Stability analysis of delayed reset systems with distributed state resetting

In this paper, the author studies the stability of delayed reset control systems with distributed state resetting. First, the concept of distributed state reset is proposed which is capable of compensating for the performance deterioration caused by time delays. Second, a sufficient condition for asymptotical stability based on the Lyapunov–Krasovskii functional method is proved, and a sufficient condition in terms of LMIs to ensure asymptotical stability of reset systems with piecewise constant reset mappings is obtained. Last, an illustrative example is provided to show that compared to the traditional reset scheme, the proposed distributed state reset scheme is potentially capable of achieving better performance.     

On pricing arithmetic average reset options with multiple reset dates in a lattice framework

We develop a straightforward algorithm to price arithmetic average reset options with multiple reset dates in a Cox et al. (CRR) (1979) [10] framework. The use of a lattice approach is due to its adaptability and flexibility in managing arithmetic average reset options, as already evidenced by Kim et al. (2003) [9]. Their model is based on the Hull and White (1993) [5] bucketing algorithm and uses an exogenous exponential function to manage the averaging feature, but their choice of fictitious values does not guarantee the algorithm’s convergence (cfr., Forsyth et al. (2002) [11]). We propose to overcome this drawback by selecting a limited number of trajectories among the ones reaching each node of the lattice, where we compute effective averages. In this way, the computational cost of the pricing problem is reduced, and the convergence of the discrete time model to the corresponding continuous time one is guaranteed.     

The regularity of the free boundary for strike reset option

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.     

规定水平下重置期权的有限差分解

利用Black—Scholes偏微分方程,结合重置期权与关卡期权的关系,建立了规定水平下的重置期权定价模型,最后运用C—N格式和θ法构造该模型的有限差分格式．     

Monte Carlo analysis of convertible bonds with reset clauses

This paper analyzes some features of non-callable convertible bonds with reset clauses via both analytic and Monte Carlo simulation approaches. Assume that the underlying stock receives no dividends and that it has credit risk of the issuer. We mean by reset that the conversion price is adjusted downwards if the underlying stock price does not exceed pre-specified prices. Reset convertibles are usually issued when the outlook for the issuer is unfavorable. The price of any convertible bonds can be approximately viewed as a sum of values of an otherwise identical non-convertible bond plus an embedded option to convert the bond into the underlying stock. In this paper, we first develop an exact formula for the conversion option value of the European riskless convertible in the classical Black–Scholes–Merton framework. It is shown by Monte Carlo simulation that conversion option value estimates of the American risky convertible are located in a certain region defined by this formula. From estimates of the conversion probability, it is also shown that there exists an optimal reset time in the latter half of the trading interval.     

A parabolic variational inequality arising from the valuation of strike reset options

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C^∞ smoothness of the free boundary are proven in some situations.     

随机利率下重置期权的定价问题

研究了Vasiˇ↑cek型短期利率模型下重置期权（Reset Option）的定价和风险管理问题，借助多元正态分布函数，得到了一组显示公式和近似计算方法。     

Reset control systems: The zero-crossing resetting law

A novel representation of reset control systems with a zero-crossing resetting law, in the framework of hybrid inclusions, is postulated. The well-posedness and stability issues of the resulting hybrid dynamical system are investigated, with a strong focus on how non-deterministic behavior is implemented in control practice. Several stability conditions have been developed by using the eigenstructure of matrices related to the periods of the reset interval sequences and by using Lyapunov function-based conditions.     

A note on “Monte Carlo analysis of convertible bonds with reset clause”

Kimura and Shinohara [T. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301–310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However, their model does not consider a dilution effect which can result due to changes in the number of shares into which the bond is converted. In this paper, we have developed a new pricing formula for reset convertible bonds that adjusts for dilution.     

From ruin theory to pricing reset guarantees and perpetual put options

We examine the joint distribution of the time of ruin, the surplus immediately before ruin, the deficit at ruin, and the cause of ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We present two financial applications – the pricing of reset guarantees for a mutual fund or an equity-indexed annuity, and the pricing of a perpetual American put option. In both cases, the logarithm of the price of the underlying asset is modeled as a shifted compound Poisson process. Hence the asset price process has downward discontinuities, with the times and amounts of the drops being random.     

Control of boundary impedance in two-dimensional material-body cloaking by the wave flow method

Control problems are considered for a two-dimensional electromagnetic field model describing electromagnetic wave scattering in a unbounded homogeneous medium containing an anisotropic permeable inclusion with a partially covered (cloaked) boundary. The control is a function involved in the impedance boundary condition on the covered part of the boundary. The solvability of the original mixed transmission problem for the two-dimensional Helmholtz equation and of the control problems is proved. Optimality systems describing necessary extremum conditions are derived. The uniqueness and stability of optimal solutions with respect to certain perturbations of the cost functional and the incident wave are established.     

Asymptotic behavior and stability switch for a mature–immature model of cell differentiation

We consider a nonlinear age-structured model, inspired by hematopoiesis modelling, describing the dynamics of a cell population divided into mature and immature cells. Immature cells, that can be either proliferating or non-proliferating, differentiate in mature cells, that in turn control the immature cell population through a negative feedback. We reduce the system to two delay differential equations, and we investigate the asymptotic stability of the trivial and the positive steady states. By constructing a Lyapunov function, the trivial steady state is proven to be globally asymptotically stable when it is the only equilibrium of the system. The asymptotic stability of the positive steady state is related to a delay-dependent characteristic equation. Existence of a Hopf bifurcation and stability switch for the positive steady state is established. Numerical simulations illustrate the stability results.     

