Limiting Connection between Discrete and Continuous Time Forward Interest Rate Curve Models

We study discrete time Heath–Jarrow–Morton (HJM) type of interest rate curve models, where the forward interest rates – in contrast to the classical HJM models – are driven by a random field. Our main aim is to investigate the relationship between the discrete time forward interest rate curve model and its continuous time counterpart. We derive a general result on the convergence of discrete time models and we give special focus on the nearly unit root spatial autoregression model.     

Optimal investment and reinsurance of an insurer with model uncertainty

We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is governed by either a compound Poisson process or its diffusion approximation. The company can also transfer a certain proportion of the insurance risk to a reinsurance company by purchasing reinsurance. The optimal investment–reinsurance problems with model uncertainty are formulated as two-player, zero-sum, stochastic differential games between the insurance company and the market. We provide verification theorems for the Hamilton–Jacobi–Bellman–Isaacs (HJBI) solutions to the optimal investment–reinsurance problems and derive closed-form solutions to the problems.     

Minimum standards for investment performance: A new perspective on non-life insurer solvency

The aim of this paper is to develop an alternative approach for assessing an insurer’s solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements–as is done in solvency regulation–our model provides company-specific minimum standards for risk and return of investment performance, given the distribution structure of liabilities and a predefined safety level. The idea behind this approach is that in a situation of weak solvency, an insurer’s asset allocation can be adjusted much more easily in the short term than can, for example, claims cost distributions, operating expenses, or equity capital. Hence, instead of using separate models for capital regulation and solvency regulation–as is typically done in most insurance markets–our single model will reduce the complexity and costs for insurers as well as for regulators. In this paper, we first develop the model framework and second test its applicability using data from a German non-life insurer.     

Optimal dividend strategies for a risk process under force of interest

In the classical Cramér–Lundberg model in risk theory the problem of maximizing the expected cumulated discounted dividend payments until ruin is a widely discussed topic. In the most general case within that framework it is proved [Gerber, H.U., 1968. Entscheidungskriterien fuer den zusammengesetzten Poisson-prozess. Schweiz. Aktuarver. Mitt. 1, 185–227; Azcue, P., Muler, N., 2005. Optimal reinsurance and dividend distribution policies in the Cramér–Lundberg model. Math. Finance 15 (2) 261–308; Schmidli, H., 2008. Stochastic Control in Insurance. Springer] that the optimal dividend strategy is of band type. In the present paper we discuss this maximization problem in a generalized setting including a constant force of interest in the risk model. The value function is identified in the set of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation and the optimal dividend strategy in this risk model with interest is derived, which in the general case is again of band type and for exponential claim sizes collapses to a barrier strategy. Finally, an example is constructed for Erlang(2)-claim sizes, in which the bands for the optimal strategy are explicitly calculated.     

Continuous-time mean–variance portfolio selection with liability and regime switching

A continuous-time mean–variance model for individual investors with stochastic liability in a Markovian regime switching financial market, is investigated as a generalization of the model of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz’s mean–variance portfolio selection with regime switching: A continuous-time model, SIAM J. Control Optim. 42 (4), 1466–1482]. We assume that the risky stock’s price is governed by a Markovian regime-switching geometric Brownian motion, and the liability follows a Markovian regime-switching Brownian motion with drift, respectively. The evolution of appreciation rates, volatility rates and the interest rates are modulated by the Markov chain, and the Markov switching diffusion is assumed to be independent of the underlying Brownian motion. The correlation between the risky asset and the liability is considered. The objective is to minimize the risk (measured by variance) of the terminal wealth subject to a given expected terminal wealth level. Using the Lagrange multiplier technique and the linear-quadratic control technique, we get the expressions of the optimal portfolio and the mean–variance efficient frontier in closed forms. Further, the results of our special case without liability is consistent with those results of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz’s mean–variance portfolio selection with regime switching: A continuous-time model, SIAM J. Control Optim. 42 (4), 1466–1482].     

