On finding the jump number of a partial orber by substitution decomposition

Consider the linear extensions of a partial order. A jump occurs in a linear extension if two consecutive elements are unrelated in the partial order. The jump number problem is to find a linear extension of the ordered set which contains the smallest possible number of jumps. We discuss a decomposition approach for this problem from an algorithmic point of view. Based on this some new classes of partial orders are identified, for which the problem is polynomially solvable.     

Genetic Algorithm for the Jump Number Scheduling Problem

This paper introduces genetic algorithms for the jump number scheduling problem. Given a set of tasks subject to precedence constraints, the problem is to construct a schedule to minimize the number of jumps. We show that genetic algorithms outperform the previously known Knuth and Szwarcfiter's exhaustive search algorithm when applied to some classes of orders in which no polynomial time algorithms exist in solving the jump number problem. Values for various parameters of genetic jump number algorithms are tested and results are discussed.     

Variance minimization for constrained discounted continuous-time MDPs with exponentially distributed stopping times

This paper deals with minimization of the variances of the total discounted costs for constrained Continuous-Time Markov Decision Processes (CTMDPs). The costs consist of cumulative costs incurred between jumps and instant costs incurred at jump epochs. We interpret discounting as an exponentially distributed stopping time. According to existing theory, for the expected total discounted costs optimal policies exist in the forms of randomized stationary and switching stationary policies. While the former is typically unique, the latter forms a finite set whose number of elements grows exponentially with the number of constraints. This paper investigates the problem when the process stops immediately after the first jump. For costs up to the first jump we provide an index for selection of actions by switching stationary policies and show that the indexed switching policy achieves a smaller variance than the randomized stationary policy. For problems without instant costs, the indexed switching policy achieves the minimum variance of costs up to the first jump among all the equivalent switching policies.     

Computing the bump number is easy

The bump number b(P) of a partial order P is the minimum number of comparable adjacent pairs in some linear extension of P. It has an interesting application in the context of linear circuit layout problems. Its determination is equivalent to maximizing the number of jumps in some linear extension of P, for which the corresponding minimization problem (the jump number problem) is known to be NP-hard. We derive a polynomial algorithm for determining b(P). The proof of its correctness is based on a min-max theorem involving simple-structured series-parallel partial orders contained in P. This approach also leads to a characterization of all minimal partial orders (with respect to inclusion of the order relations) with fixed bump number.Supported by Sonderforschungsbereich 303 of the University of Bonn.Supported by DAAD and SSHRC, Grant No. 451861295.     

The structure of evolutional jumps in reversible systems

A general theory for jump structures in reversible symmetric systems is developed. It is established that, as in systems with dissipation [1–3], the type of jump structure depends on the number of intersections of the dispersion curve and the straight line corresponding to the jump velocity, while jumps for which a structure exists turn out to be at the same time evolutional jumps. The theory is applicable in cases when the dispersive properties of the medium prevail over its dissipative properties.     

A modified standard embedding with jumps in nonlinear optimization

The paper deals with a combination of pathfollowing methods (embedding approach) and feasible descent direction methods (so-called jumps) for solving a nonlinear optimization problem with equality and inequality constraints. Since the method that we propose here uses jumps from one connected component to another one, more than one connected component of the solution set of the corresponding one-parametric problem can be followed numerically. It is assumed that the problem under consideration belongs to a generic subset which was introduced by Jongen, Jonker and Twilt. There already exist methods of this type for which each starting point of a jump has to be an endpoint of a branch of local minimizers. In this paper the authors propose a new method by allowing a larger set of starting points for the jumps which can be constructed at bifurcation and turning points of the solution set. The topological properties of those cases where the method is not successful are analyzed and the role of constraint qualifications in this context is discussed. Furthermore, this new method is applied to a so-called modified standard embedding which is a particular construction without equality constraints. Finally, an algorithmic version of this new method as well as computational results are presented.     

