Multi-objective stochastic programming for portfolio selection

Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best satisfying the DM’s aspirations and preferences. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model. CCCP is based on CP and chance constrained programming (CCP) models. The proposed program is illustrated by means of a portfolio selection problem from the Tunisian stock exchange market.     

Blow-up behavior outside the origin for a semilinear wave equation in the radial case

We consider the semilinear wave equation in the radial case with conformal subcritical power nonlinearity. If we consider a blow-up point different from the origin, then we exhibit a new Lyapunov functional which is a perturbation of the one-dimensional case and extend all our previous results known in the one-dimensional case. In particular, we show that the blow-up set near non-zero non-characteristic points is of class C¹, and that the set of characteristic points is made of concentric spheres in finite number in for any R>1.     

Constant Dividend Barrier in a Risk Model with a Generalized Farlie-Gumbel-Morgenstern Copula

In this paper, we consider the classical surplus process with a constant dividend barrier and a dependence structure between the claim amounts and the inter-claim times. We derive an integro-differential equation with boundary conditions. Its solution is expressed as the Gerber-Shiu discounted penalty function in the absence of a dividend barrier plus a linear combination of a finite number of linearly independent particular solutions to the associated homogeneous integro-differential equation. Finally, we obtain an explicit solution when the claim amounts are exponentially distributed and we investigate the effects of dependence on ruin quantities.     

Up–down representations and ergodic theory in nilpotent Lie groups

Let G be a connected and simply connected nilpotent Lie group and A a closed connected subgroup of G. Let Γ be a discrete cocompact subgroup of G. In the first part of this paper we give the direct integral decomposition of the up–down representation . As a consequence, we establish a necessary and sufficient condition for A to act ergodically on G/Γ in the case when Γ is a lattice subgroup of G and A is a one-parameter subgroup of G.     

Construction of a Multisoliton Blowup Solution to the Semilinear Wave Equation in One Space Dimension

We consider the semilinear wave equation with power nonlinearity in one space dimension. Given a blowup solution with a characteristic point, we refine the blowup behavior first derived by Merle and Zaag. We also refine the geometry of the blowup set near a characteristic point and show that, except for perhaps one exceptional situation, it is never symmetric with respect to the characteristic point. Then, we show that all blowup modalities predicted by those authors do occur. More precisely, given any integer k ≥ 2 and $\zeta _0 \in {\cal R}$ , we construct a blowup solution with a characteristic point a such that the asymptotic behavior of the solution near (a,T(a)) shows a decoupled sum of k solitons with alternate signs whose centers (in the hyperbolic geometry) have ζ₀ as a center of mass for all times. © 2013 Wiley Periodicals, Inc.     

Dunkl heat semigroup and applications

In this article we characterize the Dunkl–Besov spaces and prove the embedding Sobolev theorems via the Dunkl heat semigroup. We also study the dispersive properties of the solutions of the Dunkl heat equation. Furthermore, we consider a few applications of these results to the corresponding nonlinear Cauchy problems on generalized functional spaces.     

Production capacity buildup and double marginalization mitigation in a dynamic supply chain

The paper investigates the extent to which capacity investment considerations interact with the double marginalization effect in a simple supply chain governed by a wholesale price contract. To do so, a non-cooperative differential game model is formulated to study the pricing and capacity investment decisions in a supply chain, which consists of a supplier and a manufacturer. In such a game, there are different decision rules—open-loop, closed-loop, feedback—that are available to the supply chain participants, depending on the observability of the current state of the supply chain. While closed-loop and feedback equilibrium strategies involve the observability of other chain member’s production capacity, open-loop equilibrium strategies do not have such requirement. We examine how the supplier and the manufacturer determine, with the different decision rules, their production capacities and pricing policies to maximize their profits over an infinite planning horizon, and determine how the observability of other supply chain’s members’ production capacity affects the magnitude of the double marginalization effect. Our study suggests that the observability of other chain member’s current production capacity entails a lower production efficiency that results in a greater double marginalization effect. This allows us to conclude that observability of other chain member’s current production capacity is associated with a greater double marginalization effect.     

Isolation and structure determination of pulicazine, a new sesquiterpene lactone from the Tunisian Pulicaria laciniata (Coss.et Kral.) Thell.

A new naturally occurring pseudo-guaianolide type sesquiterpene lactone named pulicazine along with ent-11β,15β-dihydroxykaur-16-en-19-oic acid is isolated from the Tunisian Pulicaria laciniata (Coss.et Kral.) Thell. flowers. Their structures were elucidated by NMR spectroscopy and their stereochemistries were established by X-ray diffraction.     

Non-isothermal lubrication problem with Tresca fluid–solid interface law. Part I

We consider the stationary equations for a non-isothermal Newtonian and incompressible fluids, in a three-dimensional bounded domain. The problem is governed by a coupled system involving a balance of linear momentum and the heat energy with Tresca free boundary friction conditions. Existence, uniqueness and regularity of the weak solution to this coupled problem are proved.