和孤波解．在此基础上,进而得到著名ＫｄＶ方程、Ｈｉｒｏｔａ－Ｓａｔｓｕｍａ方程和耦合ＫｄＶ方程的一些精确解．     

Exact Controllability and Asymptotic Analysis for Shallow Shells

The authors consider the exact controllability of the vibrations of a thin shallow shell, of thickness 2εwith controls imposed on the lateral surface and at the top and bottom of the shell. Apart from proving the existence of exact controls, it is shown that the solutions of the three dimensional exact controllability problems converge, as the thickness of the shell goes to zero, to the solution of an exact controllability problem in two dimensions.     

Exact penalty functions and stability in locally Lipschitz programming

In this paper we extend the theory of exact penalty functions for nonlinear programs whose objective functions and equality and inequality constraints are locally Lipschitz; arbitrary simple constraints are also allowed. Assuming a weak stability condition, we show that for all sufficiently large penalty parameter values an isolated local minimum of the nonlinear program is also an isolated local minimum of the exact penalty function. A tight lower bound on the parameter value is provided when certain first order sufficiency conditions are satisfied. We apply these results to unify and extend some results for convex programming. Since several effective algorithms for solving nonlinear programs with differentiable functions rely on exact penalty functions, our results provide a framework for extending these algorithms to problems with locally Lipschitz functions.     

正合范畴中的复形、余挠对及粘合

作者在弱幂等完备的正合范畴(A,E)中引入了复形的新的定义,并且证明了E-正合复形的同伦范畴Kex(E)是同伦范畴KE(A)的厚子范畴.给定(A,E)中的余挠对(x,y),定义了正合范畴(CE(A),C(E))中的两个余挠对((x)E,dg(y)E)和(dg(x)E,(y)E),并且证明了当A是可数完备时,CE(A)中...     

k-Balanced games and capacities

In this paper, we present a generalization of the concept of balanced game for finite games. Balanced games are those having a nonempty core, and this core is usually considered as the solution of the game. Based on the concept of k-additivity, we define the so-called k-balanced games and the corresponding generalization of core, the k-additive core, whose elements are not directly imputations but k-additive games. We show that any game is k-balanced for a suitable choice of k, so that the corresponding k-additive core is not empty. For the games in the k-additive core, we propose a sharing procedure to get an imputation and a representative value for the expectations of the players based on the pessimistic criterion. Moreover, we look for necessary and sufficient conditions for a game to be k-balanced. For the general case, it is shown that any game is either balanced or 2-balanced. Finally, we treat the special case of capacities.     

Exact Internal Controllability and Synchronization for a Coupled System of Wave Equations*

In this paper the exact internal controllability for a coupled system of wave equations with arbitrarily given coupling matrix is established. Based on this result, the exact internal synchronization and the exact internal synchronization by p-groups are successfully considered.     

Symmetry Reduction and Exact Solutions of a Hyperbolic Monge-Amp`ere Equation

By means of the classical symmetry method,a hyperbolic Monge-Ampère equation is investigated.The symmetry group is studied and its corresponding group invariant solutions are constructed.Based on the associated vector of the obtained symmetry,the authors construct the group-invariant optimal system of the hyperbolic Monge-Ampère equation,from which two interesting classes of solutions to the hyperbolic Monge-Ampère equation are obtained successfully.     

Exact Controllability and Perturbation Analysis for Elastic Beams

The Rayleigh beam is a perturbation of the Bernoulli–Euler beam. We establish convergence of the solution of the Exact Controllability Problem for the Rayleigh beam to the corresponding solution of the Bernoulli–Euler beam. Convergence is related to a Singular Perturbation Problem. The main tool in solving this perturbation problem is a weak version of a lower bound for hyperbolic polynomials.     

Archimedean copulas derived from utility functions

The inverse of the (additive) generator of an Archimedean copula is a strictly decreasing and convex function, while utility functions (applying to risk averse decision makers) are nondecreasing and concave. This provides a basis for deriving an inverse generator of an Archimedean copula from a utility function. If we derive the inverse of the generator from the utility function, there is a link between the magnitude of measures of risk attitude (like the very common Arrow–Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new copula families are derived, and their properties are discussed. A numerical example about modeling dependence of coupled lives is included.     

Exact Controllability of a Piezoelectric Body. Theory and Numerical Simulation

We study the exact controllability of a three-dimensional body made of a material whose constitutive law introduces an elasticity-electricity coupling. We show that a coupled elastic-electric control acting on the whole boundary of the body drives the system to rest after time large enough. Two-dimensional numerical experiments suggest that controllability can still be achieved by relaxing this restrictive condition using either both controls on a reduced support or elastic control alone. B. Miara supported by the European project “INTAS, Research Project for South Caucasian Republics 06-1000017-8886”. A. Münch partially supported by grants ANR-05-JC-0182-01 and ANR-07-JC-1832-84.     

Exact and approximation methods for dependability assessment of tram systems with time window

The transportation system examined in this paper is the city tram one, where failed trams are replaced by reliable spare ones. If failed tram is repaired and delivered, then it comes back on work. There is the time window that failed tram has to be either replaced (exchanged) by spare or by repaired and delivered within. Time window is therefore paramount to user perception of transport system unreliability. Time between two subsequent failures, exchange time, and repair together with delivery time, respectively, are described by random variables A, E, and D. A/E/D is selected as the notation for these random variables. There is a finite number of spare trams. Delivery time does not depend on the number of repair facilities. Hence, repair and delivery process can be treated as one with infinite number of facilities. Undesirable event called hazard is the event: neither the replacement nor the delivery has been completed in the time window. The goal of the paper is to find the following relationships: hazard probability of the tram system and mean hazard time as functions of number of spare trams. For systems with exponential time between failures, Weibull exchange and exponential delivery (so M/W/M in the proposed notation) two accurate solutions have been found. For systems with Weibull time between failures with shape in the range from 0.9 to 1.1, Weibull exchange and exponential delivery (i.e. W/W/M) a method yielding small errors has been provided. For the most general and difficult case in which all the random variables conform to Weibull distribution (W/W/W) a method returning moderate errors has been given.     

Exact controllability of the wave equation with time-dependent and variable coefficients

This paper deals with boundary exact controllability for the dynamics governed by the wave equation with variable coefficients in time and space, subject to Dirichlet or Neumann boundary controls. The observability inequalities are established by the Riemannian geometry method under some geometric conditions.