A Numerical Method for Constructing a Self-Similar Isolated Wave Solution

An efficient numerical algorithm is developed for constructing self-similar isolated wave or switching wave solutions. The algorithm is developed for the well-known Kolmogorov–Petrovskii–Piskunov (KPP) problem, which has a switching-wave analytical solution, and is applied to construct an isolated traveling pulse in the four-component reaction–diffusion model.     

On the thermodynamic limit for Hartree–Fock type models

We continue here our study [10–13] of the thermodynamic limit for various models of Quantum Chemistry, this time focusing on the Hartree–Fock type models. For the reduced Hartree–Fock models, we prove the existence of the thermodynamic limit for the energy per unit volume. We also define a periodic problem associated to the Hartree–Fock model, and prove that it is well-posed.     

Predicting the Deformability of Expanded Polystyrene in Short-Term Compression

A regressive model is presented for the relationship between the compressive stress and strain of expanded polystyrene (EPS) on a 0–35% strain range. On the whole, the model agrees well with experimental data. A practical way is suggested for determining the coefficients of the model from the known density of EPS plates and their compressive stress at a 10% strain. The model allows one to predict the critical compressive stress and the elastic modulus of EPS.__________Translated from Mekhanika Kompozitnykh Materialov, Vol. 41, No. 2, pp. 157–162, March–April, 2005.     

Extinction and permanence in delayed stage-structure predator–prey system with impulsive effects

Based on the classical stage-structured model and Lotka–Volterra predator–prey model, an impulsive delayed differential equation to model the process of periodically releasing natural enemies at fixed times for pest control is proposed and investigated. We show that the conditions for global attractivity of the ‘pest-extinction’ (‘prey-eradication’) periodic solution and permanence of the population of the model depend on time delay. We also show that constant maturation time delay and impulsive releasing for the predator can bring great effects on the dynamics of system by numerical analysis. As a result, the pest maturation time delay is considered to establish a procedure to maintain the pests at an acceptably low level in the long term. In this paper, the main feature is that we introduce time delay and pulse into the predator–prey (natural enemy-pest) model with age structure, exhibit a new modelling method which is applied to investigate impulsive delay differential equations, and give some reasonable suggestions for pest management.     

Qualitative analysis of second-order models of tumor–immune system competition

This paper deals with the qualitative analysis, existence of equilibria and asymptotic behavior of some second-order models of the competition between tumor and immune cells. The background model belongs to d’Onofrio [A. d’Onofrio, A general framework for modeling tumor–immune system competition and immunotherapy: Mathematical analysis and biomedical inferences, Physica D 208 (2005) 220–235; A. d’Onofrio, Tumor–immune system interaction: Modelig the tumor-stimulated proliferation of effectors and immunotherapy, Math. Models Methods Appl. Sci. 16 (2006) 1375–1401]. Various developments proposed in this paper are focussed on the hiding–learning dynamics, followed by the qualitative analysis.     

A Dvoretzky–Kiefer–Wolfowitz type inequality for the Kaplan–Meier estimator

We prove a new exponential inequality for the Kaplan–Meier estimator of a distribution function in a right censored data model. This inequality is of the same type as the Dvoretzky–Kiefer–Wolfowitz inequality for the empirical distribution function in the non-censored case. Our approach is based on Duhamel equation which allows to use empirical process theory.     

