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.     

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.     

Effect of time delay on a harvested predator-prey model

The predator-prey systems with harvesting have received a great deal of attentions for last few decades. Incorporating discrete time delays into predator-prey models could induce instability and bifurcation. In this paper we are interested in studying the combined effects of harvesting and discrete time delay on the dynamics of a predator-prey model. A comparative analysis is provided for stability behaviour in absence as well as in presence of time delay. The length of discrete time delay to preserve stability of the model system is obtained. Existence of Hopf-bifurcating small amplitude periodic solutions is derived by taking discrete time delay as a bifurcation parameter.     

Dynamical behavior in a stage-structured differential-algebraic prey-predator model with discrete time delay and harvesting

A differential-algebraic model system which considers a prey-predator system with stage structure for prey and harvest effort on predator is proposed. By using the differential-algebraic system theory and bifurcation theory, dynamic behavior of the proposed model system with and without discrete time delay is investigated. Local stability analysis of the model system without discrete time delay reveals that there is a phenomenon of singularity induced bifurcation due to variation of the economic interest of harvesting, and a state feedback controller is designed to stabilize the proposed model system at the interior equilibrium; Furthermore, local stability of the model system with discrete time delay is studied. It reveals that the discrete time delay has a destabilizing effect in the population dynamics, and a phenomenon of Hopf bifurcation occurs as the discrete time delay increases through a certain threshold. Finally, numerical simulations are carried out to show the consistency with theoretical analysis obtained in this paper.     

Time to Sell a Given Quantity of Stock

The asymptotic behaviour of the time to sell a given quantity of stock depleted by a discrete demand process is derived for discrete time and continuous time (block depletion and continuous depletion).     

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.     

Discrete type shock semi-markov decision processes with borel state space

This paper investigates discrete type shock semi-Markov decision processes (SMDP for short) with Borel state and action space. The discrete type shock SMDP describes a system which behaves like a discrete type SMDP, except that the system is subject to random shocks from its environment. Following each shock, an instantaneous state transition occurs and the parameters of the SMDP are changed. After presenting the model, we transform the discrete type shock SMDP into an equivalent discrete time Markov decision process under the condition that one of the assumptions P, N, D, holds. So the most results from discrete time Markov decision processes can be generalized directly to hold for the discrete type shock SMDP.     

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.     

Using Discrete Distributions to Approximate General Service Time Distributions in Queueing Models

In solving discrete time queueing models by numerical techniques, the computational requirements (computer memory and time) are a practical limitation and are particularly dependent on the number of discrete time intervals required in the discrete distribution chosen to match the general service distribution. This paper shows that the minimum number of points required for matching to the first two moments depends on the size of the discrete interval relative to the mean and also on the coefficient of variation. Equations and graphs are provided that will enable the OR practitioner to select the discrete distribution to be used as an approximation. Additionally, it is concluded that discrete time modelling, using these approximations to model service time, now provides a practical means to model both steady-state measures and transient behaviour of M/G/c, M(t)/G/c and M(t)/G/c(t) queueing systems on a personal computer.     

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.     

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.     

Optimal error estimates and modified energy conservation identities of the ADI-FDTD scheme on staggered grids for 3D Maxwell’s equations

This paper is concerned with the optimal error estimates and energy conservation properties of the alternating direction implicit finite-difference time-domain(ADI-FDTD) method which is a popular scheme for solving the 3D Maxwell’s equations.Precisely,for the case with a perfectly electric conducting(PEC) boundary condition we establish the optimal second-order error estimates in both space and time in the discrete H 1-norm for the ADI-FDTD scheme,and prove the approximate divergence preserving property that if the divergence of the initial electric and magnetic fields are zero,then the discrete L 2-norm of the discrete divergence of the ADI-FDTD solution is approximately zero with the second-order accuracy in both space and time.The key ingredient is two new discrete modified energy norms which are second-order in time perturbations of two new energy conservation laws for the Maxwell’s equations introduced in this paper.Furthermore,we prove that,in addition to two known discrete modified energy identities which are second-order in time perturbations of two known energy conservation laws,the ADI-FDTD scheme also satisfies two new discrete modified energy identities which are second-order in time perturbations of the two new energy conservation laws.This means that the ADI-FDTD scheme is unconditionally stable under the four discrete modified energy norms.Experimental results which confirm the theoretical results are presented.     

