Bäcklund transformations for the Jacobi system on an ellipsoid

We consider analogues of auto- and hetero-Bäcklund transformations for the Jacobi system on a threeaxis ellipsoid. Using the results in a Weierstrass paper, where the change of times reduces integrating the equations of motion to inverting the Abel mapping, we construct the differential Abel equations and auto-Bäcklund transformations preserving the Poisson bracket with respect to which the equations of motion written in the Weierstrass form are Hamiltonian. Transforming this bracket to the canonical form, we can construct a new integrable system on the ellipsoid with a Hamiltonian of the natural form and with a fourth-degree integral of motion in momenta.     

Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims

In this paper we consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, the Poisson and the generalized Erlang(2) process. We prove that the Gerber-Shiu function satisfies some defective renewal equations. Exact representations for the solutions of these equations are derived through an associated compound geometric distribution and an analytic expression for this quantity is given when the claim severities have rationally distributed Laplace transforms. Further, the same risk model is considered in the presence of a constant dividend barrier. A system of integro-differential equations with certain boundary conditions for the Gerber-Shiu function is derived and solved. Using systems of integro-differential equations for the moment-generating function as well as for the arbitrary moments of the discounted sum of the dividend payments until ruin, a matrix version of the dividends-penalty is derived. An extension to a risk model when the two independent claim counting processes are Poisson and generalized Erlang(ν), respectively, is considered, generalizing the aforementioned results.     

Mathematical modelling of multilayer thin body deformation

We construct a theory of multilayer thin bodies within the framework of the threedimensional moment theory by using an efficient parametrization of a multilayer thin domain; in contrast to classic approaches, several base surfaces and an analytic method with Legendre and Chebyshev polynomial systems are used. Geometric characteristics typical for the proposed parametrizations are introduced into consideration. A fundamental theorem for a multilayer thin domain is formulated. Various representations of the equations of motion, the heat influx, and the constitutive relations of physical and heat content are presented for the new body domain parametrization. The definition of the kth order moment of a certain quantity with respect to an orthonormal system of second-kind Chebyshev polynomials is given. The expressions of moments of first- and second-order partial derivatives of a certain tensor field are obtained, and this is also done for some important expressions required for constructing different variants of the thin body theory. Various variants of the equations of motion in moments with respect to Legendre and Chebyshev polynomial systems are also obtained. The interlayer conditions are written down under various connections of adjacent layers of a multilayer body.     

Self-propulsion of a body with rigid surface and variable coefficient of lift in a perfect fluid

We study the system of a 2D rigid body moving in an unbounded volume of incompressible, vortex-free perfect fluid which is at rest at infinity. The body is equipped with a gyrostat and a so-called Flettner rotor. Due to the latter the body is subject to a lifting force (Magnus effect). The rotational velocities of the gyrostat and the rotor are assumed to be known functions of time (control inputs). The equations of motion are presented in the form of the Kirchhoff equations. The integrals of motion are given in the case of piecewise continuous control. Using these integrals we obtain a (reduced) system of first-order differential equations on the configuration space. Then an optimal control problem for several types of the inputs is solved using genetic algorithms.     

On the governing equations of motion of nonholonomic systems on Riemannian manifolds

We propose a geometric approach to formulate the governing equations of motion for a class of nonholonomic systems on Riemannian manifolds. We first present a coordinate-free geometric formulation of the D’Alembert–Lagrange equation. Then by explicating this geometric formulation with respect to an arbitrary frame, we obtain the governing equations of motion in generalized form. The governing equations so obtained directly eliminate the dependent variations without using undetermined multipliers. As examples, we apply the formulation to a rigid body and a system with general first-order nonholonomic constraints; we also demonstrate their equivalences to the known results.     

Backward stochastic differential equations with jumps and related non-linear expectations

In this paper, we are interested in real-valued backward stochastic differential equations with jumps together with their applications to non-linear expectations. The notion of non-linear expectations has been studied only when the underlying filtration is given by a Brownian motion and in this work the filtration will be generated by both a Brownian motion and a Poisson random measure. We study at first backward stochastic differential equations driven by a Brownian motion and a Poisson random measure and then introduce the notions of f$f$-expectations and of non-linear expectations in this set-up.     

Hamiltonian reduced fluid model for plasmas with temperature and heat flux anisotropies

For an arbitrary number of species, we derive a Hamiltonian fluid model for strongly magnetized plasmas describing the evolution of the density, velocity, and electromagnetic fluctuations and also of the temperature and heat flux fluctuations associated with motions parallel and perpendicular to the direction of a background magnetic field. We derive the model as a reduction of the infinite hierarchy of equations obtained by taking moments of a Hamiltonian drift-kinetic system with respect to Hermite–Laguerre polynomials in velocity–magnetic-moment coordinates. We show that a closure relation directly coupling the heat flux fluctuations in the directions parallel and perpendicular to the background magnetic field provides a fluid reduction that preserves the Hamiltonian character of the parent drift-kinetic model. We find an alternative set of dynamical variables in terms of which the Poisson bracket of the fluid model takes a structure of a simple direct sum and permits an easy identification of the Casimir invariants. Such invariants in the limit of translational symmetry with respect to the direction of the background magnetic field turn out to be associated with Lagrangian invariants of the fluid model. We show that the coupling between the parallel and perpendicular heat flux evolutions introduced by the closure is necessary for ensuring the existence of a Hamiltonian structure with a Poisson bracket obtained as an extension of a Lie–Poisson bracket.     

