Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Based on the matrix-analytic approach to fluid flows initiated by Ramaswami, we develop an efficient time dependent analysis for a general Markov modulated fluid flow model with a finite buffer and an arbitrary initial fluid level at time 0. We also apply this to an insurance risk model with a dividend barrier and a general Markovian arrival process of claims with possible dependencies in successive inter-claim intervals and in claim sizes. We demonstrate the implementability and accuracy of our algorithms through a set of numerical examples that could also serve as test cases for comparing other solution approaches.      

On the convergence rate and optimization of a numerical method with splitting of boundary conditions for the stokes system in a spherical layer in the axisymmetric case: Modification for thick layers

The convergence rate of a fast-converging second-order accurate iterative method with splitting of boundary conditions constructed by the authors for solving an axisymmetric Dirichlet boundary value problem for the Stokes system in a spherical gap is studied numerically. For R/r exceeding about 30, where r and R are the radii of the inner and outer boundary spheres, it is established that the convergence rate of the method is lower (and considerably lower for large R/r) than the convergence rate of its differential version. For this reason, a really simpler, more slowly converging modification of the original method is constructed on the differential level and a finite-element implementation of this modification is built. Numerical experiments have revealed that this modification has the same convergence rate as its differential counterpart for R/r of up to 5 × 10³. When the multigrid method is used to solve the split and auxiliary boundary value problems arising at iterations, the modification is more efficient than the original method starting from R/r ～ 30 and is considerably more efficient for large values of R/r. It is also established that the convergence rates of both methods depend little on the stretching coefficient η of circularly rectangular mesh cells in a range of η that is well sufficient for effective use of the multigrid method for arbitrary values of R/r smaller than ～ 5 × 10³.     

Radio-frequency controllable quantum interference in Mössbauer spectroscopy

The role of quantum interference (QI) in spectra of the resonant Mössbauer scattering is investigated. As a mechanism ensuring the QI conditions, the radio-frequency (RF) mixing of the spin sublevels of the excited nuclear state is considered. It is shown that QI leads to a significant intensity redistribution of the elastic and Raman scattering.     

Pressure recovery system for a high-power HF/DF laser: implementation practice

The matter of development of a high-performance pressure recovery system (PRS) for a high-power HF/DF laser is discussed. A sequence of design steps is proposed, which involves estimation of basic characteristics of PRS components with the help of one-dimensional integral and semi-empirical procedures; simulation, to be performed using three-dimensional non-stationary Navier — Stokes equations; experimental modelling aimed at verification of the calculation procedures and at refinement of obtained parameters; and a fullscale experiment. An ejector-type system providing for recovery of pressure from 12 Torr to atmospheric pressure in the gas-dynamic system of an HF/DF laser of several-tens-kilowatt power is developed. Matching conditions for parameters of individual PRS components as well as joint functioning of the PRS with a continuous chemical laser in an integral complex are analysed. Conditions for minimization of mass-dimensional characteristics of the laser-PRS complex necessary for the development of ground-based mobile systems are identified.     

The communication complexity of private value single-item auctions

This paper is concerned with information revelation in single-item auctions. We compute how much data needs to be transmitted in three strategically equivalent auctions—the Vickrey auction, the English auction and the recently proposed bisection auction—and show that in the truth-telling equilibrium the bisection auction is the best performer.     

Numerical solution of the linear inverse problem for the Euler-Darboux equation

An inverse problem of the reconstruction of the right-hand side of the Euler-Darboux equation is studied. This problem is equivalent to the Volterra integral equation of the third kind with the operator of multiplication by a smooth nonincreasing function. Numerical solution of this problem is constructed using an integral representation of the solution of the inverse problem, the regularization method, and the method of quadratures. The convergence and stability of the numerical method is proved.     

Dynamical state reconstruction and guaranteeing control for a system of parabolic equations

A problem of guaranteeing control for a system of parabolic equations is considered. A solving algorithm based on the combination of real time reconstruction processes and feedback control is designed.     

A Distributional Approach to Multiple Stochastic Integrals and Transformations of the Poisson Measure

We study a class of ‘nonpoissonian’ transformations of the configuration space and the corresponding transformations of the Poisson measure. For some class of Poisson measures we find conditions which are sufficient for the transformed measure (which in general is nonpoissonian) to be absolutely continuous with respect to the initial Poisson measure and get the expression for the corresponding Radon–Nikodym derivative. To solve this problem we use a distributional approach to Poisson multiple stochastic integrals.