Discrete time queues and matrix-analytic methods

This is an expository paper dealing with discrete time analysis of queues using matrix-analytic methods (MAM). Discrete time analysis queues has always been popular with engineers who are very keen on obtaining numerical values out of their analyses for the sake of experimentation and design. As telecommunication systems are based more on digital technology these days than analog the need to use discrete time analysis for queues has become more important. Besides, we find that several queues which are difficult to analyse by the continuous time approach are sometimes easier to analyse using discrete time method. Of course, there are some queueing problems which are easier to analyse using continuous time approach instead of discrete time. We discuss, in this paper, both the advantages and disadvantages of discrete time analysis. The paper focusses on setting up several queueing systems as discrete time quasi-birth-and-death processes and then shows how to use matrix-geometric method (MGM), a class of MAM, to analyse the problems. We point out that there are other methods for analysing such queues but MGM provides a much simpler approach for setting up the problems in order to obtain semi-explicit results for computational tractability. We also point out some of the shortcomings of MGM. The paper mainly focusses on the Geo/Geo/1, PH/PH/1, GI/G/1 and GI/G/1/K systems and some of the related problems, including vacation models with time-limited visits.     

Single Parameter Dissipativity and Attractors in DiscreteTirne Asynchronous Systems ∗

Discrete time nonautonomous dynamical systems generated by nonautonomous difference equations are formulated as discrete time skew—product systems consisting of cocycle state mappings that are driven by discrete time autonomous dynamical systems. Forwards and pullback attractors are two possible generalizations of autonomous attractors to such systems. Their existence follows from appropriate forwards or pullback dissipativity conditions. For discrete time nonautonomous dynamical systems generated by asynchronous systems with frequency updating components such a dissipativity condition is usually known for a single starting parameter value of the driving system. Additional conditions that then ensure the existence of a forwards or pullback attractor for such an asynchronous system are investigated here     

Hedging Large Portfolios of Options in Discrete Time*

The problem studied is that of hedging a portfolio of options in discrete time where underlying security prices are driven by a combination of idiosyncratic and systematic risk factors. It is shown that despite the market incompleteness introduced by the discrete time assumption, large portfolios of options have a unique price and can be hedged without risk. The nature of the hedge portfolio in the limit of large portfolio size is substantially different from its continuous time counterpart. Instead of linearly hedging the total risk of each option separately, the correct portfolio hedge in discrete time eliminates linear as well as second and higher order exposures to the systematic risk factors only. The idiosyncratic risks need not be hedged, but disappear through diversification. Hedging portfolios of options in discrete time thus entails a trade‐off between dynamic and cross‐sectional hedging errors. Some computations are provided on the outcome of this trade‐off in a discrete‐time Black–Scholes world.     

Strong approximations of stochastic differential equations with jumps

This paper is a survey of strong discrete time approximations of jump-diffusion processes described by stochastic differential equations (SDEs). It also presents new results on strong discrete time approximations for the specific case of pure jump SDEs.     

Strong convergence for explicit space–time discrete numerical approximation methods for stochastic Burgers equations

In this paper we propose and analyze explicit space–time discrete numerical approximations for additive space–time white noise driven stochastic partial differential equations (SPDEs) with non-globally monotone nonlinearities such as the stochastic Burgers equation with space–time white noise. The main result of this paper proves that the proposed explicit space–time discrete approximation method converges strongly to the solution process of the stochastic Burgers equation with space–time white noise. To the best of our knowledge, the main result of this work is the first result in the literature which establishes strong convergence for a space–time discrete approximation method in the case of the stochastic Burgers equations with space–time white noise.     

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本文研究毁伤目标离散时间的概率分布和PH表示.在射击时间间隔服从离散PH分布的条件下,本文导出了不考虑发现目标因素和考虑该因素二种情况下,毁伤目标时间的离散PH表示与分布.同时,文章用实例说明了求毁伤目标离散时间的PH表示、概率分布和毁伤目标平均离散时间的方法.     

二维输运方程离散格式的对称性

讨论了二维柱几何非定态中子输运方程离散格式的对称性问题，在几何空间和相空间连续的情况下，证明了时间离散方程的一维球对称性；而在时间和相空间离散的情况下，阐述了格式不具有一维球对称性；对时间和相空间离散情况下的几何空间间断有限元方程，得到了左右对称性。