Second-order differential equations in the Laguerre–Hahn class

Laguerre–Hahn families on the real line are characterized in terms of second-order differential equations with matrix coefficients for vectors involving the orthogonal polynomials and their associated polynomials, as well as in terms of second-order differential equation for the functions of the second kind. Some characterizations of the classical families are derived.     

Optimal proportional reinsurance with common shock dependence

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with multiple dependent classes of insurance business, which extends the work of Liang and Yuen (2014) to the case with the reinsurance premium calculated under the expected value principle and to the model with two or more classes of dependent risks. Under the criterion of maximizing the expected exponential utility, closed-form expressions for the optimal strategies and value function are derived not only for the compound Poisson risk model but also for the diffusion approximation risk model. In particular, we find that the optimal reinsurance strategies under the expected value premium principle are very different from those under the variance premium principle in the diffusion risk model. The former depends not only on the safety loading, time and interest rate, but also on the claim size distributions and the counting processes, while the latter depends only on the safety loading, time and interest rate. Finally, numerical examples are presented to show the impact of model parameters on the optimal strategies.     

Time-dependent density-functional and reduced density-matrix methods for few electrons: Exact versus adiabatic approximations

To address the impact of electron correlations in the linear and non-linear response regimes of interacting many-electron systems exposed to time-dependent external fields, we study one-dimensional (1D) systems where the interacting problem is solved exactly by exploiting the mapping of the 1D N-electron problem onto an N-dimensional single electron problem. We analyze the performance of the recently derived 1D local density approximation as well as the exact-exchange orbital functional for those systems. We show that the interaction with an external resonant laser field shows Rabi oscillations which are detuned due to the lack of memory in adiabatic approximations. To investigate situations where static correlations play a role, we consider the time-evolution of the natural occupation numbers associated to the reduced one-body density matrix. Those studies shed light on the non-locality and time-dependence of the exchange and correlation functionals in time-dependent density and density-matrix functional theories.     

Integro-differential equations of hyperbolic type with positive definite kernels

The main purpose of this work is to study the damping effect of memory terms associated with singular convolution kernels on the asymptotic behavior of the solutions of second order evolution equations in Hilbert spaces. For kernels that decay exponentially at infinity and possess strongly positive definite primitives, the exponential stability of weak solutions is obtained in the energy norm. It is also shown that this theory applies to several examples of kernels with possibly variable sign, and to a problem in nonlinear viscoelasticity.     

Well-posedness and stability of the repairable system with N failure modes and one standby unit

The well-posedness and stability of the repairable system with N failure modes and one standby unit were discussed by applying the c₀ semigroups theory of function analysis. Firstly, the integro-differential equations described the system were transformed into some abstract Cauchy problem of Banach space. Secondly, the system operator generates positive contractive c₀ semigroups T(t) and so the well-posedness of the system was obtained. Finally, the spectral distribution of the system operator was analyzed. It was proven that 0 is strictly dominant eigenvalue of the system operator and the dynamic solution of the system converges to the steady-state solution. The steady-state solution was shown to be the eigenvector of the system operator corresponding to the eigenvalue 0. At the same time the dynamic solution exponentially converges to the steady-state solution.     

The deformed exponential functions of two variables in the context of various statistical mechanics

In the recent development in various disciplines of physics, it is noted the need for including the deformed versions of the exponential functions. In last two decades, the Tsallis and Kaniadakis versions have found a lot of applications. In this paper, we consider the deformations which have two purposes. First, we introduce them like beginning of a more general mathematical approach where the Tsallis and Kaniadakis exponential functions are the special cases. Then, we wish to pay attention to the mathematical community that they have a lot of interesting properties from mathematical point of view and possibilities in applications. Really, we will show the differential and difference properties of our deformations which are important for the formation and explanation of continuous and discrete models of numerous phenomena.     

Error analysis of large-time approximations for decay chains

Consider a radioactive decay chain X₁ → ? → X_n→ and let N_n(t) be the amount of X_n at time t. This paper establishes error bounds for large-time approximations to N_n(t) that include and generalize the transient equilibrium approximations and other known approximations. The error bounds allow one to find the range of t for which these approximations can be used with a given degree of precision.     

Only the first term of some series counts

Let X,X₁,X₂,… be i.i.d. random variables, and set S_n=X₁+?+X_n. We prove that for three important distributions of X, namely normal, exponential and geometric, series of the type ∑_n≥1a_nP(|S_n|≥xb_n) or ∑_n≥1a_nP(S_n≥xb_n) behave like their first term as x→∞.     

随机利率下服从指数O-U过程的可转换债券的鞅定价

从定量的角度分析了随机利率下有股利分配的可转换债券的价值构成,并在股价服从广义O-U过程的条件下,利用鞅定价方法推导出可转换债券的定价公式.     

New stability theorem for periodic Nicholson’s model with mortality term

This article mainly explores a class of non-autonomous delayed Nicholson’s blowflies model with a nonlinear density-dependent mortality term. By combining Lyapunov function method with differential inequality approach, some novel assertions are gained to guarantee the existence and exponential stability of positive periodic solutions for the addressed model, which generalize and refine the corresponding results in some recent published literature.