The quickest transfer of a spatial dynamic object into a circular domain

The spatial problem of the time-optimal transfer of a point mass by a limited force onto a terminal set in the form of a circle without fixing the final velocity is investigated. The optimal modes of motion are constructed and investigated for arbitrary initial values of the three-dimensional position and velocity vectors using the maximum principle. The governing relations are obtained in the form of fourth-order and eighth-order algebraic equations for the minimum time of motion, which enable the dependence on the initial data to be investigated constructively. The qualitative features of the solution due to a jump discontinuity in the minimum time of motion, which lead to jumps in the control vector, are established. The problem is solved approximately by perturbation methods for the cases of motion close to singular ones. A complete investigation of the control problem for the motion of an object in the plane of a circle and close to it is presented using an original numerical-analytical approach.     

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

To value catastrophic mortality bonds, a number of stochastic mortality models with transitory jump effects have been proposed. Rather than modeling the age pattern of jump effects explicitly, most of the existing models assume that the distributions of jump effects and general mortality improvements across ages are identical. Nevertheless, this assumption does not seem to be in line with what we observe from historical data. In this paper, we address this problem by introducing a Lee–Carter variant that captures the age pattern of mortality jumps by a distinct collection of parameters. The model variant is then further generalized to permit the age pattern of jump effects to vary randomly. We illustrate the two proposed models with mortality data from the United States and English and Welsh populations, and use them to value hypothetical mortality bonds with similar specifications to the Atlas IX Capital Class B note that was launched in 2013. It is found that the features we consider have a significant impact on the estimated prices.     

The Arboreal Jump Number of an Order

Let ${\mathcal P}$ be a partial order and ${\mathcal A}$ an arboreal extension of it (i.e. the Hasse diagram of ${\mathcal A}$ is a rooted tree with a unique minimal element). A jump of ${\mathcal A}$ is a relation contained in the Hasse diagram of ${\mathcal A}$ , but not in the order ${\mathcal P}$ . The arboreal jump number of ${\mathcal A}$ is the number of jumps contained in it. We study the problem of finding the arboreal extension of ${\mathcal P}$ having minimum arboreal jump number—a problem related to the well-known (linear) jump number problem. We describe several results for this problem, including NP-completeness, polynomial time solvable cases and bounds. We also discuss the concept of a minimal arboreal extension, namely an arboreal extension whose removal of one jump makes it no longer arboreal.     

The Sequential Occupancy Problem through Group Throwing of Indistinguishable Balls

The occupancy problem is generalized to the case where instead of throwing one ball at a time, a fixed size group of indistinguishable balls are distributed sequentially into cells. Bose-Einstein statistics is used for analyzing the distribution of the waiting time until each cell is occupied by at least one ball. Each trial is classified according to its jump size, i.e. the number of newly occupied cells. We propose an approach to decompose the occupancy and filling processes in terms of the jumps sizes using a multi-dimensional representation. A set of recursive equations is built in order to obtain the joint generating probability function of a series of random variables, each of which denotes the number of trials for a given jump size that occurred during the filling process. As a special case, the joint probability function of these random variables is obtained.     

Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps

This work deals with backward stochastic differential equations (BSDEs for short) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We prove that the equations have solutions if the associated Brownian BSDEs have solutions. We also provide a uniqueness theorem for BSDEs with jumps by giving a comparison theorem based on the comparison for Brownian BSDEs. We give in particular some results for quadratic BSDEs. As applications, we study the pricing and the hedging of a European option in a market with a single jump, and the utility maximization problem in an incomplete market with a finite number of jumps.     

A 3/2-approximation algorithm for the jump number of interval orders

The jump number of a partial order P is the minimum number of incomparable adjacent pairs in some linear extension of P. The jump number problem is known to be NP-hard in general. However some particular classes of posets admit easy calculation of the jump number.The complexity status for interval orders still remains unknown. Here we present a heuristic that, given an interval order P, generates a linear extension , whose jump number is less than 3/2 times the jump number of P.This work was supported by the Deutsche Forschungsgemeinschaft (DFG).     

