Approximation of infinite delay and Volterra type equations

Summary We consider a class of infinite delay equations of neutral type which includes Volterrra type integral und integrodifferential equations. Using abstract approximation results (cf. Trotter-Kato-type) for strongly continuous semigroups we develop an approximation scheme which is based on approximation of the system state by Laguerre (and Legendre) polynomials. Numerical examples demonstrate the feasibility of the scheme and show infinite order convergence for smooth data.Supported in part by the Air Force Office of Scientific Research under Contracts AFORS-84-0398 and AFORS-85-0303 and the National Aeronautics and Space Administration under NASA Grant NAG-1-517 and by NSF under Grant UINT-8521208Supported in part by the Air Force Office of Scientific Research under Contract AFORS-84-0398 and in part by the Fonds zur Förderung der wissenschaftlichen Forschung, Austria, under project No. S3206     

Risk management of a bond portfolio using options

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share.     

On Gittins’ index theorem in continuous time

We give a new and comparably short proof of Gittins’ index theorem for dynamic allocation problems of the multi-armed bandit type in continuous time under minimal assumptions. This proof gives a complete characterization of optimal allocation strategies as those policies which follow the current leader among the Gittins indices while ensuring that a Gittins index is at an all-time low whenever the associated project is not worked on exclusively. The main tool is a representation property of Gittins index processes which allows us to show that these processes can be chosen to be pathwise lower semi-continuous from the right and quasi-lower semi-continuous from the left. Both regularity properties turn out to be crucial for our characterization and the construction of optimal allocation policies.     

G可积函数的Lebesgue可测性

Botsko在连续和可导的知识基础上推广了Riemann积分,得到了一种新的积分,称为G积分．G积分既不同于Riemann积分也不同于Lebesgue积分．本文通过对G积分的研究,得到了G可积函数一定Lebesgue可测,从而有界G可积函数一定Lebesgue可积;同时我们还证明了这两个积分值相等．     

On the pivot structure for the weighing matrix W(12,11)

In the present article we concentrate our study on the growth problem for the weighing matrix W(12,11) and show that the unique W(12,11) has three pivot structures. An improved algorithm for extending a k × k (0,+,-) matrix to a W(n,n-1), if possible, has been developed to simplify the proof. For the implementation of the algorithm special emphasis is given to the notions of data structures and parallel processing.     

Measures on minimally generated Boolean algebras

We investigate properties of minimally generated Boolean algebras. It is shown that all measures defined on such algebras are separable but not necessarily weakly uniformly regular. On the other hand, there exist Boolean algebras small in terms of measures which are not minimally generated. We prove that under CH a measure on a retractive Boolean algebra can be nonseparable. Some relevant examples are indicated. Also, we give two examples of spaces satisfying some kind of Efimov property.     

Predicting automobile claims bodily injury severity with sequential ordered logit models

Despite the large cost of bodily injury (BI) claims in motor insurance, relatively little research has been done in this area. Many companies estimate (and therefore reserve) bodily injury compensation directly from initial medical reports. This practice may underestimate the final cost, because the severity is often assessed during the recovery period. Since the evaluation of this severity is often only qualitative, in this paper we apply an ordered multiple choice model at different moments in the life of a claim reported to an insurance company. We assume that the information available to the insurer does not flow continuously, because it is obtained at different stages. Using a real data set, we show that the application of sequential ordered logit models leads to a significant improvement in the prediction of the BI severity level, compared to the subjective classification that is used in practice. We also show that these results could improve the insurer’s reserves notably.     

The treatment of nonhomogeneous Dirichlet boundary conditions by thep-version of the finite element method

Summary The paper addresses the problem of the implementation of nonhomogeneous essential Dirichlet type boundary conditions in thep-version of the finite element method.Partially supported by the Office of Naval Research under Grant N-00014-85-K-0169Research partially supported by the Air Force Office of Scientific Research, Air Force Systems Command, USAF, under Grant Number AFOSR 85-0322     

Threshold electrical switching in As45Te55-xInx and As50Te50-xInx glasses

The electrical switching behaviour of As₄₅Te_55-xIn_x (5≤x≤15) and As₅₀Te_50-xIn_x (2.5≤x≤11.5) has been studied over a wide range of compositions. These glasses are found to exhibit threshold switching. The composition dependence of switching voltage (V_t) has been found to exhibit a change in slope and a local minimum at compositions x=10 and 12.5 for As₄₅Te_55-xIn_x and x=7.5 and 10.8 for As₅₀Te_50-xIn_x, respectively. The slope change in V_t verses x and the local minimum have been identified using two network topological effects, namely the rigidity percolation threshold and the chemical threshold. Received: 23 August 2001 / Accepted: 27 August 2001 / Published online: 11 February 2002