基于扰动补偿趋近律的非匹配离散广义准滑模控制

研究了非匹配不确定离散广义系统准滑模控制策略的综合问题.给出了具有前级状态向量的动态切换函数,使得系统能够在切换带内稳定.设计了两种带有扰动补偿的离散广义趋近律,消除了常规滑模控制策略中不确定项必须有界的限制,且不必满足匹配条件.给出了系统准滑动模态保持逐步穿越切换面的必要条件,减小了准滑动模态切换带的带宽.所设计的滑模控制器在有限时间内可达切换面,削弱了系统抖振,有效地改善了系统动态品质.最后,数值算例验证了该控制策略的可行性.     

Rigorous Justification of the Whitham Modulation Equations for the Generalized Korteweg–de Vries Equation

In this paper, we consider the spectral stability of spatially periodic traveling wave solutions of the generalized Korteweg–de Vries equation to long‐wavelength perturbations. Specifically, we extend the work of Bronski and Johnson by demonstrating that the homogenized system describing the mean behavior of a slow modulation (WKB) approximation of the solution correctly describes the linearized dispersion relation near zero frequency of the linearized equations about the background periodic wave. The latter has been shown by rigorous Evans function techniques to control the spectral stability near the origin, that is, stability to slow modulations of the underlying solution. In particular, through our derivation of the WKB approximation we generalize the modulation expansion of Whitham for the KdV to a more general class of equations which admit periodic waves with nonzero mean. As a consequence, we will show that, assuming a particular nondegeneracy condition, spectral stability near the origin is equivalent with the local well‐posedness of the Whitham system.     

Main frequency band of blast vibration signal based on wavelet packet transform

As a key parameter in blasting safety criteria, accurately describing the frequency's characteristics is of practical significance. Due to the deficiency of Fourier transform in the analysis of non-periodic and non-stationary signals, this study defined a wavelet frequency domain parameter, referred to as a main frequency band. A computational method associated with the wavelet packet transform is also proposed. To verify the feasibility of main frequency band and the proposed computational method in describing blasting frequency characteristics, an application is exemplified with field blasting vibration signals monitored in a mine. The effects of explosive charge and distance on main frequency band distribution characteristics are also studied. Results show that the main frequency band based on the computational method is a sensitive, accurate and efficient frequency parameter; it can accurately describe the frequency characteristics of blasting signals and effectively overcome the drawbacks in Fourier transform. When the explosive charge is constant, the span of main frequency reduces as a whole as the distance increases, and the frequency domain energy of blast vibration signals are concentrated mainly in the low-frequency range. When the distance is constant, the peak energy of blast vibration signals increase with the increase of explosive charge, without obvious change in main frequency band. To avoid the effects of interferences on frequency characteristics, the least square method is employed to eliminate signal trend components, and the wavelet threshold method with a hard thresholding function and the Birge–Massart strategy is applied in denoising.     

Model predictive control for switched systems with a novel mixed time/event-triggering mechanism

This paper investigates observer-based model predictive control (MPC) for switched systems with a mixed time/event-triggering mechanism. The problem of predictive control that can achieve receding horizon optimization is considered and solved by minimizing an upper bound of the quadratic cost function. Since the system state may not be fully measured in practice, state observers are employed to estimate. A mixed mechanism including adaptive event-triggering and time-triggering is proposed, which can be switched determined by a threshold describing system performance to better balance system resource utilization and performance requirements. Then, a closed-loop switched system subject to networked-time-delay is modeled. Piecewise Lyapunov function technique and average dwell time approach are utilized to ensure asymptotical stability. Afterwards, MPC controller construction problem is turned into a LMIs feasibility problem. A new solving method of sufficient conditions for co-design of the state observers, feedback controllers and mixed triggering mechanism is derived. Lastly, simulation examples illustrate the correctness and advantages of research content.     

Hidden Oscillations in Dynamical Systems. 16 Hilbert’s Problem,Aizerman’s and Kalman’s Conjectures,Hidden Attractors in Chua’s Circuits

The present survey is devoted to efficient methods for localization of hidden oscillations in dynamical systems. Their application to Hilbert’s sixteenth problem for quadratic systems, Aizerman’s problem, and Kalman’s problem on absolute stability of control systems, and to the localization of chaotic hidden attractors (the basin of attraction of which does not contain neighborhoods of equilibria) is considered. The synthesis of the describing function method with the applied bifurcation theory and numerical methods for computing hidden oscillations is described.     

Synchronizing time delay systems using variable delay in coupling

We present a mechanism for synchronizing time delay systems using one way coupling with a variable delay in coupling that is reset at finite intervals. We present the analysis of the error dynamics that helps to isolate regions of stability of the synchronized state in the parameter space of interest for single and multiple delays. We supplement this by numerical simulations in a standard time delay system like Mackey Glass system. This method has the advantage that it can be adjusted to be delay or anticipatory in synchronization with a time which is independent of the system delay. We demonstrate the use of this method in communication using the bi channel scheme. We show that since the synchronizing channel carries information from transmitter only at intervals of reset time, it is not susceptible to an easy reconstruction.