Info-quantifiers’ map-characterization revisited

We highlight the potentiality of a special Information Theory (IT) approach in order to unravel the intricacies of nonlinear dynamics, the methodology being illustrated with reference to the logistic map. A rather surprising dynamic feature→plane-topography map becomes available.     

The unsaturated flow in porous media with dynamic capillary pressure

In this paper we consider a degenerate pseudoparabolic equation for the wetting saturation of an unsaturated two-phase flow in porous media with dynamic capillary pressure-saturation relationship where the relaxation parameter depends on the saturation. Following the approach given in [13] the existence of a weak solution is proved using Galerkin approximation and regularization techniques. A priori estimates needed for passing to the limit when the regularization parameter goes to zero are obtained by using appropriate test-functions, motivated by the fact that considered PDE allows a natural generalization of the classical Kullback entropy. Finally, a special care was given in obtaining an estimate of the mixed-derivative term by combining the information from the capillary pressure with the obtained a priori estimates on the saturation.     

On the entropy method and exponential convergence to equilibrium for a recombination–drift–diffusion system with self-consistent potential

We consider a Shockley–Read–Hall recombination–drift–diffusion model coupled to Poisson’s equation and subject to boundary conditions, which imply conservation of the total charge. As main result, we derive an explicit functional inequality between relative entropy and entropy production rate, which implies exponential convergence to equilibrium with explicit constant and rate. We report that the key entropy–entropy production inequality ought rather not to be formulated on the states space of the parabolic–elliptic system, but on the reduced states space of the associated nonlocal drift–diffusion problem, where the Poisson equation is replaced by the corresponding Green function.     

Fuzzy decision-making method based on the weighted correlation coefficient under intuitionistic fuzzy environment

A multicriteria fuzzy decision-making method based on weighted correlation coefficients using entropy weights is proposed under intuitionistic fuzzy environment for some situations where the information about criteria weights for alternatives is completely unknown. To determine the entropy weights with respect to a set of criteria represented by intuitionistic fuzzy sets (IFSs), we establish an entropy weight model, which can be used to get the criteria weights, and then propose an evaluation formula of weighted correlation coefficient between an alternative and the ideal alternative. The alternatives can be ranked and the most desirable one(s) can be selected according to the weighted correlation coefficients. Finally, two illustrative examples demonstrate the practicality and effectiveness of the proposed method.     

Hyperbolic conservation laws with nonlinear diffusion and nonlinear dispersion

We study scalar conservation laws with nonlinear diffusion and nonlinear dispersion terms (any ??1), the flux function f(u) being mth order growth at infinity. It is shown that if ε, δ=δ(ε) tend to 0, then the sequence {uε} of the smooth solutions converges to the unique entropy solution u∈L^∞(0,T_∗;Lq(R)) to the conservation law ut+fx(u)=0 in . The proof relies on the methods of compensated compactness, Young measures and entropy measure-valued solutions. Some new a priori estimates are carried out. In particular, our result includes the convergence result by Schonbek when b(λ)=λ, ?=1 and LeFloch and Natalini when ?=1.     

Carnot efficiency: Why?

In 1824, Carnot proposed a cycle operating on reversibility principles. He proved that there exists an upper limit of the efficiency of this cycle and this limit is also the upper limit for any real process. The irreversibility related to the finite-time and the finite-size constraints are fundamental for the optimization of any real thermodynamic system. It has been pointed out how fundamental is the interaction between any open system and its surroundings. The meaning of the Carnot efficiency is that even in the ideal condition, when there is no dissipation, there exists something that does not allow the system to convert all the energies absorbed in work. The aim of this paper is to show why this happens, starting from a variational approach of thermodynamics.     

A Family of Maximum Entropy Densities Matching Call Option Prices

Abstract

We investigate the position of the Buchen–Kelly density (Peter W. Buchen and Michael Kelly. The maximum entropy distribution of an asset inferred from option prices. Journal of Financial and Quantitative Analysis, 31(1), 143–159, March 1996.) in the family of entropy maximizing densities from Neri and Schneider (Maximum entropy distributions inferred from option portfolios on an asset. Finance and Stochastics, 16(2), 293–318, April 2012.), which all match European call option prices for a given maturity observed in the market. Using the Legendre transform, which links the entropy function and the cumulant generating function, we show that it is both the unique continuous density in this family and the one with the greatest entropy. We present a fast root-finding algorithm that can be used to calculate the Buchen–Kelly density and give upper boundaries for three different discrepancies that can be used as convergence criteria. Given the call prices, arbitrage-free digital prices at the same strikes can only move within upper and lower boundaries given by left and right call spreads. As the number of call prices increases, these bounds become tighter, and we give two examples where the densities converge to the Buchen–Kelly density in the sense of relative entropy. The method presented here can also be used to interpolate between call option prices, and we compare it to a method proposed by Kahalé (An arbitrage-free interpolation of volatilities. Risk, 17(5), 102–106, May 2004). Orozco Rodriguez and Santosa (Estimation of asset distributions from option prices: Analysis and regularization. SIAM Journal on Financial Mathematics, 3(1), 374–401, 2012.) have produced examples in which the Buchen–Kelly algorithm becomes numerically unstable, and we use these as test cases to show that the algorithm given here remains stable and leads to good results.