A one-model approach based on relaxed combinations of inputs for evaluating input congestion in DEA

This paper provides a one-model approach of input congestion based on input relaxation model developed in data envelopment analysis (e.g. [G.R. Jahanshahloo, M. Khodabakhshi, Suitable combination of inputs for improving outputs in DEA with determining input congestion — Considering textile industry of China, Applied Mathematics and Computation (1) (2004) 263–273; G.R. Jahanshahloo, M. Khodabakhshi, Determining assurance interval for non-Archimedean ele improving outputs model in DEA, Applied Mathematics and Computation 151 (2) (2004) 501–506; M. Khodabakhshi, A super-efficiency model based on improved outputs in data envelopment analysis, Applied Mathematics and Computation 184 (2) (2007) 695–703; M. Khodabakhshi, M. Asgharian, An input relaxation measure of efficiency in stochastic data analysis, Applied Mathematical Modelling 33 (2009) 2010–2023]. This approach reduces solving three problems with the two-model approach introduced in the first of the above-mentioned reference to two problems which is certainly important from computational point of view. The model is applied to a set of data extracted from ISI database to estimate input congestion of 12 Canadian business schools.     

Particular case of the deformation of a nine-atom model

The dependence of the tensile loading on the length of a nine-atom plane model is calculated. The shapes of the model in tension are determined.Institute of Polymer Mechanics, Academy of Sciences of the Latvian SSR, Riga. Translated from Mekhanika Polimerov, No. 3, pp. 545–547, May–June, 1975.     

A new probabilistic fuzzy model: Fuzzification–Maximization (FM) approach

Over the past few decades, fuzzy logic systems have been used for nonlinear modeling and approximation in many fields ranging from engineering to science. In this paper, a new fuzzy model is developed from the probabilistic and statistical point of view. The proposed model decomposes the input–output characteristics into noise-free part and probabilistic noise part and identifies them simultaneously. The noise-free model recovers the nominal input–output characteristics of the target system and the noise model gives approximation to the probabilistic nature of the added noise. To identify the two submodels simultaneously, we propose the Fuzzification–Maximization (FM). Finally, some simulations are conducted and the effectiveness of the proposed method is demonstrated through the comparison with the previous methods.     

A slacks-based measure of efficiency in data envelopment analysis

In this paper, we will propose a slacks-based measure (SBM) of efficiency in Data Envelopment Analysis (DEA). This scalar measure deals directly with the input excesses and the output shortfalls of the decision making unit (DMU) concerned. It is units invariant and monotone decreasing with respect to input excess and output shortfall. Furthermore, this measure is determined only by consulting the reference-set of the DMU and is not affected by statistics over the whole data set. The new measure has a close connection with other measures proposed so far, e.g., Charnes–Cooper–Rhodes (CCR), Banker–Charnes–Cooper (BCC) and the Russell measure of efficiency. The dual side of this model can be interpreted as profit maximization, in contrast to the ratio maximization of the CCR model. Numerical experiments show its validity as an efficiency measurement tool and its compatibility with other measures of efficiency.     

Application of Exp-function method to the Whitham–Broer–Kaup shallow water model using symbolic computation

In this letter, the Exp-function method is applied to the Whitham–Broer–Kaup shallow water model. With the help of symbolic computation, several kinds of new solitary wave solutions are formally derived.     

The Elliptic Gaudin System with Spin

We study the algebraic–geometric structure of the elliptic Gaudin two-puncture model previously obtained. We identify this system with the system of pole dynamics of finite-gap solutions of the matrix Davey–Stewartson equation. We also obtain the action–angle variables and construct explicit solutions of this system in terms of theta functions. We discuss the geometry of degenerations of this system.     

Structure of the set of stationary solutions of phase-lock equations in superconductivity

In previous article [M. Zhan, Phase-lock equations and its connections to Ginzburg–Landau equations of superconductivity, J. Nonlinear Anal. 42 (2000) 1063–1075], we introduced a system of equations (phase-lock equations) to model the superconductivity phenomena. We investigated its connection to Ginzburg–Landau equations and proved the existence and uniqueness of both weak and strong solutions. In this article, we study the steady-state problem associated with the phase-lock equations. We prove that the steady-state problem has multiple solutions and show that the solution set enjoys some structural properties as proved by Foias and Teman for the Navier–Stokes equations in [C. Foias, R. Teman, Structure of the set of stationary solutions of the Navier–Stokes equations, Commun. Pure Appl. Math. XXX (1977) 149–164].