Poisson structures and integrable systems connected with graphs

Completely integrable systems related with graphs of a specific type are studied by the r-matrix method. The phase space of such a system is the space of connections on a graph. The nonlinear equations under consideration are Hamiltonian with respect to the Poisson bracket depending on the geometry of the graph and other structures. It is essential that the Poisson bracket be nonultralocal. An involute family of motion integrals is constructed. Explicit formulas for solutions of evolution equations are obtained in terms of solutions of a factorization problem. In the case of the group of loops, a polynomial anzatz for the Lax operator compatible with the Poisson bracket is constructed. Bibliography: 8 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 224, 1995, pp. 279–299. Translated by B. M. Bekker.     

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In this paper, we extend the previous Markov-modulated reflected Brownian motion model discussed in [1] to a Markov-modulated reflected jump diffusion process, where the jump component is described as a Markov-modulated compound Poisson process. We compute the joint stationary distribution of the bivariate Markov jump process. An abstract example with two states is given to illustrate how the stationary equation described as a system of ordinary integro-differential equations is solved by choosing appropriate boundary conditions. As a special case, we also give the sationary distribution for this Markov jump process but without Markovian regime-switching.     

Some limit analysis of a three dimensional viscous compressible capillary model for plasma

In this study, we discuss some limit analysis of a viscous capillary model of plasma, which is expressed as a so‐called the compressible Navier‐Stokes‐Poisson‐Korteweg equation. First, the existence of global smooth solutions for the initial value problem to the compressible Navier‐Stokes‐Poisson‐Korteweg equation with a given Debye length λ and a given capillary coefficient κ is obtained. We also show the uniform estimates of global smooth solutions with respect to the Debye length λ and the capillary coefficient κ. Then, from Aubin lemma, we show that the unique smooth solution of the 3‐dimensional Navier‐Stokes‐Poisson‐Korteweg equations converges globally in time to the strong solution of the corresponding limit equations, as λ tends to zero, κ tends to zero, and λ and κ simultaneously tend to zero. Moreover, we also give the convergence rates of these limits for any given positive time one by one.     

Solving stochastic differential equations on Homeo(S)

The Brownian motion with respect to the metric H^3/2 on Diff(S¹) has been constructed. It is realized on the group of homeomorphisms Homeo(S¹). In this work, we shall resolve the stochastic differential equations on Homeo(S¹) for a given drift Z.     

On Discretization of the Euler Top

The application of intersection theory to construction of n-point finite-difference equations associated with classical integrable systems is discussed. As an example, we present a few new discretizations of motion of the Euler top sharing the integrals of motion with the continuous time system and the Poisson bracket up to the integer scaling factor.     

On the slow motion of a self-propelled rigid body in a viscous incompressible fluid

In this paper we study the Stokes approximation of the self-propelled motion of a rigid body in a viscous liquid that fills all the three-dimensional space exterior to the body. We prove the existence and uniqueness of strong solution to the coupled systems of equations describing the motion of the system body-liquid, for any time and any regular distribution of velocity on the boundary of the body. For the corresponding stationary problem we derive L^p-estimates for the solution in terms of the data. Finally, we prove that every steady solution is attainable as the limit, when t→∞, of an unsteady self-propelled solution which starts from rest.     

Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times

In this paper, we consider a compound Poisson risk model perturbed by a Brownian motion. We construct the bivariate cumulative distribution function of the claim size and interclaim time by Farlie-Gumbel-Morgenstern copula. The integro-differential equations and the Laplace transforms for the Gerber-Shiu functions are obtained. We also show that the Gerber-Shiu functions satisfy some defective renewal equations. For exponential claims, some explicit expressions are obtained, and numerical examples for the ruin probabilities are also given.     

Brownian motion in infinite dimensional manifolds

We discuss the extension to infinite dimensional Riemannian—Wiener manifolds of the transport approximation to Brownian motion, which was formulated by M. Pinsky for finite dimensional manifolds. A global representation is given for the Laplace—Beltrami operator in terms of the Riemannian spray and a homogenizing operator based upon the central hitting measure of the surface of the unit ball with respect to the Brownian motion on the model space.Research supported by NSF grant MCS8202319.     

Fast-slow stochastic dynamical system with singular coefficients

This paper aims to study the asymptotic behavior of a fast-slow stochastic dynamical system with singular coefficients, where the fast motion is given by a continuous diffusion process while the slow component is driven by an α-stable noise with α ∈ [1, 2). Using Zvonkin’s transformation and the technique of the Poisson equation, we have that both the strong and weak convergences in the averaging principle are established, which can be viewed as a functional law of large numbers. Then we study t...     

Special conformal groups of a Riemannian manifold and Lie point symmetries of the nonlinear Poisson equation

We obtain a complete group classification of the Lie point symmetries of nonlinear Poisson equations on generic (pseudo) Riemannian manifolds M. Using this result we study their Noether symmetries and establish the respective conservation laws. It is shown that the projection of the Lie point symmetries on M are special subgroups of the conformal group of M. In particular, if the scalar curvature of M vanishes, the projection on M of the Lie point symmetry group of the Poisson equation with critical nonlinearity is the conformal group of the manifold. We illustrate our results by applying them to the Thurston geometries.