基于修正的已实现阈值幂变差的股市跳跃波动行为研究

基于非参数统计方法,利用考虑金融资产价格跳跃和杠杆效应的时点波动估计方法修正已实现阈值幂变差,构造甄别跳跃的检验统计量,对金融资产价格中的随机波动、有限活跃跳跃和无限活跃跳跃等问题进行综合研究。为同时吸收波动率的异方差集聚效应和收益率的非对称效应,对原有的已实现波动率异质自回归预测模型进行拓展,将非对称的异质性自回归模型的误差项设定为GARCH模型,以考察跳跃波动序列与连续波动序列之间的复杂关系。利用沪深股指高频数据进行实证研究,包括进行跳跃识别,跳跃活动程度检验和波动率预测效果对比。研究结果表明,沪深股市同时存在布朗运动成分、有限活跃跳跃和无限活跃跳跃成分,其中连续路径方差占主体。同时,收益和波动间的杠杆效应显著,无论短期还是长期,连续波动和跳跃波动对波动率的预测均具有显著影响,同时考虑股价的跳跃、波动和杠杆效应因素有助于更准确地刻画资产价格动态过程。     

Vasicek债券定价模型的推广形式

V asicek债券定价模型假定即期利率r(t)遵循O-U过程,利率的长期均值θ为一个常数.对此进行推广,假设θ遵循一个离散跳跃过程,跳跃的次数与幅度由中央银行根据物价指数确定,建立一个新的模型.运用Ito引理和无套利原理给出到期日价值为1的零息票债券的定价公式.     

Minimizing setups in ordered sets of fixed width

A simply polynomial time algorithm is given for computing the setup number, or jump number, of an ordered set with fixed width. This arises as an interesting application of a polynomial time algorithm for solving a more general weighted problem in precedence constrained scheduling.     

A Markov Risk Model with Two Classes of Insurance Business

A Markov risk model with two classes of insurance business is studied. In this model, the two classes of insurance business are independent. Each of the two independent claim number processes is the number of jumps of a Markov jump process from time 0 to t, whichever has not independent increments in general. An integral equation satisfied by the ruin probability is obtained and the bounds for the convergence rate of the ruin probability are given by using a generalized renewal technique.     

Optimal control of impulsive switched systems with minimum subsystem durations

This paper presents a new computational approach for solving optimal control problems governed by impulsive switched systems. Such systems consist of multiple subsystems operating in succession, with possible instantaneous state jumps occurring when the system switches from one subsystem to another. The control variables are the subsystem durations and a set of system parameters influencing the state jumps. In contrast with most other papers on the control of impulsive switched systems, we do not require every potential subsystem to be active during the time horizon (it may be optimal to delete certain subsystems, especially when the optimal number of switches is unknown). However, any active subsystem must be active for a minimum non-negligible duration of time. This restriction leads to a disjoint feasible region for the subsystem durations. The problem of choosing the subsystem durations and the system parameters to minimize a given cost function is a non-standard optimal control problem that cannot be solved using conventional techniques. By combining a time-scaling transformation and an exact penalty method, we develop a computational algorithm for solving this problem. We then demonstrate the effectiveness of this algorithm by considering a numerical example on the optimization of shrimp harvesting operations.     

Option pricing under jump-diffusion models with mean-reverting bivariate jumps

We propose a jump-diffusion model where the bivariate jumps are serially correlated with a mean-reverting structure. Mathematical analysis of the jump accumulation process is given, and the European call option price is derived in analytical form. The model and analysis are further extended to allow for more general jump sizes. Numerical examples are provided to investigate the effects of mean-reversion in jumps on the risk-neutral return distributions, option prices, hedging parameters, and implied volatility smiles.     

On the Jump Number Problem in Hereditary Classes of Bipartite Graphs

We prove a necessary condition for polynomial solvability of the jump number problem in classes of bipartite graphs characterized by a finite set of forbidden induced bipartite subgraphs. For some classes satisfying this condition, we propose polynomial algorithms to solve the jump number problem.     

Lévy risk model with two-sided jumps and a barrier dividend strategy

In this paper, we consider a general Lévy risk model with two-sided jumps and a constant dividend barrier. We connect the ruin problem of the ex-dividend risk process with the first passage problem of the Lévy process reflected at its running maximum. We prove that if the positive jumps of the risk model form a compound Poisson process and the remaining part is a spectrally negative Lévy process with unbounded variation, the Laplace transform (as a function of the initial surplus) of the upward entrance time of the reflected (at the running infimum) Lévy process exhibits the smooth pasting property at the reflecting barrier. When the surplus process is described by a double exponential jump diffusion in the absence of dividend payment, we derive some explicit expressions for the Laplace transform of the ruin time, the distribution of the deficit at ruin, and the total expected discounted dividends. Numerical experiments concerning the optimal barrier strategy are performed and new empirical findings are presented.