On the completeness of root vectors generated by systems of coupled hyperbolic equations

The paper is the second in a set of two papers, which are devoted to a unified approach to the problem of completeness of the generalized eigenvectors (the root vectors) for a specific class of linear non‐selfadjoint unbounded matrix differential operators. The list of the problems for which such operators are the dynamics generators includes the following: (a) initial boundary‐value problem (IBVP) for a non‐homogeneous string with both distributed and boundary damping; (b) IBVP for small vibrations of an ideal filament with a one‐parameter family of dissipative boundary conditions at one end and with a heavy load at the other end; this filament problem is treated for two cases of the boundary parameter: non‐singular and singular; (c) IBVP for a three‐dimensional damped wave equation with spherically symmetric coefficients and both distributed and boundary damping; (d) IBVP for a system of two coupled hyperbolic equations constituting a Timoshenko beam model with variable coefficients and boundary damping; (e) IBVP for a coupled Euler‐Bernoulli and Timoshenko beam model with boundary energy dissipation (the model known in engineering literature as bending‐torsion vibration model); (f) IBVP for two coupled Timoshenko beams model, which is currently accepted as an appropriate model describing vibrational behavior of a longer double‐walled carbon nanotube. Problems have been discussed in the first paper of the aforementioned set. Problems are discussed in the present paper.     

Markovian extensions of symmetric second order elliptic differential operators

Let be bounded with a smooth boundary Γ and let S be the symmetric operator in given by the minimal realization of a second order elliptic differential operator. We give a complete classification of the Markovian self‐adjoint extensions of S by providing an explicit one‐to‐one correspondence between such extensions and the class of Dirichlet forms in which are additively decomposable by the bilinear form of the Dirichlet‐to‐Neumann operator plus a Markovian form. By such a result two further equivalent classifications are provided: the first one is expressed in terms of an additive decomposition of the bilinear forms associated to the extensions, the second one uses the additive decomposition of the resolvents provided by Kre?n's formula. The Markovian part of the decomposition allows to characterize the operator domain of the corresponding extension in terms of Wentzell‐type boundary conditions. Some properties of the extensions, and of the corresponding Dirichlet forms, semigroups and heat kernels, like locality, regularity, irreducibility, recurrence, transience, ultracontractivity and Gaussian bounds are also discussed.     

Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

We consider the homogeneous stochastic differential equation with unknown parameter to be estimated. We prove that the standard maximum likelihood estimate is strongly consistent under very mild conditions. The conditions for strong consistency of the discretized estimator are established as well.     

Optimal investment,consumption and proportional reinsurance for an insurer with option type payoff

This paper is devoted to the study of optimization of investment, consumption and proportional reinsurance for an insurer with option type payoff at the terminal time under the criterion of exponential utility maximization. The surplus process of the insurer and the financial risky asset process are assumed to be diffusion processes driven by Brownian motions which are non-Markovian in general. Very general constraints are imposed on the investment and the proportional reinsurance processes. Based on the martingale optimization principle, we use BSDE and BMO martingale techniques to derive the optimal strategy and the optimal value function. Some interesting particular cases are studied in which the explicit expressions for the optimal strategy are given by using the Malliavin calculus.     

EXISTENCE OF POSITIVE MULTIPLE SOLUTIONS TO FRACTIONAL DIFFERENTIAL EQUATIONS WITH p-LAPLACIAN OPERATOR

In this paper, we consider a two-point fractional boundary value problem. We provide sufficient conditions for the existence of multiple positive solutions to the boundary value problem by Krasnosel＇skii fixed point theorem on the cone.     

一类具非线性边界条件的高阶方程的双参数奇摄动问题

研究了一类含双参数的非线性高阶微分方程的奇摄动问题.运用合成展开法构造了问题的形式渐近解,并运用微分不等式理论证明了原问题解的存在性及所得形式渐近解的一致有效性.     

一类具有局部弱稳定退化解的奇摄动Robin问题

研究一类一般的二阶非线性方程的奇摄动Robin问题的边界层现象.在退化解是局部弱稳定的主要假设下,利用界定函数法和微分不等式理论证明了呈边界层性态的解的存在性,并给出解的渐近估计.     

具有随机资金流的一类效用优化问题研究

现实的金融市场上,当有重大信息出现时,会对股价产生冲击,使得股价产生跳跃,同时投资过程会有随机资金流的介入,考虑股价出现跳跃与随机资金流介入的投资组合优化问题,通过构造倒向-前向随机微分方程并结合随机最优控制理论研究了一般效用函数下的投资组合选择问题,获得最优投资组合策略,然后针对二次效用函数,给出显式表示的最优投资组合策略.